June 12, 2013
S&P Dow Jones Indices announced today the launch of the S&P 500® Stock Covered Call Index family – consisting of the S&P 500 Stock Covered Call Index, S&P 500 Financial Select Sector Stock Covered Call Index and S&P 500 Energy Select Sector Stock Covered Call Index. These indices seek to simulate a volatility driven covered call strategy based on the eligible individual constituents of the underlying indices.
"The launch of the S&P 500 Stock Covered Call Index family adds to the line-up of existing alternative income indices offered by S&P Dow Jones Indices," says
, Senior Director of Strategy Indices at S&P Dow Jones Indices. "What differentiates this index family from other covered call indices is that it writes a call option on each of the constituents which typically generates higher income than writing the call option on the entire basket of stocks. Such strategies have not been available within an index framework previously."
A covered call strategy is defined as an income generating strategy that is generally used in a neutral to slightly bullish market environment, where a slow and steady rise in market prices is anticipated. Each index is calculated on a hypothetical portfolio consisting of a long cash position in the respective underlying index and a basket of short out-of-the-money (OTM) calls on the eligible index constituents, which are rolled monthly on option expiration day.
For more detailed information on the S&P 500 Stock Covered Call Indices, including the methodology document, please visit:
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