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Name
As of 12/20/2024Price
Aum/Mkt Cap
YIELD
Exp Ratio
Watchlist
YTD Return
N/A
1 yr return
N/A
3 Yr Avg Return
N/A
5 Yr Avg Return
N/A
Net Assets
$79.9 M
Holdings in Top 10
103.3%
Expense Ratio 0.49%
Front Load N/A
Deferred Load N/A
Turnover N/A
Redemption Fee N/A
Standard (Taxable)
N/A
IRA
N/A
Fund Type
Exchange Traded Fund
Name
As of 12/20/2024Price
Aum/Mkt Cap
YIELD
Exp Ratio
Watchlist
The Fund is an actively managed ETF that seeks current income by employing an options strategy known as the “iron condor” on the S&P 500® Index (the “S&P 500 Index” or the “Index”). More precisely, the Fund aims to generate income from its options investments when the Index experiences little or no volatility during the time period for which the options provide exposure (typically, every business day). On days when the Index experiences volatility (positive or negative), the Fund has the potential to incur losses (on any given day). This strategy involves selling (or “writing”) out-of-the-money call and put options on the Index, each with approximately equal notional values not exceeding 200% of the Fund’s net assets at the time of sale, while simultaneously buying call and put options on the Index with strike prices even farther out-of-the-money, also each with approximately equal notional values not exceeding 200% of the Fund’s net assets at the time of sale, all with the same expiration date (the next day).
Iron Condor Strategy
To implement this strategy, every business day the Fund will:
(1) | write call options on the S&P 500 Index each at a strike price (the price at which the option can be exercised) above the current value of the Index (a “short call”), and |
(2) | write put options on the S&P 500 Index each at a strike price below the current value of the Index (a “short put”); |
and, simultaneously:
(3) | buy call options on the S&P 500 Index each at a strike price farther above the current value of the Index than the short call sold (a “long call”), and |
(4) | buy put options on the S&P 500 Index each at a strike price farther below the current value of the Index than the short put sold (a “long put”). |
The combination of these options positions creates what is known as an “iron condor.” Each of these options will typically have one day to expiration and will be considered “out-of-the-money” (i.e., the price of the S&P 500 Index is below the strike price for calls and above the strike price for puts) when bought or sold by the Fund. The put and call options will be bought and sold in tandem and reestablished daily. Specifically, a corresponding short put option will be sold for every short call option sold and a corresponding long put option will be bought for every long call option bought. The strike price of each short option will be as close to equidistant as possible from the value of the Index when written (the short call strike will be higher and the short put strike will be lower), and the strike prices of each long option will be as close to equidistant as possible from the value of the Index when purchased (the long call will be higher and the long put will be lower).
The Fund will trade exchange-traded options contracts that utilize the S&P 500 Index as the reference asset. In general, an option is a contract that gives the purchaser (holder) of the option, in return for cash (a “premium”), the right to buy from (call) or sell to (put) the seller (writer) of the option the security underlying the option at a specified exercise price. For cash-settled options such as those used by the Fund, the writer of the option has the obligation upon exercise to deliver to the purchaser the cash difference between the value of the reference asset (the Index) at expiration and the strike price of the option.
The Fund seeks to make monthly distributions through a steady income generated by regularly selling the options detailed above, commonly referred to as “call spreads” and “put spreads.” The “call spread” is the difference between the strike prices of the Fund’s short call and the long call and the “put spread” is the difference between the Fund’s short put and the long put. The Fund will enter into the same number of option contracts for the long and short legs of each spread with the same expiration dates and same notional value; however, the positions will have different strike prices. The options in the call spread will be approximately equidistant to the value of the Index as the corresponding options in the put spread. The Fund aims to provide an “enhanced” yield compared to other option-based strategies by frequently selling short-term options, typically with a one-day duration, at twice the notional amount of the Fund’s assets. This method may result in higher income than an approach of selling longer-term options over the same period at their notional amount. As the seller of the short call and short put options, the Fund receives a premium from the purchaser and, as the buyer of the long call and long put options, the Fund pays a premium to the seller. Because the long options purchased are farther out-of-the-money than the short options sold, their premiums are lower than the written options, so there is a net credit to the Fund when placing the trade. The difference between the premium income the Fund receives and the premiums paid by the Fund is the “net options premium income.”
