YieldMax ABNB Option Income Strategy ETF (ABNY US) – Portfolio Construction Methodology

The investment strategy underpinning the actively managed YieldMax ABNB Option Income Strategy ETF governs a single-name options overlay that seeks income while maintaining synthetic exposure to Airbnb, Inc. price moves. The portfolio implements a synthetic covered-call structure using standardized exchange-traded and FLEX options: it establishes synthetic long exposure to ABNB, then systematically sells ABNB call options against that exposure to generate option premium. Cash and U.S. Treasuries provide collateral and a modest income base; the fund does not own ABNB shares and shareholders are not entitled to ABNB dividends. Option positions are actively managed and typically rolled on a scheduled cadence to maintain target exposure, moneyness, and tenor, with upside participation capped by short calls. Risk is controlled through full collateralization, defined contractual terms, exchange clearing, and disciplined strike/tenor selection designed to balance income capture, path dependency, and gap risk around earnings and event windows.

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