TIP TAIFEX TAIEX Covered Call OTM 5% Total Return Index

Overview

The "TIP TAIFEX TAIEX Covered Call OTM 5% Total Return Index" (TIP TAIFEX TAIEX Covered Call OTM5% TR Index) measures the total return of a hypothetical “Covered Call” strategy. The Covered Call strategy involves a long position in TAIEX and simultaneously sells TAIEX call options (Ticker symbol: ”TXO”) on a monthly basis, whereas the cash dividends along with the option premium received are functionally “re-invested” in the Covered Call Index portfolio. The call options would be settled on the final settlement day and the newly near-month 5% out-of-the-money TAIEX call options would be sold.