About the index
The Index seeks to implement a "covered call" investment strategy by maintaining a notional long position in shares of the United States Oil Fund, LP (Ticker: USO) (the "USO Shares") while notionally selling call options on that position on a monthly basis that are approximately 6% out-of-the-money (i.e., strike price is 106%). The notional net premiums received (if any) for selling the calls are paid out at the end of each monthly period as a Distribution. The Index's strategy is designed to generate monthly cash flow in exchange for giving up any gains beyond the 106% strike price. The Index's strategy provides no protection from losses resulting from a decline in the value of the USO Shares beyond the notional call premium received, if any. The return on the ETNs will be based on the performance of the price return version of the Index, and, therefore, each monthly Distribution will be subtracted from a notional portfolio of the Index and the level of the price return version of the Index will decrease with each such Distribution. The Index is calculated by Nasdaq, Inc. and the levels of the price return version are disseminated real-time under the Bloomberg ticker symbol "QUSOI". The Index was established on September 26, 2016 and, therefore, has no performance history prior to that date.
The Index seeks to implement a "covered call" investment strategy by maintaining a notional long position in shares of the United States Oil Fund, LP (Ticker: USO) (the "USO Shares") while notionally selling call options on that position on a monthly basis that are approximately 6% out-of-the-money (i.e., strike price is 106%). The notional net premiums received (if any) for selling the calls are paid out at the end of each monthly period as a Distribution. The Index's strategy is designed to generate monthly cash flow in exchange for giving up any gains beyond the 106% strike price. The Index's strategy provides no protection from losses resulting from a decline in the value of the USO Shares beyond the notional call premium received, if any. The return on the ETNs will be based on the performance of the price return version of the Index, and, therefore, each monthly Distribution will be subtracted from a notional portfolio of the Index and the level of the price return version of the Index will decrease with each such Distribution. The Index is calculated by Nasdaq, Inc. and the levels of the price return version are disseminated real-time under the Bloomberg ticker symbol "QUSOI". The Index was established on September 26, 2016 and, therefore, has no performance history prior to that date.
