The Global X Research Team is pleased to announce the release of its Monthly Covered Call Report, featuring the premium and distribution values attained by its roster of covered call funds in July of 2024. The key takeaways below, as well as those highlighted within the report, recap some of the most pivotal undertakings to have taken place across the markets during the July roll period. They outline their influence over the option pricing environment and help substantiate changing investor sentiments as characterized by specific market indicators.

Covered Call Report – July 2024 Key Takeaways

• The July 2024 roll period for the Global X Covered Call product suite, stretching from June 21^st to July 19^th, featured appreciating market values for most of the major domestic indices. That said, indexes that describe the degree of volatility by which they trade trended upward, as well. This trend was evident for the VIX (+332 bps), the Cboe Nasdaq 100 Volatility Index (VXN; +456 bps), and the Cboe Russell 2000 Volatility Index (RVX; +528 bps).¹ The end result was an environment where all of the call premiums attracted by Global X’s Covered Call and Covered Call & Growth funds that write index call options appreciated month to month.
• Existing uncertainty surrounding the future potential for inflation, the path of interest rates, and the state of corporate earnings has been accentuated, of late, by political conjecture associated with the Presidential race within the United States. Compounding on these lingering concerns has been a broad sector/style rotation into small-cap equities that took place leading up to options expiration on July 19^th.² The undertaking led market values to fluctuate widely during the roll period, and helped outline the value that can be provided to investors by considering covered call opportunities.
• Speculating on the potential for future implied volatility is rarely encouraged, and for good reason, considering that any number of existential events could influence the fear gauges materially in one direction or another. Still, it is interesting to note that, as the second-quarter earnings season kicked off, the Cboe S&P 500 Dispersion and Cboe 3-Month Implied Correlation indexes that describe how widely equities are expected to move in value and how closely they are expected to move in conjunction with one another, respectively, were both on an upward trend.³ The undertaking suggests a higher number of equities can potentially move more widely in value in the future, and such an environment would indeed promote market volatility.