Defined outcome options strategy
Search documents
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - September (XSEP US) - Portfolio Construction Methodology
ETF Strategy· 2026-01-18 08:44
Group 1 - The FT Vest U.S. Equity Enhance & Moderate Buffer ETF – September aims to provide equity-linked returns through a defined outcome options package referencing the SPDR S&P 500 ETF Trust [1] - The fund invests substantially all assets in exchange-traded FLEX Options, targeting approximately twice any positive price return up to a predetermined cap while offering a buffer against the first 15% of losses over a Target Outcome Period of about one year [1] - Portfolio construction involves offsetting long and short call and put FLEX Options with a common expiration, embedding the desired upside participation and downside buffer, with residual assets held in USD cash or short-duration U.S. government securities as collateral [1] Group 2 - At each Target Outcome Period reset, the fund systematically rolls into a new FLEX Options basket with the same buffer but a newly determined cap [1]