Systematically build exposure: Call-writing strategies
Friday, 2 September 2022 Reading time : 2 minutes
Exposure and yield enhancement
The investment objective of call writer indices and their methodology is to hold a synthetic long exposure on an underlying asset and in addition to systematically prescribe call options on this underlying asset. The synthetic long position in the underlying is mapped by means of a ZKB Equity Funded Future, which replicates the funded performance of the next expiring future contract of the underlying. ZKB Call-Writer Indices allow investors a steady yield optimization on the underlying through the regular sale of call options and with the long position in the corresponding ZKB Equity Funded Future Index at the same time a 1:1 participation in the performance of the underlying.
Option strategy
For this purpose, the call writer index sells a call option with 6 weeks maturity and a strike of 103% on the underlying. This option position is held until expiration and derecognized at intrinsic value, the option premiums collected are invested in the synthetic long position on the underlying. Should the underlying exceed 3% during the term of a prescribed option, the negative value is also offset against the long position by reducing the exposure.
Participate with tracker certificates and profit from distributions
In addition to the yield-optimizing character through the collection of option premiums and the participation in the underlying, the tracker certificates on the S&P 500® Call-Writer Index and the SMI® Call-Writer Index distribute 6% p.a. of the issue price to the investor.
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