ZBIO Butterfly Strategy
ZBIO (Zenas BioPharma, Inc.), in the Healthcare sector, (Biotechnology industry), listed on NASDAQ.
Zenas BioPharma, Inc., a clinical-stage biopharmaceutical company, engages in the development and commercialization of transformative immunology-based therapies. Its lead product candidate is obexelimab, a bifunctional monoclonal antibody for various indications, including immunoglobulin G4-related disease, multiple sclerosis, systemic lupus erythematosus, and warm autoimmune hemolytic anemia. The company also develops ZB002, an anti-TNFa monoclonal antibody; ZB004, a cytotoxic T-lymphocyte-associated antigen 4-immunoglobulin fusion; ZB001, an anti-insulin-like growth factor-1 receptor monoclonal antibody; and ZB005, an anti-active complement component 1s monoclonal antibody. Zenas BioPharma, Inc. was formerly known as Zenas BioPharma (Cayman) Limited and changed its name to Zenas BioPharma, Inc. in August 2023. The company was incorporated in 2019 and is based in Waltham, Massachusetts.
ZBIO (Zenas BioPharma, Inc.) trades in the Healthcare sector, specifically Biotechnology, with a market capitalization of approximately $889.7M, a beta of -0.58 versus the broader market, a 52-week range of 8.86-44.6, average daily share volume of 704K, a public-listing history dating back to 2024, approximately 130 full-time employees. These structural characteristics shape how ZBIO stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of -0.58 indicates ZBIO has historically moved less than the broader market, dampening realized volatility and producing tighter expected-move bands per unit of dollar exposure.
What is a butterfly on ZBIO?
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 ZBIO snapshot
As of May 15, 2026, spot at $18.31, ATM IV 152.90%, IV rank 32.02%, expected move 43.84%. The butterfly on ZBIO 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 ZBIO specifically: ZBIO IV at 152.90% 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 43.84% (roughly $8.03 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 ZBIO expiries trade a higher absolute premium for lower per-day decay. Position sizing on ZBIO should anchor to the underlying notional of $18.31 per share and to the trader's directional view on ZBIO stock.
ZBIO butterfly setup
The ZBIO 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 ZBIO near $18.31, the first option leg uses a $17.39 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed ZBIO 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 ZBIO shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $17.39 | N/A |
| Sell 2 | Call | $18.31 | N/A |
| Buy 1 | Call | $19.23 | N/A |
ZBIO 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.
ZBIO butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on ZBIO. 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 ZBIO
Butterflies on ZBIO are pinning bets - traders use them when they expect ZBIO 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.
ZBIO thesis for this butterfly
The market-implied 1-standard-deviation range for ZBIO extends from approximately $10.28 on the downside to $26.34 on the upside. A ZBIO long call butterfly is a pinning play: it pays maximum at the middle strike if ZBIO settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current ZBIO IV rank near 32.02% is mid-range against its 1-year distribution, so the IV signal is neutral; the butterfly thesis on ZBIO should anchor more to the directional view and the expected-move geometry. As a Healthcare name, ZBIO options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to ZBIO-specific events.
ZBIO 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. ZBIO positions also carry Healthcare sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move ZBIO alongside the broader basket even when ZBIO-specific fundamentals are unchanged. Always rebuild the position from current ZBIO chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on ZBIO?
- A butterfly on ZBIO is the butterfly strategy applied to ZBIO (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 ZBIO stock trading near $18.31, the strikes shown on this page are snapped to the nearest listed ZBIO chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are ZBIO 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 ZBIO butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 152.90%), 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 ZBIO butterfly?
- The breakeven for the ZBIO 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 ZBIO market-implied 1-standard-deviation expected move is approximately 43.84%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on ZBIO?
- Butterflies on ZBIO are pinning bets - traders use them when they expect ZBIO 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 ZBIO implied volatility affect this butterfly?
- ZBIO ATM IV is at 152.90% with IV rank near 32.02%, 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.