2025年以来，市场整体步入上涨周期，但中间亦有波折。在市场震荡期，我们样本外跟踪期权隐含波动 率（Implied volatility， IV）情绪指标发现，该指标对于周度到月度频率的涨跌判断有较高的敏感度和 准确率。在2025年8月底，11月中及时提示市场情绪变化，并发出相应调整信号。2025年样本外（2025 年4月以来）实现32%的策略收益，相较于中证1000指数本身实现15%的超额收益。 期权策略可有效管理组合风险 除了提供市场交易情绪信息，作为具有独特收益结构的衍生工具，期权能帮助投资者在保留上行收益空 间情况下，对冲下行风险，提升收益风险比。我们2025年在衍生品月报系列中持续跟踪了多种期权组合 策略，2025年表现较好的策略为卖沽策略，该策略在中证500、中证1000、科创50ETF期权上均有较好 表现，2025年超额收益为8.7%、9.6%和3.5%。其他策略如备兑策略和保护性认沽策略在2025年整体上 涨环境下则难以跑赢指数或ETF本身，但长期来看这一类对冲策略都充分起到了平滑收益曲线，提升夏 普比率的作用。 国内衍生品法律法规持续落地，市场活跃度稳步上升 炒股就看金麒麟分析师研报，权威， ...

Core Viewpoint - The JPMorgan Equity Premium Income ETF (JEPI) is positioned as a strong investment option for generating high yield through a conservative approach, focusing on lower-volatility, dividend-paying stocks while utilizing a covered call strategy to enhance income generation [2][4][5]. Group 1: ETF Overview - The JPMorgan Equity Premium Income ETF primarily invests in lower-volatility, dividend-paying stocks, but its main income source is from a covered call strategy applied to the portfolio [4]. - By writing out-of-the-money call options on the S&P 500 index, the fund generates a sustainable distribution income stream, currently yielding 8%, which is higher than traditional stock investments [5]. Group 2: Investment Strategy - The fund targets higher-quality, more durable stocks within the S&P 500, which reduces overall portfolio volatility and helps produce a steadier income stream [6]. - JEPI offers a monthly distribution schedule, allowing income to reach shareholders faster compared to the typical quarterly payouts of most stocks and ETFs, enabling quicker reinvestment of capital [7]. Group 3: Market Context - The recent market has been dominated by a tech rally, leaving low-volatility stocks underappreciated; however, as this rally slows, conservative dividend equities may gain traction [8]. - High-yield covered call strategies are seen as an effective way to generate income in the current market environment without excessive risk exposure [9].

Report Industry Investment Rating No relevant content provided. Report's Core View - In Q1 2025, the scale of US covered - call strategy ETFs exceeded $100 billion, with JPMorgan's products leading the industry in scale. The growth momentum of JPMorgan's covered - call strategy products is strong, and their income characteristics show strategic homology [3][7][106]. - JPMorgan Equity Premium Income ETF (JEPI) was established in May 2020. Its investment goal is to pursue current income while maintaining the expectation of capital appreciation. As of May 2025, it is the world's largest actively managed ETF [4][34][106]. - The fund's investment strategy is divided into the stock side and the options side. On the stock side, it selects S&P 500 component stocks to build a low - volatility portfolio; on the options side, it sells out - of - the - money call options through ELN [106]. - The fund's advantages such as income enhancement, stable dividends, low volatility, and low fees, as well as the rise of the investment advisory industry, jointly drive product demand [6][9][106]. Summary According to Related Catalogs 1. Overseas Covered - Call Strategy Funds Expand, and JPMorgan's Products Lead in Scale - **US Covered - Call Strategy ETF Scale Exceeds $100 Billion, and JPMorgan's Products Lead**: In 2024, the scale of US covered - call strategy products exceeded $100 billion. As of Q1 2025, the scale of US covered - call ETFs reached $101.807 billion. JPMorgan's covered - call strategy product scale accounted for 60.55% of the US covered - call strategy product scale, and its ETF scale accounted for 61.05% of the US covered - call strategy ETF scale [16][19][21]. - **JPMorgan's Covered - Call Strategy Products Have a Consistent Investment Framework and Strong Growth Momentum**: JPMorgan's covered - call strategy products have the same investment goal and similar investment strategies. From 2022 to 2024, the combined scale growth of 3 covered - call strategy products under JPMorgan exceeded $10 billion each year. Their income characteristics show strategic homology [7][26][27]. 