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Trending ETFs

Name

As of 07/12/2024

Price

Aum/Mkt Cap

YIELD

Annualized forward dividend yield. Multiplies the most recent dividend payout amount by its frequency and divides by the previous close price.

Exp Ratio

Expense ratio is the fund’s total annual operating expenses, including management fees, distribution fees, and other expenses, expressed as a percentage of average net assets.

Watchlist

$22.87

$31.1 M

6.02%

$1.38

0.60%

Vitals

YTD Return

10.2%

1 yr return

N/A

3 Yr Avg Return

N/A

5 Yr Avg Return

N/A

Net Assets

$31.1 M

Holdings in Top 10

83.4%

52 WEEK LOW AND HIGH

$22.8
$19.22
$22.97

Expenses

OPERATING FEES

Expense Ratio 0.60%

SALES FEES

Front Load N/A

Deferred Load N/A

TRADING FEES

Turnover N/A

Redemption Fee N/A


Min Investment

Standard (Taxable)

N/A

IRA

N/A


Fund Classification

Fund Type

Exchange Traded Fund


Name

As of 07/12/2024

Price

Aum/Mkt Cap

YIELD

Annualized forward dividend yield. Multiplies the most recent dividend payout amount by its frequency and divides by the previous close price.

Exp Ratio

Expense ratio is the fund’s total annual operating expenses, including management fees, distribution fees, and other expenses, expressed as a percentage of average net assets.

Watchlist

$22.87

$31.1 M

6.02%

$1.38

0.60%

PUTD - Profile

Distributions

  • YTD Total Return 10.2%
  • 3 Yr Annualized Total Return N/A
  • 5 Yr Annualized Total Return N/A
  • Capital Gain Distribution Frequency N/A
  • Net Income Ratio N/A
DIVIDENDS
  • Dividend Yield 6.0%
  • Dividend Distribution Frequency Quarterly

Fund Details

  • Legal Name
    Cboe® Validus S&P 500® Dynamic PutWrite Index ETF
  • Fund Family Name
    N/A
  • Inception Date
    Aug 10, 2023
  • Shares Outstanding
    N/A
  • Share Class
    N/A
  • Currency
    USD
  • Domiciled Country
    US

Fund Description

The Fund is an exchange-traded fund (“ETF”) that uses a “passive management” (or indexing) approach to track the performance, before fees and expenses, of the Index. The Index was developed in 2022 and is administered by Cboe Global Indices, LLC (the “Index Provider”).

Cboe Validus S&P 500 Dynamic PutWrite Index:

The Index employs a rules-driven approach, without the use of leverage, with the goal of identifying a portfolio of written put options on the S&P 500 Index, that when sold in accordance with the Index’s rules driven approach, will collectively provide over the long term a total return that will exceed that of the S&P 500 Index with lower volatility and drawdown. That is, the Fund is designed to be a less risky investment, with fewer and smaller drops in value than the S&P 500 Index. The Index’s rules-driven approach, or methodology, involves selling one-month put options, where the strike prices are based on the current levels of implied volatility (that is, the current expectation of how much the S&P 500 Index’s price level will move in the future). This allows for greater long positions (e.g., selling puts that are more “in the money”) during high-volatility periods, such as after a significant market drop. To minimize and diversify the impact of path dependency (that is, seeking to avoid performance being “locked-in” when it is not the desired outcome) on the option’s performance, the methodology also involves conducting trades five times a month. See “Additional Information about the Index/Terminology” below for more detail.

The Index uses a methodology of identifying a collection of written cash-settled equity index put options (also known as shorting options) on the S&P 500 Index to seek to track the performance of the S&P 500 Index. The Index’s methodology also assumes that the option premiums received from selling the index put options (“S&P 500 Index Puts”), are invested in U.S. Treasury Bills of varying maturities. Accordingly, under normal circumstances, the Index will be comprised of the S&P 500 Index Put options and one- or three-month U.S. Treasury Bills. See “Additional Information about the Fund” below for general information about options.

