ORRF Butterfly Strategy
ORRF (Orrstown Financial Services, Inc.), in the Financial Services sector, (Banks - Regional industry), listed on NASDAQ.
Orrstown Financial Services, Inc. serves as the parent company for Orrstown Bank, offering a comprehensive range of commercial banking and trust solutions throughout the United States. The institution accepts various types of deposits, including checking, savings, time, demand, and money market accounts. It extends diverse credit options, encompassing commercial loans for real estate, equipment, construction, working capital, industrial endeavors, and other business purposes. For individual clients, Orrstown provides home equity loans and lines of credit, residential mortgage financing, and an array of other consumer lending products. Furthermore, the company offers specialized funding such as acquisition and development loans, municipal financing, and installment loans. Operating under the brand Orrstown Financial Advisors, the firm delivers extensive fiduciary services, taking on roles like trustee, executor, administrator, guardian, managing agent, custodian, and investment advisor.
ORRF (Orrstown Financial Services, Inc.) trades in the Financial Services sector, specifically Banks - Regional, with a market capitalization of approximately $810.1M, a trailing P/E of 9.39, a beta of 0.70 versus the broader market, a 52-week range of 31.51-41.52, average daily share volume of 132K, a public-listing history dating back to 1999, approximately 607 full-time employees. These structural characteristics shape how ORRF stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.70 places ORRF roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. The trailing P/E of 9.39 is on the value side, where IV often compresses outside event windows because forward growth expectations are already discounted into the share price. ORRF pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on ORRF?
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 ORRF snapshot
As of June 30, 2026, spot at $40.84, ATM IV 74.50%, IV rank 34.05%, expected move 21.36%. The butterfly on ORRF 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 17-day expiry.
Why this butterfly structure on ORRF specifically: ORRF IV at 74.50% is mid-range versus its 1-year history, so strategy selection should anchor more to the directional thesis than to the IV regime, with a market-implied 1-standard-deviation move of approximately 21.36% (roughly $8.72 on the underlying). The 17-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated ORRF expiries trade a higher absolute premium for lower per-day decay. Position sizing on ORRF should anchor to the underlying notional of $40.84 per share and to the trader's directional view on ORRF stock.
ORRF butterfly setup
The ORRF 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 ORRF near $40.84, the first option leg uses a $38.80 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed ORRF chain at a 17-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 ORRF shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $38.80 | N/A |
| Sell 2 | Call | $40.84 | N/A |
| Buy 1 | Call | $42.88 | N/A |
ORRF 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.
ORRF butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on ORRF. 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 ORRF
Butterflies on ORRF are pinning bets - traders use them when they expect ORRF 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.
ORRF thesis for this butterfly
The market-implied 1-standard-deviation range for ORRF extends from approximately $32.12 on the downside to $49.56 on the upside. A ORRF long call butterfly is a pinning play: it pays maximum at the middle strike if ORRF settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current ORRF IV rank near 34.05% is mid-range against its 1-year distribution, so the IV signal is neutral; the butterfly thesis on ORRF should anchor more to the directional view and the expected-move geometry. As a Financial Services name, ORRF options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to ORRF-specific events.
ORRF 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. ORRF positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move ORRF alongside the broader basket even when ORRF-specific fundamentals are unchanged. Always rebuild the position from current ORRF chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on ORRF?
- A butterfly on ORRF is the butterfly strategy applied to ORRF (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 ORRF stock trading near $40.84, the strikes shown on this page are snapped to the nearest listed ORRF chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are ORRF 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 ORRF butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 74.50%), 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 ORRF butterfly?
- The breakeven for the ORRF 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 ORRF market-implied 1-standard-deviation expected move is approximately 21.36%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on ORRF?
- Butterflies on ORRF are pinning bets - traders use them when they expect ORRF 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 ORRF implied volatility affect this butterfly?
- ORRF ATM IV is at 74.50% with IV rank near 34.05%, which is mid-range against its 1-year history. Strategy selection depends more on directional thesis and expected move than on a strong IV signal.