ICON ASSET MANAGEMENT AG

Icon has been chosen by the CBOE to manage its first index product in Switzerland, owing to its heritage as a derivatives and options trading house, and the strong ties that CEO Richard Toolen and his team have built with the CBOE exchange.
 

The Icon Cboe® U.S. Equity Dynamic Covered Call Strategy references the price movements in the underlying Cboe Validus S&P 500 Dynamic BuyWrite (CALD) Index with a quarterly rebalance to equalize volatility.  
 

The strategy takes a systematic long S&P 500 position while selling S&P 500 out-of-the-money call options to a maximum of 10 % of the long position at any one time. The proceeds from option sales are reinvested and allow ICON to pay quarterly distributions, approximately 2% per annum. The option positions (strike prices) are adjusted according to the prevailing volatility regime. Additionally, the product is levered (on average 1.2x) to match the S&P 500 volatility on a quarterly basis to potentially deliver higher risk-adjusted returns and a highly liquid product. ICON physically replicates the CBOE CALD index but will add a proprietary long VIX future overlay to provide additional outperformance and hedge downside risk. The VIX long hedge protects the position during certain changes in the volatility term structure.