Volatility has emerged has an important asset class in the last decade. Often referred to as "the investor fear gauge," it can be a potentially useful diversification tool in a broad equity portfolio, especially under down markets. However, it is not possible to trade the spot VIX directly. With...

In this paper, we formulate the mechanics of a potential S&P GSCI® Crude Oil Covered Call Index and explore the impact of writing covered call strategies across a range of strikes and market environments. Our findings suggest that covered calls are able to reduce volatility and drawdown of a...