The Fund does not provide returns similar to the S&P 500 Index or participate in the returns of the Index and the Fund’s performance will differ from that of the Index’s performance. The performance differences will depend on, among other things, the value of the Index, changes in the value of Index put and call options contracts the Fund has bought and sold, and changes in the value of the U.S. Treasury securities and money market funds the Fund invests its cash in. The income generated by the Fund, mostly in the form of options premiums received from its option sales, will be primarily influenced by the volatility of the Index’s value, although other factors, including interest rates, may also impact the level of income. When interest rates increase, call option premiums are generally higher while put option premiums are generally lower. A decrease in interest rates generally has the opposite effect on premiums.
While the Fund does not seek leveraged exposure to the performance of the Index, the Fund seeks to achieve and maintain exposure to the value of the Index by using the leverage inherent in options contracts. When the Fund sells a put and call spread (“options spreads”) or enters into a transaction without investing an amount equal to the full economic exposure of the options spread or transaction, it creates a form of investment leverage, which can result in the Fund losing more than the income generated from writing options spreads. The Fund intends to sell options spreads, each with a targeted notional value of up to 200% of the Fund’s net assets. However, the net options exposure in the Fund will not exceed 200% of the Fund’s net assets. Such investment leverage increases the volatility of the Fund and may result in losses greater than if the Fund had not been leveraged. The Fund’s strategy is designed to have approximately a daily, limited downside exposure to the Index, and the Fund’s losses are expected to be capped at the strike price of the long call options or the long put options purchased. The maximum drawdown of the Fund is the difference between the strike prices of the call spread, multiplied by 200%, or the difference between the strike prices of the put spread, also multiplied by 200%. The Fund’s call options positions and its put options positions will each have approximately equal notional values of no more than 200% of the Fund’s net assets at the time they are established. More specifically:
The notional value of an option refers to the value that the option controls. It is calculated by multiplying the price of the asset underlying the option (the Index) by the options multiplier by the number of contracts. The options multiplier is the number of shares an option contract controls. Equity options each control 100 underlying shares and therefore have a 100 options multiplier.
By way of example, assume the Fund has assets of $10 million and the Index is priced at $60. The notional value of one option contract would therefore be $6,000 (the $60 Index price x the 100 options multiplier). To determine the number of option contracts needed to have a notional value equal to approximately 100% of the Fund’s net assets, the Fund’s value is divided by the value of one contract ($10,000,000 divided by $6,000 = 1,667). Because the Fund aims to enhance yield by writing options at twice the notional amount of the Fund’s assets, the Fund would write twice (2x) the number of contracts (1,667 x 2 = 3,334). The Fund would therefore write 3,334 short put option contracts and 3,334 short call option contracts. The notional exposure would thus be approximately $20,000,000 ($60 x 100 x 3,334) from the short call options (200% of the Fund’s net assets) and $20,000,000 ($60 x 100 x 3,334) from the short put options, totaling to $40,000,000. Because these are short positions, their notional value would be -$40,000,000 (-400% of the Fund’s net assets). Additionally, the Fund would purchase 3,334 long call option contracts and 3,334 long put option contracts which (by the same math as above) would each also have a notional exposure of $20 million (200%), totaling to $40,000,000 (400%), but because these are long positions their notional value would be +$40,000,000 (+400%). The net notional exposure of the Fund’s options positions would be zero.
Possible Outcomes of Iron Condor Strategy
The Fund’s iron condor strategy is designed to mitigate downside risk through the use of its long puts and calls and establish a controlled payoff structure (net options premium income). The iron condor is crafted to provide income, mainly through option premiums, when the S&P 500 Index exhibits minimal or no volatility during the time period for which the options provide exposure (every business day). In contrast, on days when the Index experiences significant volatility, the Fund could face losses up to twice the difference (depending on the notional value of the options in the spread) between the strike prices of the call spread or the put spread (e.g., if the notional value of the options in the spread is 200%, the Fund would lose 200% of the difference between the strike prices in the spread; if the notional value of the options in the spread is 150%, the Fund would lose 150% of the difference between the strike prices in the spread). These losses may be incurred on any given day and shareholders who hold the Fund for multiple days can incur multiple days of such losses. However, any such losses will always be offset to some degree by the option premium income the Fund received from the sold options. The Fund’s call spreads and put spreads will each have a notional value of up to 200% of the Fund’s net assets at the time they are established.
