YieldMax NVDA Option Income Strategy ETF (NVDY US) – Portfolio Construction Methodology

The investment strategy underpinning the actively managed YieldMax NVDA Option Income Strategy ETF seeks high current income by writing call options or call spreads on Nvidia equity while using cash-equivalent collateral to support option obligations. The fund typically obtains its exposure through collateralized structured instruments (e.g., ELNs) that reference a systematic covered-call framework on the underlying, rather than holding common stock directly. Portfolio construction centers on option laddering and active strike/tenor selection to balance near-term premium capture with residual delta exposure; upside is intentionally capped by the short-call overlay and downside remains materially linked to the underlying’s price path. Risk is managed through collateral maintenance, issuer concentration to a single reference asset, and roll discipline, with positions reset on a defined schedule and trimmed or closed when exposure or payoff asymmetry deviates from targets.

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