ZURA Butterfly Strategy
ZURA (Zura Bio Limited), in the Healthcare sector, (Biotechnology industry), listed on NASDAQ.
Zura Bio Limited, a clinical-stage biotechnology company, focuses on developing novel medicines for immune and inflammatory disorders. It develops ZB-168, an anti IL7R a inhibitor that impact on diseases driven by IL7 and TSLP biological pathways; and Torudokimab, a monoclonal antibody that neutralizes IL33, which is in Phase 2 clinical trial development. The company is based in San Diego, California.
ZURA (Zura Bio Limited) trades in the Healthcare sector, specifically Biotechnology, with a market capitalization of approximately $312.1M, a beta of 0.09 versus the broader market, a 52-week range of 0.98-7.44, average daily share volume of 623K, a public-listing history dating back to 2023, approximately 30 full-time employees. These structural characteristics shape how ZURA stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.09 indicates ZURA 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 ZURA?
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 ZURA snapshot
As of May 15, 2026, spot at $4.67, ATM IV 114.40%, IV rank 24.83%, expected move 32.80%. The butterfly on ZURA 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 ZURA specifically: ZURA IV at 114.40% is on the cheap side of its 1-year range, which favors premium-buying structures like a ZURA butterfly, with a market-implied 1-standard-deviation move of approximately 32.80% (roughly $1.53 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 ZURA expiries trade a higher absolute premium for lower per-day decay. Position sizing on ZURA should anchor to the underlying notional of $4.67 per share and to the trader's directional view on ZURA stock.
ZURA butterfly setup
The ZURA 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 ZURA near $4.67, the first option leg uses a $4.44 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed ZURA 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 ZURA shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $4.44 | N/A |
| Sell 2 | Call | $4.67 | N/A |
| Buy 1 | Call | $4.90 | N/A |
ZURA 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.
ZURA butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on ZURA. 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 ZURA
Butterflies on ZURA are pinning bets - traders use them when they expect ZURA 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.
ZURA thesis for this butterfly
The market-implied 1-standard-deviation range for ZURA extends from approximately $3.14 on the downside to $6.20 on the upside. A ZURA long call butterfly is a pinning play: it pays maximum at the middle strike if ZURA settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current ZURA IV rank near 24.83% 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 ZURA at 114.40%. As a Healthcare name, ZURA options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to ZURA-specific events.
ZURA 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. ZURA positions also carry Healthcare sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move ZURA alongside the broader basket even when ZURA-specific fundamentals are unchanged. Always rebuild the position from current ZURA chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on ZURA?
- A butterfly on ZURA is the butterfly strategy applied to ZURA (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 ZURA stock trading near $4.67, the strikes shown on this page are snapped to the nearest listed ZURA chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are ZURA 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 ZURA butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 114.40%), 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 ZURA butterfly?
- The breakeven for the ZURA 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 ZURA market-implied 1-standard-deviation expected move is approximately 32.80%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on ZURA?
- Butterflies on ZURA are pinning bets - traders use them when they expect ZURA 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 ZURA implied volatility affect this butterfly?
- ZURA ATM IV is at 114.40% with IV rank near 24.83%, 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.