The maximum gain is realized if the value of the S&P 500 Index is equal to or between the strike prices of the short options upon their expiration. The maximum loss is twice the difference between the strike prices of the call spread (or the put spread) less the net options premium income received. The maximum loss is realized if the price of the Index is above the highest strike price (the long call) or below the lowest strike price (the long put) at expiration. These long positions limit the Fund’s maximum loss to the difference between their strike prices and the strike prices of the corresponding short positions in the spread.
General Impact of Increases in Value of the S&P 500 Index
● | On days when the S&P 500 Index increases in value, but not up to the value of the strike price of the written short call options, all the options purchased or sold by the Fund will expire out-of-the-money and the Fund will benefit from the net options premium income received. |
● | On days when the Index increases in value beyond the strike price of the written short call options but remains below the strike price of the Fund’s long call options, the Fund’s long call options and put options expire out-of-the-money but the Fund’s written short call options expire in-the-money and the Fund owes the purchaser of the short call options up to twice the difference between the settlement value of the Index and the strike price of the written short call options. This loss to the Fund is capped however by the long call purchased by the Fund and offset by the net options premium income received. |
● | On days when the Index increases in value beyond the strike price of both the Fund’s short call and long call options, the Fund’s long and short put options expire out-of-the-money but its long and short call options are each in-the-money and the Fund will suffer its maximum loss. The Fund could face losses up to twice the difference between the strike prices of the call spread, offset by the net options premium income received. However, due to the long call purchased by the Fund, the Fund’s losses will be capped at this amount. |
General Impact of Decreases in Value of the S&P 500 Index
● | On days when the S&P 500 Index decreases in value, but not down to the value of the strike price of the written short put options, all the options purchased or sold by the Fund will expire out-of-the-money and the Fund will benefit from the net options premium income received. |
● | On days when the Index decreases in value beyond the strike price of the written short put options but remains above the strike price of the Fund’s long put options, the Fund’s long put options and call options expire out-of-the-money but the Fund’s written short put options expire in-the-money, and the Fund owes the purchaser of the short put options up to twice the difference between the settlement value of the Index and the strike price of the written put options. This loss to the Fund is capped however by the long put purchased by the Fund and offset by the net options premium income received. |
● | On days when the Index decreases in value beyond the strike price of both the Fund’s short put and long put options, the Fund’s long and short call options expire out-of-the-money but its long and short put options are each in-the-money and the Fund will suffer its maximum loss. The Fund could face losses up to twice the difference between the strike prices of the put spread, offset by the net options premium income received. However, due to the long put purchased by the Fund, the Fund’s losses will be capped at this amount. |
The following graph illustrates the gain loss characteristics of the Fund’s iron condor strategy:
For purposes of this illustration, assume the value of the Index is $5,250. The Fund:
(1) | Sells two short call options contracts at a strike of $5,330 (above the price of the Index), |
(2) | Sells two short put options contracts at a strike of $5,170 (below the price of the Index), |
and, simultaneously,
(3) | Buys two long call options contracts at a strike of $5,380 (farther above the price of the Index), and |
(4) | Buys two long put options contracts at a strike of $5,120 (farther below the price of the Index). |
Profit Scenario:
If the value of the Index is between $5,170 and $5,330 upon expiration of the options (one day), the short call and the short put options expire worthless and the strategy earns its maximum gain – the premiums received from the sold options ($3.74, as depicted by the horizontal portion of the green line in the graph).
