ZBIO Collar Strategy
ZBIO (Zenas BioPharma, Inc.), in the Healthcare sector, (Biotechnology industry), listed on NASDAQ.
Zenas BioPharma, Inc. functions as a clinical-stage biopharmaceutical firm, concentrating on the creation and market introduction of innovative, immunology-based treatments. The company's primary investigational therapy is obexelimab, a distinctive bifunctional monoclonal antibody intended to address multiple diseases such as immunoglobulin G4-related disease, multiple sclerosis, systemic lupus erythematosus, and warm autoimmune hemolytic anemia. Its developmental portfolio also features 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. Established in 2019, the entity was formerly recognized as Zenas BioPharma (Cayman) Limited before adopting its current name, Zenas BioPharma, Inc., in August 2023. Its headquarters are located in Waltham, Massachusetts.
ZBIO (Zenas BioPharma, Inc.) trades in the Healthcare sector, specifically Biotechnology, with a market capitalization of approximately $1.15B, a beta of -0.69 versus the broader market, a 52-week range of 8.91-44.6, average daily share volume of 719K, 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 -0.69 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 collar on ZBIO?
A collar pairs long stock with a protective out-of-the-money put financed by a short out-of-the-money call, capping both tails of the position around the current spot.
Current ZBIO snapshot
As of June 30, 2026, spot at $25.46, ATM IV 93.50%, IV rank 19.51%, expected move 26.81%. The collar 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 17-day expiry.
Why this collar structure on ZBIO specifically: IV regime affects collar pricing on both sides; compressed ZBIO IV at 93.50% typically pushes the short call premium to roughly offset the long put cost, with a market-implied 1-standard-deviation move of approximately 26.81% (roughly $6.82 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 ZBIO expiries trade a higher absolute premium for lower per-day decay. Position sizing on ZBIO should anchor to the underlying notional of $25.46 per share and to the trader's directional view on ZBIO stock.
ZBIO collar setup
The ZBIO collar 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 $25.46, the first option leg uses a $26.73 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 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 ZBIO shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 100 shares | Stock | $25.46 | long |
| Sell 1 | Call | $26.73 | N/A |
| Buy 1 | Put | $24.19 | N/A |
ZBIO collar 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 roughly equals short-call strike minus cost basis plus net premium; max loss roughly equals cost basis minus long-put strike minus net premium. Breakeven shifts by the net premium.
ZBIO collar payoff curve
Modeled P&L at expiration across a range of underlying prices for the collar 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 collar on ZBIO
Collars on ZBIO hedge an existing long ZBIO stock position; the long put sets a floor while the short call finances it, often run as a near-zero-cost hedge during expected volatility windows.
ZBIO thesis for this collar
The market-implied 1-standard-deviation range for ZBIO extends from approximately $18.64 on the downside to $32.28 on the upside. A ZBIO collar hedges an existing long ZBIO position with a protective put while financing the put cost via a short call; when the premiums roughly offset, the collar acts as a near-zero-cost insurance band around the current spot. Current ZBIO IV rank near 19.51% 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 ZBIO at 93.50%. 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 collar positions are structurally neutral (protective); 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 collar on ZBIO?
- A collar on ZBIO is the collar strategy applied to ZBIO (stock). The strategy is structurally neutral (protective): A collar pairs long stock with a protective out-of-the-money put financed by a short out-of-the-money call, capping both tails of the position around the current spot. With ZBIO stock trading near $25.46, 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 collar max profit and max loss calculated?
- Max profit roughly equals short-call strike minus cost basis plus net premium; max loss roughly equals cost basis minus long-put strike minus net premium. Breakeven shifts by the net premium. For the ZBIO collar priced from the end-of-day chain at a 30-day expiry (ATM IV 93.50%), 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 ZBIO collar?
- The breakeven for the ZBIO collar 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 26.81%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a collar on ZBIO?
- Collars on ZBIO hedge an existing long ZBIO stock position; the long put sets a floor while the short call finances it, often run as a near-zero-cost hedge during expected volatility windows.
- How does current ZBIO implied volatility affect this collar?
- ZBIO ATM IV is at 93.50% with IV rank near 19.51%, 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.