SMCY launched on September 11, 2024 and uses a synthetic covered-call approach on Super Micro Computer without owning SMCI shares. Assets are held in Treasury bills while short call positions are written at strikes such as $29.50, $30.50, and $32, with an expense ratio of 1%. The strategy targets SMCI’s high option premiums driven by elevated volatility, aiming to generate frequent distributions. The payoff structure caps upside while exposing investors to full downside through synthetic long exposure. As SMCI fell sharply from around $67 to about $31, the fund’s call-writing income did not offset the magnitude of declines driven by revenue guidance cuts and earnings misses.
"SMCY launched on September 11, 2024 and runs a synthetic covered-call strategy on Super Micro Computer, collateralized with Treasury bills. It does not own SMCI shares. Roughly $117.7 million in assets sit in T-bills plus short SMCI calls at strikes like $29.50, $30.50, and $32, with an expense ratio of 1%."
"The dominant risk in SMCY is the mismatch between a capped-upside, full-downside payoff and an underlying whose price is driven by binary news events. Selling calls earns a fixed premium. Owning synthetic long exposure absorbs the full drawdown. When the underlying chops violently around catalysts, you collect rich premiums on the way up, then eat the entire decline on the way down."
"Super Micro carries a beta of 1.7 and a 52-week range from $19 to $62. That volatility makes its option premiums some of the richest on the NASDAQ, funding an eye-popping headline yield. Buyers assume the premium income compensates for a choppy NAV. It has not."
"The stock traded at roughly $67 on August 1, 2024, near SMCY's launch window. SMCI now trades near $31, a total decline of 54% over that span. Each leg down was triggered by something call-writing cannot hedge: an FY26 revenue guide cut from $40 billion to $33 billion in August 2025, a Q3 revenue miss versus guida"
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