KROS Butterfly Strategy
KROS (Keros Therapeutics, Inc.), in the Healthcare sector, (Biotechnology industry), listed on NASDAQ.
Keros Therapeutics, Inc., a clinical-stage biopharmaceutical company, focuses on the discovery, development, and commercialization of novel treatments for patients suffering from hematological and musculoskeletal disorders with high unmet medical need. The company's lead protein therapeutic product candidate is KER-050, which is being developed for the treatment of low blood cell counts, or cytopenias, including anemia and thrombocytopenia in patients with myelodysplastic syndromes, and in patients with myelofibrosis. It is also developing small molecule product candidate KER-047 that is being developed for the treatment of anemia, and is currently in Phase 1 clinical trial; and KER-012, which is in Phase 1 clinical trial to treat disorders associated with bone loss, such as osteoporosis and osteogenesis imperfecta, and for the treatment of pulmonary arterial hypertension. The company was incorporated in 2015 and is headquartered in Lexington, Massachusetts.
KROS (Keros Therapeutics, Inc.) trades in the Healthcare sector, specifically Biotechnology, with a market capitalization of approximately $446.3M, a trailing P/E of 5.13, a beta of 0.96 versus the broader market, a 52-week range of 10.415-22.55, average daily share volume of 417K, a public-listing history dating back to 2020, approximately 163 full-time employees. These structural characteristics shape how KROS stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.96 places KROS roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. The trailing P/E of 5.13 is on the value side, where IV often compresses outside event windows because forward growth expectations are already discounted into the share price.
What is a butterfly on KROS?
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 KROS snapshot
As of May 14, 2026, spot at $11.04, ATM IV 229.30%, IV rank 93.29%, expected move 65.74%. The butterfly on KROS 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 35-day expiry.
Why this butterfly structure on KROS specifically: KROS IV at 229.30% is rich versus its 1-year range, which makes a premium-buying KROS butterfly relatively expensive in absolute-cost terms, with a market-implied 1-standard-deviation move of approximately 65.74% (roughly $7.26 on the underlying). The 35-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated KROS expiries trade a higher absolute premium for lower per-day decay. Position sizing on KROS should anchor to the underlying notional of $11.04 per share and to the trader's directional view on KROS stock.
KROS butterfly setup
The KROS 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 KROS near $11.04, the first option leg uses a $10.49 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed KROS chain at a 35-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 KROS shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $10.49 | N/A |
| Sell 2 | Call | $11.04 | N/A |
| Buy 1 | Call | $11.59 | N/A |
KROS 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.
KROS butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on KROS. 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 KROS
Butterflies on KROS are pinning bets - traders use them when they expect KROS 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.
KROS thesis for this butterfly
The market-implied 1-standard-deviation range for KROS extends from approximately $3.78 on the downside to $18.30 on the upside. A KROS long call butterfly is a pinning play: it pays maximum at the middle strike if KROS settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current KROS IV rank near 93.29% sits in the upper third of its 1-year distribution, which historically reverts; this raises the bar for premium-buying structures and lowers it for premium-selling structures on KROS at 229.30%. As a Healthcare name, KROS options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to KROS-specific events.
KROS 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. KROS positions also carry Healthcare sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move KROS alongside the broader basket even when KROS-specific fundamentals are unchanged. Always rebuild the position from current KROS chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on KROS?
- A butterfly on KROS is the butterfly strategy applied to KROS (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 KROS stock trading near $11.04, the strikes shown on this page are snapped to the nearest listed KROS chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are KROS 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 KROS butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 229.30%), 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 KROS butterfly?
- The breakeven for the KROS 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 KROS market-implied 1-standard-deviation expected move is approximately 65.74%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on KROS?
- Butterflies on KROS are pinning bets - traders use them when they expect KROS 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 KROS implied volatility affect this butterfly?
- KROS ATM IV is at 229.30% with IV rank near 93.29%, which is elevated relative to its 1-year range. Premium-selling structures (covered call, cash-secured put, iron condor) generally look more attractive when IV rank is high; premium-buying structures (long call, long put, debit spreads) are more expensive in that regime.