Loss Scenarios:
If the value of the Index has increased upon expiration of the options (one day):
● | to above $5,330 but below $5,380, the strategy suffers a loss of up to twice the difference between the strike price of the short call option ($5,330) and the value of the Index less the premium received (as depicted by the downward red line on the right side of the graph). |
● | to above $5,380, the strategy suffers a loss of up to twice the difference between the strike price of the short call option ($5,330) and the strike price of the long call option ($5,380) less the premium received ($96.26, as depicted by the horizontal red arrow at $5,380 on the right side of the graph). This is the strategy’s maximum loss on days the Index value increases. |
If the value of the Index has decreased upon expiration of the options (one day):
● | to below $5,170 but above $5,120, the strategy suffers a loss of up to twice the difference between the strike price of the short put option ($5,170) and the value of the Index less the premium received (as depicted by the downward red line on the left side of the graph). |
● | to below $5,120, the strategy suffers a loss of up to twice the difference between the strike price of the short put option ($5,170) and the strike price of the long put option ($5,120) less the premium received ($96.26, as depicted by the horizontal red arrow at $5,120 on the left side of the graph). This is the strategy’s maximum loss on days the Index value decreases. |
Portfolio of the Fund
Principal Portfolio Holdings of the Fund | ||||
Portfolio Holdings (All options are based on the value of the Index) | Investment Terms | Notional Value (as a % of the Fund’s net assets) | Expected Target Maturity | |
Call Spread | Written call options (short calls) | Out-of-the money | -200% | Typically, 1 day, but may extend to one-week expiration dates |
Purchased call options (long calls) | Farther out-of-the-money | +200% | ||
Put Spread | Written put options (short puts) | Out-of-the money | -200% | Typically, 1 day, but may extend to one-week expiration dates |
Purchased put options (long puts) | Farther out-of-the-money | +200% | ||
U.S Treasury Securities, Money Market Funds and Cash | Multiple series of U.S. Treasury Bills supported by the full faith and credit of the U.S. government. The Fund will generally hold US Treasuries to maturity. These instruments are used as collateral for the Fund’s options and to generate income. The market value of the cash, money market funds and U.S. Treasuries held by the Fund is expected to comprise at least 80% of the Fund’s net assets. | Up to 1-year maturities at the time of purchase |
The Fund will generally seek to employ its investment strategy regardless of whether there are periods of adverse market, economic, or other conditions but may, at times, take temporary defensive positions during such periods. During such conditions, the Adviser may increase or decrease the strike prices of the Fund’s options, based on its assessment of market risk. For example, if the Adviser gauges market risk to be significantly high or rising rapidly, it may sell the options at strike prices farther out-of-the-money. In addition, if during such conditions the Adviser is unable to obtain options expiring the next day, it will use options with the shortest time to expiration available, up to one-week.
The Fund intends to primarily utilize exchange-traded European style options, including standardized options and Flexible EXchange® (“FLEX”) options. An option is said to be “European Style” when it can be exercised only at expiration. Standardized options are available with set or defined contract terms, such as the style (call or put), the reference asset, the strike price and expiration date. FLEX options allow for customizable terms (e.g., the strike price can be negotiated). Exchange-listed options contracts, including FLEX options, are guaranteed for settlement by the Options Clearing Corporation (“OCC”).
The Fund is considered to be non-diversified, which means that it may invest more of its assets in the securities of a single issuer or a smaller number of issuers than if it were a diversified fund.
The Fund will invest, under normal circumstances, at least 80% of the value of its net assets, plus borrowings for investment purposes, in options that provide exposure to the value of the S&P 500 Index. The Fund will consider the notional value of its options positions for the purpose of assessing compliance with this 80% Policy. The Fund’s 80% Policy is non-fundamental and requires 60 days prior written notice to shareholders before it can be changed.
The Fund intends to make monthly distribution payments to shareholders.
