AMZY is a YieldMax ETF that uses a synthetic covered call strategy on Amazon. It holds Treasury collateral and options that mimic long exposure to AMZN, then sells short-dated calls against the synthetic position to collect option premium. That premium is used to fund monthly distributions. Because implied volatility is lower for Amazon than for more volatile underlying stocks, the call premium is smaller and distribution yield is lower than YieldMax funds tied to higher-volatility names. Since launch in October 2023, AMZN has risen more than 107% on a price basis, while AMZY has gained about 83% on a distribution-adjusted total return basis. The income comes with reduced participation in Amazon’s price gains, so using distributions rather than reinvesting them can lead to a steep decline in ending value relative to holding AMZN.
"AMZY runs a synthetic covered call on Amazon. It synthesizes AMZN exposure by holding Treasury collateral plus options that mimic being long AMZN, then sells short-dated calls against that synthetic position to harvest premium. The premium funds the monthly distribution. Same playbook as YieldMax's NVDY on NVIDIA and MSTY on MicroStrategy, just on a less volatile underlying, which is why AMZY's headline distribution yield runs lower than its mega-vol siblings. Less implied volatility means cheaper calls, which means a smaller premium to hand out."
"Since AMZY launched on October 2, 2023, Amazon has returned over 107% on a price basis. AMZY, on a distribution-adjusted total return basis, is up roughly 83% over the same window. That sounds reasonable until you remember what the fund promised, which was Amazon-like exposure plus monthly income. What investors actually got was Amazon-minus exposure plus monthly income, and the gap compounds."
"This means if you actually use the income instead of reinvesting it, your investments are going to fall precipitously while Amazon's actual stock climbs. Imagine Dana puts $20,000 into AMZY in October 2023 and another $20,000 into AMZN. Roughly thirty months later, the AMZN sleeve is worth about $40,000. The AMZY sleeve, with every distribution reinvested, is worth closer to $12,400. Dana got her monthly checks, but instead of reinvesting them, she spent it."
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