Guide to Index
Other Series_C-KOSPI 200
KOSPI 200 Covered Call Index (C-KOSPI 200) is an index that represents a synthetic investment strategy that simultaneously buys KOSPI 200 constituents (spot basket) and sells KOSPI 200 call options. It is used as a benchmark index for ETF, funds, and other financial products. KOSPI 200 Covered Call Index (C-KOSPI 200) has been calculated and announced since October 1, 2010
Overview
- C-KOSPI 200 represents a covered call investment strategy (line A + line B) that simultaneously buys KOSPI 200 constituents (spot basket) (line A in below chart) and sells an identical scale1) of KOSPI 200 call option (line B).
- 1) For example, if KOSPI 200’s (assume 200.0P) spot basket buying volume is KRW 10 billion, the identical scale of call option trade is 500 contracts. {= KRW 10 billion ÷ (200.0P × options trade multiplier)}
- From the below chart, if KOSPI 200 drops (①) or gradually rises (②) than the ‘break-even point(option strike price + option premium),’ additional profit is earned as much as the option premium. However, if KOSPI 200 sharply rises (③), the profit would be limited (loss compared to KOSPI 200).
General Information
- Name of Index: KOSPI 200 Covered Call (C-KOSPI 200)
- Methodology: C-KOSPI 200 is calculated on a hypothetical portfolio consisting of a long KOSPI 200 and two short OTM call options
- Target Option (Strike Price): Held until the expiration day after selling 5% of the immediate month’s Out-of-the-Money(OTM) call option
- Two call options with the strike price (with a constant proportion of 2.5P) closest to the 5% price increase based on KOSPI 200 closing price index on the last trading day (For example, 210.0P and 212.5P strike price call option would apply if KOSPI 200 closing price index is 200.0P on the last trading day)
- Delivery Month Roll-over: Sell 5% of the next delivery month’s Out-of-the-Money (OTM) call option after the closing index of KOSPI 200 has been announced
- 『Record of Options Delivery Month Roll-over』will be announced monthly on the last trading day through the above menu
* Volume weighted split selling is conducted between 15:00 and 15:15 on the last trading day for Roll-over
- 『Record of Options Delivery Month Roll-over』will be announced monthly on the last trading day through the above menu
- Base Date: January 11, 2007
- Base Index: KOSPI 200 closing price index on the base date(176.26p)
- Time of Calculation: 9:01 ~ 15:15
- KOSPI 200 Covered Call Index (C-KOSPI 200) is a theoretical investment reference index and the actual yield of financial products, such as ETF and funds, may differ. Please note that KRX does not have legal liabilities of the outcome of the investment through the information provided.
※ Data and information on the KRX website are provided for the purpose of improving availability of information for investment, not for trading securities. In spite of the efforts made in ensuring the accuracy of data and information, the KRX recognizes that unintentional and chance errors and delays occur. The KRX is not responsible for any loss resulted from the investments made using the data and information provided on its website.
