JRVR Butterfly Strategy
JRVR (James River Group Holdings, Ltd.), in the Financial Services sector, (Insurance - Specialty industry), listed on NASDAQ.
James River Group Holdings, Ltd., through its subsidiaries, provides specialty insurance and reinsurance services in the United States. It operates through Excess and Surplus Lines, Specialty Admitted Insurance, and Casualty Reinsurance segments. The Excess and Surplus Lines segment underwrites liability and property insurance on an excess and surplus commercial lines basis in all states and the District of Columbia. This segment distributes its insurance policies primarily through wholesale insurance brokers. The Specialty Admitted Insurance segment provides workers' compensation coverage for building trades, healthcare employees, goods and services, light manufacturing, specialty transportation, and agriculture, as well as fronting and program business. The Casualty Reinsurance segment offers proportional and working layer casualty reinsurance to third parties and other insurance companies.
JRVR (James River Group Holdings, Ltd.) trades in the Financial Services sector, specifically Insurance - Specialty, with a market capitalization of approximately $189.6M, a trailing P/E of 6.53, a beta of -0.03 versus the broader market, a 52-week range of 3.76-7.2, average daily share volume of 322K, a public-listing history dating back to 2014, approximately 645 full-time employees. These structural characteristics shape how JRVR stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of -0.03 indicates JRVR has historically moved less than the broader market, dampening realized volatility and producing tighter expected-move bands per unit of dollar exposure. The trailing P/E of 6.53 is on the value side, where IV often compresses outside event windows because forward growth expectations are already discounted into the share price. JRVR pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on JRVR?
A long call butterfly buys one lower-strike call, sells two ATM calls, and buys one higher-strike call, paying a small net debit for a defined-risk position that maxes out if the underlying pins the middle strike at expiration.
Current JRVR snapshot
As of May 15, 2026, spot at $4.12, ATM IV 24.30%, IV rank 6.77%, expected move 6.97%. The butterfly on JRVR below is built from the same end-of-day chain, with strikes snapped to listed contracts and premiums pulled from the bid/ask midpoint at a 34-day expiry.
Why this butterfly structure on JRVR specifically: JRVR IV at 24.30% is on the cheap side of its 1-year range, which favors premium-buying structures like a JRVR butterfly, with a market-implied 1-standard-deviation move of approximately 6.97% (roughly $0.29 on the underlying). The 34-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated JRVR expiries trade a higher absolute premium for lower per-day decay. Position sizing on JRVR should anchor to the underlying notional of $4.12 per share and to the trader's directional view on JRVR stock.
JRVR butterfly setup
The JRVR butterfly below is built from the end-of-day chain, with each option leg priced at the bid/ask midpoint of its listed strike. With JRVR near $4.12, the first option leg uses a $3.91 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed JRVR chain at a 34-day expiry; the cross-strike IV skew is reflected directly in the per-leg values rather than approximated. Quantity sizing assumes one contract per option leg (or 100 JRVR shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $3.91 | N/A |
| Sell 2 | Call | $4.12 | N/A |
| Buy 1 | Call | $4.33 | N/A |
JRVR butterfly risk and reward
- Net Premium / Debit
- N/A
- Max Profit (per contract)
- Unbounded
- Max Loss (per contract)
- Unbounded
- Breakeven(s)
- None on modeled curve
- Risk / Reward Ratio
- N/A
Max profit equals the wing width minus net debit times 100 (reached when the underlying pins the middle strike); max loss equals the net debit times 100. Two breakevens at lower-wing plus debit and upper-wing minus debit.
JRVR butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on JRVR. Each row is one sampled price point from the computed payoff curve; the full curve uses 200 price points internally before being summarized into 10 rows here.
When traders use butterfly on JRVR
Butterflies on JRVR are pinning bets - traders use them when they expect JRVR to settle near a specific level at expiration (often the prior close, a round number, or the max-pain strike) and want defined-risk exposure to that outcome.
JRVR thesis for this butterfly
The market-implied 1-standard-deviation range for JRVR extends from approximately $3.83 on the downside to $4.41 on the upside. A JRVR long call butterfly is a pinning play: it pays maximum at the middle strike if JRVR settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current JRVR IV rank near 6.77% sits in the lower third of its 1-year distribution, where IV often re-expands toward the mean; this favors premium-buying structures and disadvantages premium-selling structures on JRVR at 24.30%. As a Financial Services name, JRVR options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to JRVR-specific events.
JRVR butterfly positions are structurally neutral / pin (limited-risk, limited-reward); the modeled P&L assumes European-style exercise at expiration and ignores early assignment, transaction costs, dividends paid before expiry on the stock leg (when present), and the bid-ask spread on the listed chain. JRVR positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move JRVR alongside the broader basket even when JRVR-specific fundamentals are unchanged. Always rebuild the position from current JRVR chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on JRVR?
- A butterfly on JRVR is the butterfly strategy applied to JRVR (stock). The strategy is structurally neutral / pin (limited-risk, limited-reward): A long call butterfly buys one lower-strike call, sells two ATM calls, and buys one higher-strike call, paying a small net debit for a defined-risk position that maxes out if the underlying pins the middle strike at expiration. With JRVR stock trading near $4.12, the strikes shown on this page are snapped to the nearest listed JRVR chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are JRVR butterfly max profit and max loss calculated?
- Max profit equals the wing width minus net debit times 100 (reached when the underlying pins the middle strike); max loss equals the net debit times 100. Two breakevens at lower-wing plus debit and upper-wing minus debit. For the JRVR butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 24.30%), the computed maximum profit is unbounded per contract and the computed maximum loss is unbounded per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a JRVR butterfly?
- The breakeven for the JRVR butterfly priced on this page is no defined breakeven on the modeled curve at expiration, derived from end-of-day chain premiums. Breakeven is the underlying price at which the strategy's P&L crosses zero ignoring transaction costs and assignment risk. The current JRVR market-implied 1-standard-deviation expected move is approximately 6.97%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on JRVR?
- Butterflies on JRVR are pinning bets - traders use them when they expect JRVR to settle near a specific level at expiration (often the prior close, a round number, or the max-pain strike) and want defined-risk exposure to that outcome.
- How does current JRVR implied volatility affect this butterfly?
- JRVR ATM IV is at 24.30% with IV rank near 6.77%, which is on the low end of its 1-year range. Premium-buying structures (long call, long put, debit spreads) are relatively cheap in this regime; premium-selling structures collect less credit per unit risk.