NMIH Butterfly Strategy
NMIH (NMI Holdings, Inc.), in the Financial Services sector, (Insurance - Specialty industry), listed on NASDAQ.
NMI Holdings, Inc. provides private mortgage guaranty insurance services in the United States. The company offers mortgage insurance services; and outsourced loan review services to mortgage loan originators. It serves national and regional mortgage banks, money center banks, credit unions, community banks, builder-owned mortgage lenders, internet-sourced lenders, and other non-bank lenders. NMI Holdings, Inc. was incorporated in 2011 and is headquartered in Emeryville, California.
NMIH (NMI Holdings, Inc.) trades in the Financial Services sector, specifically Insurance - Specialty, with a market capitalization of approximately $2.82B, a trailing P/E of 7.32, a beta of 0.59 versus the broader market, a 52-week range of 34.84-43.2, average daily share volume of 473K, a public-listing history dating back to 2013, approximately 230 full-time employees. These structural characteristics shape how NMIH stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.59 indicates NMIH 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 7.32 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 NMIH?
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 NMIH snapshot
As of May 15, 2026, spot at $37.59, ATM IV 37.20%, IV rank 13.38%, expected move 10.66%. The butterfly on NMIH 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 NMIH specifically: NMIH IV at 37.20% is on the cheap side of its 1-year range, which favors premium-buying structures like a NMIH butterfly, with a market-implied 1-standard-deviation move of approximately 10.66% (roughly $4.01 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 NMIH expiries trade a higher absolute premium for lower per-day decay. Position sizing on NMIH should anchor to the underlying notional of $37.59 per share and to the trader's directional view on NMIH stock.
NMIH butterfly setup
The NMIH 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 NMIH near $37.59, the first option leg uses a $35.71 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed NMIH 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 NMIH shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $35.71 | N/A |
| Sell 2 | Call | $37.59 | N/A |
| Buy 1 | Call | $39.47 | N/A |
NMIH 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.
NMIH butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on NMIH. 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 NMIH
Butterflies on NMIH are pinning bets - traders use them when they expect NMIH 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.
NMIH thesis for this butterfly
The market-implied 1-standard-deviation range for NMIH extends from approximately $33.58 on the downside to $41.60 on the upside. A NMIH long call butterfly is a pinning play: it pays maximum at the middle strike if NMIH settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current NMIH IV rank near 13.38% 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 NMIH at 37.20%. As a Financial Services name, NMIH options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to NMIH-specific events.
NMIH 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. NMIH positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move NMIH alongside the broader basket even when NMIH-specific fundamentals are unchanged. Always rebuild the position from current NMIH chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on NMIH?
- A butterfly on NMIH is the butterfly strategy applied to NMIH (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 NMIH stock trading near $37.59, the strikes shown on this page are snapped to the nearest listed NMIH chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are NMIH 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 NMIH butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 37.20%), 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 NMIH butterfly?
- The breakeven for the NMIH 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 NMIH market-implied 1-standard-deviation expected move is approximately 10.66%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on NMIH?
- Butterflies on NMIH are pinning bets - traders use them when they expect NMIH 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 NMIH implied volatility affect this butterfly?
- NMIH ATM IV is at 37.20% with IV rank near 13.38%, 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.