SWAN Amplify BlackSwan Growth & Treasury Core ETF

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SWAN Amplify BlackSwan Growth & Treasury Core ETF

Seeks to track, before fees and expenses, the S-Network BlackSwan Core Total Return Index. The Index seeks uncapped exposure to the S&P 500, while buffering against the possibility of significant losses. On each rebalancing date, the index places 90% of its index market capitalization in treasuries and 10% in SPY LEAP call options. The treasury portion of the portfolio replicates and maintains the initial duration of the 10-Year US Treasury. The option portion holds 5% of index market capitalization in June 70-delta SPY call options and 5% in December 70-delta SPY call options. Initially and at rebalance date, calls that are purchased should all have at least one year plus one day until expiration when available. Otherwise, the contract with the furthest expiration is purchased for the given month. The 70-delta rule only applies to initial purchases on the rebalance date. Should there not be a 70-delta option, the closest option above 70 will be utilized.

$28.35  +0.27 (0.97%)
As of 08/10/2022 12:13:34 EST     IEX book   CBOE book

ETF Information
Sponsor:     Amplify ETFs
Category1:  Alternatives
Category2:  Options
Category3:  Broad
Morningstar category:  Option Writing
Leverage factor:  1.00
Inception date:  11/06/2018
Index tracking method: Passive replication
Current yield:  0.85%
Historical average yield:  1.69%
Market cap:  $424,338,600
Average volume:  89,891
Fees:     0.4900%

Index Information
S-Network BlackSwan Core Total Return Index
Index symbol:  SWANXT
Provider:   S-Network Global Indexes
Note: Tracks a total return index
Index weighting:   Other
Index inception date:  12/06/2005
Backtesting data exists:   No
Index methdology guide:  Read PDF
Rebalanced:  Semi-annually
Reconstituted:  Semi-annually

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