This document describes a strategy-based index involving a 'buy-write' strategy, which includes writing call options on a stock index and purchasing component securities of that index. The strategy assumes writing at-the-money index call options with one month to expiration, investing the premiums in a weighted basket of securities, and reinvesting dividends. The document provides an example calculation of the buy-write index value over several days, illustrating how the index value changes based on the strategy's returns.
doj/DataSet10/EFTA01393183.pdf
{"document_type":"financial","document_subtype":"financial strategy document","reference_numbers":["DEBDRIYOR98640"]}