The Index’s methodology selects the strike prices for the put options using a “dynamic selection process.” That is, the Index’s methodology determines the appropriate strike prices based on the level of implied volatility calculated using the option price of the S&P 500 option chain with nearest regular monthly maturity of the options. The Index’s methodology uses two unique characteristics to seek to develop a portfolio which will improve returns while managing risk:

During periods of market volatility, especially when there is a market decline, the methodology will identify put options that can be sold that are more responsive to changes in the price of the S&P 500 (known as higher delta). This means that if the market rebounds, the Index will capture additional gains compared to commonly used putwrite strategies. Additionally, it benefits from the income received by selling these put options.
The methodology assumes the sale of put options five times within a trading month. This approach is designed to help reduce the reliance on the specific path or timing of market movements for the Index’s strategy to be successful.

The Index’s methodology uses the sale of put options and investment of the premiums in short-term U.S. Treasury Bills as both a potential source of additional performance and as a tool to reduce its volatility (as compared to the S&P 500 Index). The Index’s methodology uses price data about the S&P 500 Index as well as option implied volatility data developed by the Index Provider to implement the Index’s strategy.

Index Reconstitutions

The Index’s components are selected on a monthly basis during each day of the week that contains the third Friday of such month (or, if there is a holiday during that week, part of the preceding week).

Index Construction

The Index is comprised of a minimum of a “single type” of put option (i.e., one or more put options with the same expiration date, underlying asset, and strike price) and a maximum of five “different types” of put options (e.g.., put options that have different strike prices). In addition, the Index is comprised of one- and three-month U.S. Treasury bills.

The Fund’s Investment Strategy:

In a put writing strategy, the Fund (as the seller of the option) receives premiums from the purchaser of the option in exchange for providing the purchaser with the right to sell the underlying instrument to the Fund at a specific price (i.e., the exercise price or strike price). If the market price of the instrument underlying the option exceeds the strike price, it is anticipated that the option would go unexercised, and the Fund would earn the full premium upon the option’s expiration or a portion of the premium upon the option’s early termination. If the market price of the instrument underlying the option drops below the strike price, it is anticipated that the option would be exercised, and the Fund would pay the option buyer the difference between the market value of the underlying instrument and the strike price.

In seeking to obtain exposures comparable to those of the Index, under normal market conditions, the Fund will invest substantially all of its net assets in the investments that make up the Index. That is, the Fund will generally use a “replication” strategy to achieve its investment objective, meaning it generally will invest in all of the Index components. The Fund will sell cash-settled equity index put options on the S&P 500 Index. The Fund will invest the funds it receives from option premiums in U.S. Treasury Bills of varying maturities.

The Fund does not provide typical long-only exposure to the S&P 500 Index. Instead, the Fund’s returns will primarily come from the collection of premiums on the sale of puts and from interest income earned from Treasury security investments. The Index, and therefore the Fund, may seek to enhance the potential for returns from options premiums by adjusting the strike prices of puts sold based on market volatility. That is, the Index methodology, and therefore the Fund will change the strikes of the put options it sells depending on market volatility in an effort to enhance the premiums it receives on these options. For example, when the markets are more volatile (unpredictable), the Fund will sell put options with higher strike prices (i.e., “in the money”). This will be done to seek to maintain some exposure to the S&P 500 Index, even when the market drops, while also seeking to earn a reasonable amount from the options sold.

When the Fund sells puts, the Fund’s potential return is limited to the amount of option premiums it receives. For at the money puts, the options premiums are based on time value (i.e., an amount a buyer is willing to pay for the possibility that the option could increase in value before expiration). For in the money puts, the premiums are higher because they are based on both time value and intrinsic value (e.g., the Fund receives a limited amount of the S&P 500 Index’s potential upside).

The Index, and therefore the Fund when using a replication strategy, trades five days a week, from Monday to Friday, during the week of the option expiry (the week that includes the third Friday of the month), with the exception of market holidays. Approximately one-fifth of the notional value is traded each day during that week.

From time to time, the Fund may use a “representative sampling” strategy, meaning it may invest in a sample of the Index components whose risk, return and other characteristics closely resemble the risk, return, and other characteristics of the Index as a whole, when the Fund’s investment adviser believes it is in the best interests of the Fund (e.g., when replicating the Index involves practical difficulties or substantial costs, an Index component becomes temporarily illiquid, unavailable, or less liquid, or as a result of legal restrictions or limitations that apply to the Fund, but not to the Index).

   

The Fund will hold short-term U.S. Treasury securities, cash, and cash equivalents for margin or as collateral for the put options.

The Fund will concentrate its investments in a particular industry or group of industries (i.e., hold more than 25% of its total assets in the securities of a particular industry or group of related industries), to approximately the same extent as the Index is so concentrated.

