KROS Butterfly Strategy
KROS (Keros Therapeutics, Inc.), in the Healthcare sector, (Biotechnology industry), listed on NASDAQ.
Keros Therapeutics, Inc., a biopharmaceutical entity in the clinical development phase, is focused on pioneering and commercializing innovative therapies for individuals afflicted by hematological and musculoskeletal conditions that currently lack adequate treatment options. Its flagship protein therapeutic, KER-050, is being advanced to address diminished blood cell counts (cytopenias), specifically anemia and thrombocytopenia, in patients diagnosed with myelodysplastic syndromes and myelofibrosis. Furthermore, the company is progressing KER-047, a small molecule designed to combat anemia, which is presently undergoing Phase 1 clinical evaluation. Another small molecule, KER-012, is also in Phase 1 clinical trials for treating ailments characterized by bone degeneration, such as osteoporosis and osteogenesis imperfecta, alongside pulmonary arterial hypertension. Founded in 2015, the firm maintains its principal operations in Lexington, Massachusetts.
KROS (Keros Therapeutics, Inc.) trades in the Healthcare sector, specifically Biotechnology, with a market capitalization of approximately $358.4M, a beta of 0.99 versus the broader market, a 52-week range of 9.69-22.55, average daily share volume of 301K, a public-listing history dating back to 2020, approximately 87 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 0.99 places KROS roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline.
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.
KROS snapshot
As of August 14, 2026, spot at $10.16, ATM IV 458.60%, IV rank 99.82%, expected move 131.48%. The butterfly on KROS below is built from the 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 458.60% 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 131.48% (roughly $13.36 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 $10.16 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 at $10.16 on that close, the first option leg uses a $9.65 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 | $9.65 | N/A |
| Sell 2 | Call | $10.16 | N/A |
| Buy 1 | Call | $10.67 | 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 $-3.20 on the downside to $23.52 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 99.82% 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 458.60%. 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 at $10.16 on the most recent close, the strikes shown on this page are snapped to the nearest listed KROS chain strike and the premiums come straight from that session's 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 458.60%), 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 the end-of-day chain's premiums. Breakeven is the underlying price at which the strategy's P&L crosses zero ignoring transaction costs and assignment risk. The KROS market-implied 1-standard-deviation expected move in the same options snapshot is approximately 131.48%; 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 458.60% with IV rank near 99.82%, 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.