Part 1: Understanding covered call ETFs

Published date: 19th August 2025 | Author: Tom Bailey

What are covered calls?

Covered call ETFs follow a simple two-part approach:

  1. They hold a portfolio of stocks.
  2. They sell “call options” on those stocks to generate extra income.

But before we explain how this works in an ETF, it’s helpful to first understand what a covered call is.

A call option is a contract that gives someone else the right – but not the obligation – to buy a stock from you at a set price (called the strike price) before a certain date. In return for that right, the buyer pays you a fee, known as a premium.

Let’s say you own a share of Apple, currently trading at $100. You decide to sell a call option with a strike price of $105 that expires in one month. An investor called Victoria buys this option from you and pays you $2 for it – known as the premium.

By the end of the month, two things could happen:

  • If Apple stays below $105, Victoria won’t use the option. It expires worthless, and you keep both your Apple share and the $2 premium.
  • If Apple rises above $105 – say to $110 – Victoria will likely exercise the option. That means you’ll have to sell your Apple share to her at $105, giving up the extra $5 in gains. But you still keep the $2 premium.

This is the basic idea behind a covered call: you own the stock, and you “cover” the call option by being prepared to sell it if required.

Covered call ETFs do this at scale – they own a basket of stocks and sell call options on them, typically repeating the process each month. The regular income from the premiums can provide investors with an income stream. But there is a trade-off: when markets rise quickly, the strategy may give up some of the upside, since gains above the strike price are capped.

How do covered call strategies work in an ETF?

Covered call ETFs use the same basic idea as the above Apple example – but they do it across a whole portfolio of stocks.

Here’s how it typically works:

  1. The ETF owns a group of stocks – this could be companies from a major market index, a specific sector (like technology), or a particular investment theme.
  2. It sells call options on some or all of those stocks, agreeing to sell them at a set price if they rise above that level within a certain time frame.
  3. In return, the ETF collects option payments – known as premiums – from the buyers of those options.
  4. If the stocks stay below the agreed price, the ETF keeps both the shares and the income. If the stocks rise above it, the ETF may have to sell them –  but it still keeps the premium.
  5. Investors in the ETF are paid these fees as income, similar to a dividend. The fund repeats this process with new options, usually every month.

By following this pattern, the ETF earns income month after month from selling options. That income can be passed on to investors. However, there is a trade-off: if the market rises sharply, the ETF may miss out on some of the gains, since it has agreed in advance to sell the stocks at a fixed price.

Why investors might use covered call ETFs

Covered call ETFs are designed to generate regular income, which is their main attraction.

Here are a few reasons why they’ve become popular:

  1. Income generation
    The main benefit of a covered call ETF is the monthly income it can provide. By selling call options, the ETF collects option premiums. These are paid out to investors, often resulting in yields that are higher than what you’d get from dividends alone.
  2. A cushion in volatile markets
    Covered call strategies don’t prevent losses, but the income from option premiums can help soften the impact when markets fall. That extra income can act as a small buffer during periods of falling markets.
  3. Potential outperformance when markets move sideways
    Stock markets don’t always go up or down. When prices stay flat or move only slightly, traditional stock investing can be unrewarding. Covered call ETFs can still earn income in these conditions because the premiums come from selling options, not from price movements. This makes the strategy particularly useful when markets are going nowhere.
  4. Diversifying your sources of income
    Most income-focused portfolios rely on dividend-paying stocks, which are often concentrated in sectors like banks, utilities, and energy. Covered call ETFs can offer income from a broader mix of companies, including those that don’t usually pay dividends, such as large technology firms. This means investors can earn income from names like Amazon, Tesla, or Nvidia without depending on traditional dividend sectors.

By following this pattern, the ETF earns income month after month from selling options. That income can be passed on to investors. However, there is a trade-off: if the market rises sharply, the ETF may miss out on some of the gains, since it has agreed in advance to sell the stocks at a fixed price.

The importance of volatility

One of the biggest factors affecting how much income a covered call ETF can generate is how much the market is moving, known as volatility.

Volatility simply means how much prices are expected to rise or fall over a short period. When markets are calm and prices barely move, there’s not much opportunity for option buyers. But when markets are jumpy – with frequent ups and downs – buyers are willing to pay more for the chance to benefit from those swings.

That’s important for covered call ETFs because the money they make from selling options – the premium – is higher when volatility is higher. In short: More movement in the market = more income potential from selling options.

Since 2020, markets have been more unpredictable than they were in the previous five years. This greater volatility has helped covered call ETFs generate stronger income – and is one of the reasons why these strategies have grown more popular.

As the chart below shows, average market volatility, as measured by the VIX index, has risen since 2020. From 2015 to 2019, the average VIX level was just over 15. Since 2020, it has averaged more than 21. That may not sound dramatic, but the impact on option pricing is significant.

Graph showing persistent volatility, the ideal environment for covered call ETFs

Source: REX Shares; CBOE. Data as of 02.01.2015 – 30.05.2025. For illustrative purposes only.

 We are entering an era where energy policy, national security, and investment flows are converging around nuclear power.

How covered calls perform in different market environments

Covered call ETFs don’t aim to beat the market in every condition. But they can be especially effective in certain types of environments. The image below shows how they typically behave across four common market scenarios.

A selection of graphs showing the outcomes for covered call ETFs in various market scenarios.

Source: Rex Shares. For illustrative purposes only.

  1. Strong Uptrend – Income still earned, but upside is limited

When the market rises quickly, a covered call strategy may underperform the broader market. That’s because the ETF has agreed in advance to sell some of its stocks at a fixed price – so it gives up some gains if prices rise sharply. The fund still earns income from the options, but it won’t fully capture the rally.

  1. Modest Uptrend – Often the ideal scenario

This is often where covered call ETFs perform best. The underlying stocks rise gradually, staying below the option strike price. That means the ETF keeps the stock gains and the income from the options, resulting in a potentially strong overall return.

  1. Sideways Market – Turning market noise into income

In markets that go nowhere – bouncing up and down but not making real progress – covered call strategies can shine. Even without price gains, the ETF continues to earn income from selling options. That steady cash flow can make a big difference when markets are stagnant.

  1. Downtrend – Income helps cushion losses

Covered calls won’t prevent losses when markets fall. But the income from selling options can help reduce the impact. While the underlying stock values may decline, the extra income can soften the blow – and in some cases, offset part of the loss.

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