2. JEPI: The Largest Actively Managed ETF - **Fund Basic Information**: JEPI was established in May 2020, with the S&P 500 Total Return Index as its performance benchmark. Its investment goal is to pursue current income while maintaining the expectation of capital appreciation, through creating an actively managed stock portfolio mainly composed of S&P 500 index component stocks and selling S&P 500 index call options through ELN [34][35]. - **Product Scale and Share Continuously Increase**: Starting from about $20 million at the initial listing, the product scale has been rising. As of May 20, 2025, the total asset management scale reached $40.024 billion, and the product share exceeded 700 million [35][36][39]. - **Product Positioning**: The product mainly invests in US stocks and ELN, with the investment area concentrated in the US. It has heavy positions in the information technology, finance, industry, and healthcare industries, and the stock investment is relatively dispersed [7][42][44]. 3. Product Strategy is Divided into Stock Portfolio and Covered - Call Strategy - **Main Strategy Composed of Defensive Stock Portfolio and Options Superposition Strategy**: The fund aims to reduce volatility and seek continuous premium income. Its investment portfolio is divided into a defensive stock portfolio constructed through fundamental research and an operation of selling out - of - the - money S&P 500 index options to generate monthly distributable income [50][53]. - **Stock Investment Strategy: Seeking to Create a Stock Portfolio with Lower Volatility than the S&P 500**: The fund invests at least 80% of its assets in stocks under normal circumstances, mainly in S&P 500 component stocks. It uses a systematic investment process to build a portfolio with lower volatility than the S&P 500 index [58]. - **The Product Invests in the Covered - Call Strategy through ELN and Continuously Obtains Option Premium Income**: ELN is an over - the - counter derivative. The fund's investment in ELN has a position limit, and it uses the covered - call strategy to embed a short position in call options. The option premium provided by ELN is an important source of the fund's income [63][64]. 4. Composite Advantages Jointly Drive Product Demand - **The Fund's Investment in ELN Has an Income Enhancement Advantage**: From 2023 to 2024, the fund's investment ratio in ELN was relatively stable, between 13% and 15%. The covered - call strategy embedded in ELN can enhance income, and the annualized interest rate of ELN is highly positively correlated with the VIX level [70][73]. - **The Fund's Continuous and Stable Dividend Mechanism Helps Enhance Investor Stickiness**: As of April 30, 2025, the fund's dividend rate was 8.93%. It creates income through dividend income and option premium and distributes dividends monthly in full [76][79]. - **The Fund Has the Advantage of Low Volatility**: Since its listing, the product's volatility and maximum drawdown performance have been better. As of Q1 2025, the annualized volatility was 12.71%, far lower than the 20.21% volatility of the S&P 500 index [88][90]. - **The Fund's Fee Creates a Low - Cost Strategic Advantage**: As an actively managed covered - call strategy ETF, JEPI has a fee of only 0.35%, lower than the passive equity ETFs in the US in 2024, meeting the low - fee preference of ETF investors [98]. - **Fund Investment Advisors and Institutional Investors Jointly Promote Product Demand**: The number of institutional investors has been continuously expanding, with the position - holding ratio stably above 30%. The position - holding ratio of investment advisors has increased significantly [99][103]. 5. Summary - The scale of US covered - call strategy ETFs exceeded $100 billion in Q1 2025, and JPMorgan led the industry with a market share of 60.55%. The growth momentum of JPMorgan's covered - call strategy products is strong [106]. - JEPI is the world's largest actively managed ETF. Its investment strategy is divided into the stock side and the options side, and its multiple advantages and the rise of the investment advisory industry jointly drive product demand [106].