YieldMax R2000 0DTE Covered Call Strategy ETF (RDTY US) – Portfolio Construction Methodology

The investment process underpinning the actively managed YieldMax R2000 0DTE Covered Call Strategy ETF targets current income with secondary appreciation by employing a synthetic covered call overlay on the Russell 2000. The fund uses long deep-ITM calls to create continuous small-cap beta, then writes out-of-the-money 0DTE calls on the Russell 2000—or, when suitable, on ETFs tracking the index—at the U.S. market open to monetize intraday theta; short calls typically limit same-day upside. An 80% policy (by notional) in 0DTE options referencing the index governs investability; collateral and liquidity are managed via short-term USD instruments and cash. Portfolio construction is exposure-driven rather than issuer-driven, with risk managed through option moneyness, strike selection, and tenor. Rebalancing occurs via the daily option cycle and periodic replacement of the long deep-ITM calls to maintain synthetic coverage.

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