This is the working specification for the desk: what is in it, where every figure comes from, the arithmetic that produces it, what is checked every night, and what it cannot tell you. It is written to be checkable by someone who does not trust it.
Scope
338 option-income ETFs: funds whose stated strategy is to generate income by writing options, including covered call, buy-write, put-write and synthetic-exposure funds. Inclusion is by stated strategy in the prospectus, not by yield: a high-yielding fund that does not write options is not on this desk.
Every fund is measured against the index or single stock it actually writes options on, not against a generic benchmark. Where the exact underlying is not itself listed, the closest listed ETF stands in and the page says so and names it.
Sources
| Source | What it provides | Read | Spec |
|---|---|---|---|
| Tiingo end-of-day | Daily close, adjusted close, distributions and split factors | Every trading night | document |
| Rule 19a-1 notices | The issuer’s own estimate of how much of a distribution was return of capital | On publication | document |
| Nasdaq and issuer calendars | Declared ex-dividend and pay dates | Every trading night | · |
| SEC Form N-PORT | Filed holdings, used for the look-through and for net assets | On filing | document |
| Prospectus XBRL | Expense ratio | Weekly | · |
Definitions and arithmetic
- Total return (ETFIQ)
- Price change with every distribution reinvested on its ex-date, computed from Tiingo adjusted closes over the window. This is the only figure that answers what a holder actually ended up with, which is why the desk leads with it rather than with yield.
- Cash paid (ETFIQ)
- The sum of distributions with an ex-date inside the window, divided by the fund price at the start of the window. It is a measure of cash delivered, not of return: a fund can pay a great deal of cash and still lose money, and several on this desk do.
- Ahead or behind (ETFIQ)
- The fund’s total return minus the benchmark’s total return over exactly the same days, reported in percentage points rather than as a ratio. Both sides reinvest distributions.
- Payout rate, annualised (ETFIQ)
- The most recent distribution multiplied by the fund’s established payout frequency, divided by the current price. Frequency is derived from the spacing of past ex-dates, not from the fund name, because names are unreliable and a mislabelled frequency scales this figure wrongly.
- Return of capital (issuer)
- The issuer’s own Rule 19a-1 estimate of the portion of a distribution that was a return of capital, carried for 134 funds where a notice was published. It is an estimate and a tax characterisation, made before the fund year closes. It is not a measure of erosion and ETFIQ does not present it as one.
Window conventions
Windows are 3 months, 6 months, 1 year, 3 years and since launch. A window is only published when the fund has a full history for it: a fund a few days short of a year is shown as since launch with its launch date stated, never as a one-year figure. Both sides of a comparison always cover exactly the same days.
What is checked every night
The census recomputes every window from the raw Tiingo rows with independent code, re-derives the payout frequency from ex-date spacing, and confirms each fund’s holdings book belongs to that fund by series id rather than by name.
What this desk cannot tell you
- Past total return is not a forecast, and option-income strategies change character with volatility.
- Return of capital figures are issuer estimates published before the year closes, and are commonly revised.
- Total return assumes distributions are reinvested in the fund on the ex-date, at no cost and with no tax. A real holder pays tax and may not reinvest, so a real outcome is lower.
- A benchmark marked as a proxy is the closest listed fund to the underlying, not the underlying itself.
How to check any of this
Every published figure is available as JSON at a stable address on the open data page, free to use with attribution and the as-of date. Every number is recomputed nightly from the raw sources by independent code and the result is published on the statistics page. Where ETFIQ has published a figure that turned out to be wrong, it is recorded on the corrections page rather than quietly changed.
ETFIQ is an independent publisher of exchange-traded fund data. It is not a fund issuer, broker-dealer or investment adviser, takes no payment from issuers, and makes no recommendations. A figure marked ETFIQ is one ETFIQ computed; every other figure is the issuer’s or the exchange’s, and is labelled as such on the page it appears on.