Active ETF Yield Overlay Simulator | Goldman-Neos Option Engine

Overlay Parameters

Active Monthly Roll

Market Regime Preset

Strike Moneyness (Call Cap) 103.0% (3% OTM)

100% = ATM (Highest Yield, Max Drag) | 105% = 5% OTM (Higher Upside Capture)

Option Coverage Ratio 75%

% of portfolio underlying overwritten with monthly call options

Implied Volatility (IV) 20.0%

Higher IV expands option premiums harvested per monthly roll cycle

ETF Expense Ratio 0.68%

💡 Strategy Mechanics: The ETF holds standard index equity baskets while selling out-of-the-money call options. Monthly option premiums are harvested and paid out as regular cash yield.

Annualized Yield

11.4%

Monthly Income Harvest

ETF Net Total Return

+9.8%

NAV + Yield Distribution

Index Total Return

+5.2%

Benchmark Market Index

Max Drawdown (ETF)

-8.4%

Protected by Call Premium

Max Drawdown (Index)

-12.1%

Unhedged Benchmark Peak-to-Trough

Upside Capture Ratio

68.0%

Relative Bull Participation

Monthly Expiration Payoff Profile

Covered Call Curve vs Underlying Spot

Simulated 12-Month Performance Trajectory

Compare benchmark index price path against Active ETF NAV and Cumulative Net Total Return (NAV + Yield Cashflow)

Benchmark Index

Active ETF Net Total Return

ETF Price NAV

Monthly Simulation Audit & Distribution Schedule

12 Months Simulated

Month	Index Price	Index MoM %	Call Option Premium Harvest	Call Drag / Cap Loss	ETF Yield Payout	ETF NAV	ETF Cumulative Net Return

Cap drag, distribution accounting and fixture overrides

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Read the explanation

The overlay simulator applies a monthly cap drag when the entered benchmark return exceeds strike moneyness minus one. For an illustrative eight percent month, moneyness one point zero three and coverage point seven five, the excess is five percentage points and the drag is three point seven five points. The two bars use forty pixels per percentage point: eight becomes three hundred twenty pixels, and three point seven five becomes one hundred fifty. The remaining modeled benchmark gain before distribution is four point two five percent. These are software assumptions for an educational scenario, not actual option execution, fund performance or investment advice. The code subtracts a distribution from net asset value and accumulates it as cash. Consider a hypothetical starting value one hundred, eight percent benchmark return, three point seven five percent cap drag and point nine percent distribution rate. It records a point nine cash payment and ending asset value one hundred three point three five. Adding them gives total value one hundred four point two five. The bars use two pixels per currency unit, comparing starting total one hundred to ending total one hundred four point two five. The same payment appears on both sides of the accounting identity, rather than automatically adding a second source of return. This explanation follows the source bookkeeping; it does not endorse its economic validity. At the exact default parameters the source replaces six summary metrics with fixed fixture values. It displays eleven point four percent distribution yield, nine point eight percent fund total return and five point two percent benchmark return, while leaving the monthly schedule generated by the loop. It also assigns fixed drawdowns and an upside capture point six eight. The two bars show nine point eight and five point two at thirty pixels per percentage point, reaching two hundred ninety four and one hundred fifty six. These fixed summary values must not be interpreted as independently derived evidence, a calibrated forecast or actual market data. Changing a parameter leaves the special branch. Offline Chart is unavailable, so successful chart rendering remains unproved even when summary and export controls work.