The Index
The S&P 500 Index is a float-adjusted market capitalization weighted index containing equity securities of 500 leading publicly traded companies, regarded as generally representative of the U.S. stock market. A float-adjusted market capitalization weighted index weights each index component according to its market capitalization, using the number of shares that are readily available for purchase on the open market. The S&P 500 Index is rebalanced quarterly. The value of the options held by the Fund will fluctuate based on the sector or sectors heavily referenced in the S&P 500 Index. As of the date of this prospectus, the Index had significant exposure to the information technology sector. The Fund, the Trust and Themes Management Company, LLC (the “Adviser”), the Fund’s investment adviser, are not affiliated with, nor endorsed by, the S&P 500 Index. An investment in the Fund is not an investment in the Index, nor is the Fund an investment in a traditional passively managed index fund. The Fund does not invest directly in the Index or in companies that comprise the Index.
Period | SPYT Return | Category Return Low | Category Return High | Rank in Category (%) |
---|---|---|---|---|
YTD | N/A | 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
Period | SPYT 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 |
Period | SPYT Return | Category Return Low | Category Return High | Rank in Category (%) |
---|---|---|---|---|
YTD | N/A | 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
Period | SPYT 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 |
SPYT | Category Low | Category High | SPYT % Rank | |
---|---|---|---|---|
Net Assets | 79.9 M | N/A | N/A | N/A |
Number of Holdings | 4 | N/A | N/A | N/A |
Net Assets in Top 10 | 52.4 M | N/A | N/A | N/A |
Weighting of Top 10 | 103.32% | N/A | N/A | N/A |
Weighting | Return Low | Return High | SPYT % Rank | |
---|---|---|---|---|
Stocks | 99.92% | N/A | N/A | N/A |
Cash | 3.49% | 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 |
Bonds | 0.00% | N/A | N/A | N/A |
Other | -0.10% | N/A | N/A | N/A |
Weighting | Return Low | Return High | SPYT % Rank | |
---|---|---|---|---|
Utilities | 0.00% | N/A | N/A | N/A |
Technology | 0.00% | N/A | N/A | N/A |
Real Estate | 0.00% | N/A | N/A | N/A |
Industrials | 0.00% | N/A | N/A | N/A |
Healthcare | 0.00% | N/A | N/A | N/A |
Financial Services | 0.00% | N/A | N/A | N/A |
Energy | 0.00% | N/A | N/A | N/A |
Communication Services | 0.00% | N/A | N/A | N/A |
Consumer Defense | 0.00% | N/A | N/A | N/A |
Consumer Cyclical | 0.00% | N/A | N/A | N/A |
Basic Materials | 0.00% | N/A | N/A | N/A |
Weighting | Return Low | Return High | SPYT % Rank | |
---|---|---|---|---|
US | 99.92% | N/A | N/A | N/A |
Non US | 0.00% | N/A | N/A | N/A |
SPYT Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
---|---|---|---|---|
Expense Ratio | 0.49% | N/A | N/A | N/A |
Management Fee | 0.49% | 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 |
SPYT 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 |
SPYT Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
---|---|---|---|---|
Max Redemption Fee | N/A | N/A | N/A | N/A |
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.
SPYT Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
---|---|---|---|---|
Turnover | N/A | N/A | N/A | N/A |
SPYT | Category Low | Category High | SPYT % Rank | |
---|---|---|---|---|
Dividend Yield | 20.54% | N/A | N/A | N/A |
SPYT | Category Low | Category High | Category Mod | |
---|---|---|---|---|
Dividend Distribution Frequency | None |
SPYT | Category Low | Category High | SPYT % Rank | |
---|---|---|---|---|
Net Income Ratio | N/A | N/A | N/A | N/A |
SPYT | Category Low | Category High | Capital Mode | |
---|---|---|---|---|
Capital Gain Distribution Frequency |
Date | Amount | Type |
---|---|---|
Dec 02, 2024 | $0.336 | OrdinaryDividend |
Nov 01, 2024 | $0.332 | OrdinaryDividend |
Oct 01, 2024 | $0.334 | OrdinaryDividend |
Sep 03, 2024 | $0.333 | OrdinaryDividend |
Jul 31, 2024 | $0.330 | OrdinaryDividend |
Jul 01, 2024 | $0.337 | OrdinaryDividend |
Jun 03, 2024 | $0.330 | OrdinaryDividend |
May 01, 2024 | $0.324 | OrdinaryDividend |
Apr 01, 2024 | $0.340 | OrdinaryDividend |
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