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Description
The S&P 500 Dynamic Volatility Covered Call Index seeks to measure the performance of a rolling long position in the S&P 500 TR and conditionally, a short position in a standard S&P 500 weekly call option. The short call position is only initiated if the 10-day volatility of the S&P 500 is greater than the 20-day, 100-day and 200-day volatilities.
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