Akros U.S. High Dividend Enhanced Income Index

The Akros U.S. High Dividend Enhanced Income Index combines a portfolio of high-dividend U.S. stocks with a covered-call overlay that seeks to generate additional income from option premiums. The equity portfolio is the same as the Akros U.S. High Dividend Index: 30 U.S. common stocks selected for high dividend yields and consistent financial strength. Each week the index writes at-the-money call options on SPY and collects the premiums, sizing the position so that the targeted total distribution, dividends plus premiums, is approximately twice the equity portfolio's dividend yield, subject to a cap of 12% per annum. The written options are FLEX (Flexible Exchange) contracts, valued with a theoretical European-style option-pricing model whose implied volatility is estimated from the volatility curve of SPY's listed options.