The Global X Research Team is pleased to release the distribution and premium numbers for our covered call ETFs for March 2024.
Key Takeaways
Takeaway 1 – Major Indexes Moved Higher Virtually Across the Board
During the March roll period for the Global X Covered Call suite of products, stretching from February 16th to March 15th, the market rally that kicked off more than four months ago continued to usher in higher values for the S&P 500, Nasdaq 100, Russell 2000, and Dow Jones Industrial Average. It reflected ongoing optimism over the potential for corporate earnings growth in the year ahead, as well as anticipation of the Federal Reserve’s first rate cut following a cycle of hikes that pushed the Federal Funds rate as high as 5.33%.1
Takeaway 2 – Markets and Volatility Traded Commensurately
Typically, the negative correlation that is shared between volatility and underlying market performance will see the two measures diverge from one period to another. In the March roll period, however, the S&P 500 and Nasdaq 100 delivered total returns of 2.36% and 0.77%, respectively, while the Cboe Volatility Index (VIX) and the Cboe Nasdaq 100 Volatility Index (VXN), which characterize volatility associated with these indices, migrated upward on a sequential basis to 14.41% and 19.25%.2 The undertaking led the Global X covered call funds that write contracts on these indices to attract higher premiums, month to month, and supported QYLD distributing up to its cap distribution level of 1.00%.
Takeaway 3 – Premiums Trended Higher For Essentially All Funds
Although volatility was somewhat of a mixed bag across the scope of the Global X Covered Call suite during the March roll, premiums attained by the funds were higher month to month with few exceptions. The undertaking likely reflected option skew becoming more bullish, with demand for calls driving up value.3 Broader implied volatility trends, which have exhibited a general upward trajectory dating back over the last three months, are also likely to have played a role, as the timetable pertaining to the Fed’s first interest rate cut continues to be pushed out.4
Click here for QYLD's most recent month- and quarter-end performance.
Click here to download the Global X March Covered Call Report.