REFI Butterfly Strategy
REFI (Chicago Atlantic Real Estate Finance, Inc.), in the Real Estate sector, (REIT - Mortgage industry), listed on NASDAQ.
Chicago Atlantic Real Estate Finance, Inc. functions as a commercial real estate financing enterprise operating throughout the United States. Its primary activities include developing, arranging, and deploying capital into various secured debt instruments, notably first mortgage loans, which are collateralized by commercial properties. A specific area of focus for the company is extending senior-priority loans to both state-approved operators and property owners within the legal cannabis industry. Chicago Atlantic has chosen to be taxed as a Real Estate Investment Trust (REIT), which allows it to avoid federal corporate income tax, conditional on distributing a minimum of 90% of its taxable profits to its investors. The firm was established in 2021 and is headquartered in Chicago, Illinois.
REFI (Chicago Atlantic Real Estate Finance, Inc.) trades in the Real Estate sector, specifically REIT - Mortgage, with a market capitalization of approximately $243.2M, a trailing P/E of 7.81, a beta of 0.30 versus the broader market, a 52-week range of 10.74-14.57, average daily share volume of 154K, a public-listing history dating back to 2021. These structural characteristics shape how REFI stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.30 indicates REFI 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 7.81 is on the value side, where IV often compresses outside event windows because forward growth expectations are already discounted into the share price. REFI pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on REFI?
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 REFI snapshot
As of June 30, 2026, spot at $10.70, ATM IV 34.60%, IV rank 7.42%, expected move 9.92%. The butterfly on REFI 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 REFI specifically: REFI IV at 34.60% is on the cheap side of its 1-year range, which favors premium-buying structures like a REFI butterfly, with a market-implied 1-standard-deviation move of approximately 9.92% (roughly $1.06 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 REFI expiries trade a higher absolute premium for lower per-day decay. Position sizing on REFI should anchor to the underlying notional of $10.70 per share and to the trader's directional view on REFI stock.
REFI butterfly setup
The REFI 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 REFI near $10.70, the first option leg uses a $10.17 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed REFI 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 REFI shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $10.17 | N/A |
| Sell 2 | Call | $10.70 | N/A |
| Buy 1 | Call | $11.24 | N/A |
REFI 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.
REFI butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on REFI. 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 REFI
Butterflies on REFI are pinning bets - traders use them when they expect REFI 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.
REFI thesis for this butterfly
The market-implied 1-standard-deviation range for REFI extends from approximately $9.64 on the downside to $11.76 on the upside. A REFI long call butterfly is a pinning play: it pays maximum at the middle strike if REFI settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current REFI IV rank near 7.42% 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 REFI at 34.60%. As a Real Estate name, REFI options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to REFI-specific events.
REFI 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. REFI positions also carry Real Estate sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move REFI alongside the broader basket even when REFI-specific fundamentals are unchanged. Always rebuild the position from current REFI chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on REFI?
- A butterfly on REFI is the butterfly strategy applied to REFI (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 REFI stock trading near $10.70, the strikes shown on this page are snapped to the nearest listed REFI chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are REFI 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 REFI butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 34.60%), 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 REFI butterfly?
- The breakeven for the REFI 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 REFI market-implied 1-standard-deviation expected move is approximately 9.92%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on REFI?
- Butterflies on REFI are pinning bets - traders use them when they expect REFI 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 REFI implied volatility affect this butterfly?
- REFI ATM IV is at 34.60% with IV rank near 7.42%, 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.