The Delta was 79.4 for this position which approximates the probability of 79.4% that the Call options will be in-the-money at the options expiration date. Given the current daily volatility in the market and the Slightly Bearish trend so far this year, a more conservative than usual strike price was selected with substantial 4.8% downside protection for a relatively short (one-week) Covered Calls position. There is one week until the February 18th monthly options expiration date and currently there are no positions in the Covered Calls Advisor Portfolio with expiration dates after this February 18th date. I am concerned about current market sentiment, so my plan is to continue to establish deeper-in-the-money positions for positions established with expiration dates after February 18th. This means that I will likely lower my minimum annualized-return-on-investment threshold from 20.0% to 15.0% in order to continue to achieve a high percentage of profitable trades (even if the overall market continues to decline further).
The iShares China Large-Cap ETF provides some geographic diversification to the Covered Calls Advisor Portfolio. It holds 57 companies with the top 3 holdings (Meituan, Tencent, and Alibaba) representing about 25% of the total assets of $4.0 billion in this ETF. Importantly to the Covered Calls Advisor, the FXI investment manager (BlackRock) is now managing all of FXI's assets on the Hong Kong Stock Exchange and not on the American OTC and NYSE Exchanges, thus avoiding some of the recent governance concerns and controls of the central governments of both China and the U.S. that has contributed substantially to the 25% decline in FXI during the past year. But with this decline, FXI now seems undervalued relative to the S&P 500 ETF (SPY) since: (1) FXI's Price-to-Cash Flow ratio is only 11.6 compared with SPY's 15.1; and (2) FXI's Price-to-Sales ratio is 1.5 compared with SPY's 2.9.
As detailed below, a potential return-on-investment result is +0.5% absolute return (equivalent to +24.6% annualized
return for the next 8 days) if the stock price is in-the-money (i.e. above the $36.00 strike price) and therefore assigned on the February 18th options expiration date.
iShares China Large-Cap ETF (FXI) -- New Covered Calls Position 
The Buy/Write transaction was as follows:
2/11/2022 Bought 600 shares of iShares China Large-Cap ETF shares @ $37.60 per share
2/11/2022 Sold 6 FXI Feb 18th, 2022 $36.00 Call options @ $1.80 per share
A possible overall performance result (including commissions) for this iShares China Large-Cap ETF Covered Calls position is as follows:
Stock Purchase Cost: $21,484.02
= ($37.60 - $1.80) * 600 shares + $4.02 commission
Net Profit:
(a) Options Income: +$1,075.98
= ($1.80 * 600 shares) - $4.02 commission
(b) Dividend Income: +$0.00
(c) Capital Appreciation (If 600 iShares China Large-Cap ETF shares assigned at $36.00 strike price at expiration): -$960.00
+($36.00 - $37.60) * 600 shares
Total Net Profit (If 600 iShares China Large-Cap ETF shares assigned at $36.00 strike price at expiration): +$115.98
= (+$1,075.98 options income +$0.00 dividend income -$960.00 capital appreciation)
Absolute Return-on-Investment: +0.5%
= +$115.98/$21,484.02
Annualized Return-on-Investment: +24.6%
= (+$115.98/$21,484.02) * (365/8 days)
