ICON CBOE
The ICON CBOE® U.S. Equity Dynamic Covered Call Strategy - Systematic income generation through disciplined options overlay.
Investment Approach & Philosophy
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.
Strategy Components
Systematic Long Exposure
Maintains a core long S&P 500 position, providing broad equity market participation and upside potential while serving as the foundation for the covered call strategy.
Dynamic Call Writing
Sells out-of-the-money call options up to 10% of the long position, with strike prices adjusted based on prevailing volatility regimes to optimize income generation and risk management.
Volatility Overlay
Proprietary long VIX futures overlay provides additional downside protection during volatility term structure changes, enhancing risk-adjusted returns during market stress periods.
Quarterly Rebalancing
Strategy is levered on average 1.2x and rebalanced quarterly to match S&P 500 volatility, ensuring consistent risk profile while maximizing capital efficiency and distribution potential.
Portfolio Management
Francis Everington
Mr. Francis Hugh Everington is ICON Portfolio Manager and a quantitative developer of systematic trading strategies with a strong background in portfolio and risk management and over 27 years of experience at firms in London, Frankfurt and Zurich. Frank has advanced strategy and algorithmic portfolio construction skills, deep market knowledge in a wide range of alternative asset classes and a strong risk control ethos. He has worked previously at Principalium Capital AG, Ambient Capital Management CTA, UBS Asset Management and Credit Suisse Asset Management, Clariden Leu AG, ICAP Germany, Commerzbank and Nikko Securities in a wide variety of roles in trading, research and marketing.
Risk Disclosures
Learn More About ICON Covered Call
Connect with our team to explore how this systematic covered call strategy can provide income generation and risk management for your portfolio.