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PUTD - Performance

Return Ranking - Trailing

Period PUTD Return Category Return Low Category Return High Rank in Category (%)
YTD 10.2% N/A N/A N/A
1 Yr N/A N/A N/A N/A
3 Yr N/A* N/A N/A N/A
5 Yr N/A* N/A N/A N/A
10 Yr N/A* N/A N/A N/A

* Annualized

Return Ranking - Calendar

Period PUTD Return Category Return Low Category Return High Rank in Category (%)
2023 N/A N/A N/A N/A
2022 N/A N/A N/A N/A
2021 N/A N/A N/A N/A
2020 N/A N/A N/A N/A
2019 N/A N/A N/A N/A

Total Return Ranking - Trailing

Period PUTD Return Category Return Low Category Return High Rank in Category (%)
YTD 10.2% N/A N/A N/A
1 Yr N/A N/A N/A N/A
3 Yr N/A* N/A N/A N/A
5 Yr N/A* N/A N/A N/A
10 Yr N/A* N/A N/A N/A

* Annualized

Total Return Ranking - Calendar

Period PUTD Return Category Return Low Category Return High Rank in Category (%)
2023 N/A N/A N/A N/A
2022 N/A N/A N/A N/A
2021 N/A N/A N/A N/A
2020 N/A N/A N/A N/A
2019 N/A N/A N/A N/A

PUTD - Holdings

Concentration Analysis

PUTD Category Low Category High PUTD % Rank
Net Assets 31.1 M N/A N/A N/A
Number of Holdings 7 N/A N/A N/A
Net Assets in Top 10 26 M N/A N/A N/A
Weighting of Top 10 83.42% N/A N/A N/A

Top 10 Holdings

  1. United States Treasury Bill 85.89%
  2. First American Government Obligations Fund 0.25%
  3. SPX US 05/17/24 P5060 -0.27%
  4. SPX US 05/17/24 P5140 -0.45%
  5. SPX US 05/17/24 P5160 -0.55%
  6. SPX US 05/17/24 P5175 -0.64%
  7. SPX US 05/17/24 P5220 -0.81%

Asset Allocation

Weighting Return Low Return High PUTD % Rank
Bonds
85.89% N/A N/A N/A
Cash
16.83% N/A N/A N/A
Stocks
0.00% N/A N/A N/A
Preferred Stocks
0.00% N/A N/A N/A
Convertible Bonds
0.00% N/A N/A N/A
Other
-2.72% N/A N/A N/A

Bond Sector Breakdown

Weighting Return Low Return High PUTD % Rank
Cash & Equivalents
0.25% N/A N/A N/A
Securitized
0.00% N/A N/A N/A
Corporate
0.00% N/A N/A N/A
Municipal
0.00% N/A N/A N/A
Government
0.00% N/A N/A N/A
Derivative
-2.72% N/A N/A N/A

Bond Geographic Breakdown

Weighting Return Low Return High PUTD % Rank
US
85.89% N/A N/A N/A
Non US
0.00% N/A N/A N/A

PUTD - Expenses

Operational Fees

PUTD Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Expense Ratio 0.60% N/A N/A N/A
Management Fee 0.60% N/A N/A N/A
12b-1 Fee N/A N/A N/A N/A
Administrative Fee N/A N/A N/A N/A

Sales Fees

PUTD Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Front Load N/A N/A N/A N/A
Deferred Load N/A N/A N/A N/A

Trading Fees

PUTD Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Max Redemption Fee N/A N/A N/A N/A

Related Fees

Turnover provides investors a proxy for the trading fees incurred by mutual fund managers who frequently adjust position allocations. Higher turnover means higher trading fees.

PUTD Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Turnover N/A N/A N/A N/A

PUTD - Distributions

Dividend Yield Analysis

PUTD Category Low Category High PUTD % Rank
Dividend Yield 6.02% N/A N/A N/A

Dividend Distribution Analysis

PUTD Category Low Category High Category Mod
Dividend Distribution Frequency Quarterly

Net Income Ratio Analysis

PUTD Category Low Category High PUTD % Rank
Net Income Ratio N/A N/A N/A N/A

Capital Gain Distribution Analysis

PUTD Category Low Category High Capital Mode
Capital Gain Distribution Frequency

Distributions History

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PUTD - Fund Manager Analysis

Tenure Analysis

Category Low Category High Category Average Category Mode
N/A N/A N/A N/A