Global X NASDAQ 100 Covered Call ETF (QYLG US) – Portfolio Construction Methodology

The underlying Cboe Nasdaq-100 Half BuyWrite V2 Index delivers a rules-based covered-call overlay on the Nasdaq-100 Index by writing calls on only 50% of the equity notional. The index holds the full, modified-cap-weighted Nasdaq-100 basket, which itself limits any constituent to 12.5% and all ≥4.5% names to 48%, and on the roll day each month (usually the business day before standard NDX option expiration) it sells one at-the-money, cash-settled NDX call on half of the portfolio using the 2:00–4:00 p.m. ET VWAP to set the option premium. Premiums are retained in the index and earn index-level cash returns until the next roll. Half the equity exposure therefore participates fully in upside, while the overwritten half is capped at the strike but bears downside. Corporate actions in Nasdaq-100 names flow through daily.

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