Covered Calls Position Established in SPDR S&P 500 ETF

The CBOE Volatiliy Index (VIX) is based on the S&P 500 options volatility.  Although VIX is down substantially from its high in March, at its current level of 35.4 it remains about twice its historic average in the high teens.  Times like this offer an opportunity for Covered Calls and Cash-Secured Puts investors like ourselves who harvest income available from selling options with currently elevated premiums. 

A new position in the Covered Calls Advisor Portfolio was established in the SPDR S&P 500 ETF (SPY) with a July 2nd, 2020 options expiration date.  Two Covered Calls were established by purchasing 200 shares at $303.37 and selling two Calls at the $290.00 strike price for a premium received of $15.61 per share.  Given the current market volatility and the Covered Calls Advisor's Bearish outlook, a conservative position (Delta of 78.2 when this buy/write transaction was executed) at a strike price 4.4% below the current price of SPY when this position was established.

As detailed below, the potential return-on-investment result is +0.8% absolute return in 9 days (equivalent to a +31.6% annualized return-on-investment)

SPDR S&P 500 ETF (SPY) -- New Covered Calls Position

The buy/write transaction was as follows:
06/24/2020 Bought 200 shares of SPDR S&P 500 ETF @ $303.37 per share 
06/24/2020 Sold 2 SPY July 2nd, 2020 $290.00 Call options @ $15.61 per share
Note: the Implied Volatility of the Call options was 37.8 and its Open Interest was 235 contracts

A possible overall performance result (including commissions) would be as follows:
Covered Calls Cost Basis: $57,553.34
= ($303.37 - $15.61) * 200 shares + $1.34 commission

Net Profit Components:
(a) Options Income: +$3,122.00
= ($15.61 * 200 shares)
(b) Dividend Income: +$0.00
(c) Capital Appreciation (If SPY is above $290.00 strike price at the July 2nd, 2020 expiration): -$2,674.00
= ($290.00 - $303.37) * 200 shares

Total Net Profit: +$448.00
= (+$3,122.00 options income +$0.00 dividend income -$2,674.00 capital appreciation)

Absolute Return: +0.8%
= +$448.00/$57,553.34
Equivalent Annualized Return: +31.6%
= (+$448.00/$57,553.34)*(365/9 days)