Core Insights - The Global X S&P 500 Covered Call ETF (XYLD US) employs a systematic buy-write strategy on the S&P 500, holding a long position and selling one-month, at-the-money SPX call options [1] - The ETF reinvests option premiums and dividends into the covered portfolio, with short calls held to expiration and cash-settled [1] - The index rebalances monthly, adjusting for S&P 500 constituent changes and using Cboe quotes and VWAP conventions for tradeable option levels [1] Portfolio Construction Methodology - The underlying index targets a buy-write overlay on the S&P 500, with options selected based on the last SPX value before 11:00 a.m. ET on the roll date [1] - Equity weights in the portfolio follow the S&P 500 free float-adjusted market capitalization between rolls [1] - The methodology includes monthly rebalancing on the roll date, resetting the call options and reflecting changes in the S&P 500 constituents [1]