Credit Suisse continues to see very high activity in its ‘Call Overwriting’ tracker certificates, as you can see from the table ‘Tracker Certificates’ below.

The volume indicates a large institutional investor. It must have been one of the best products they created in the last years. Will be interesting what happens/happened to the team that is behind this strategy. It seems to be quite a cash cow.

“The investment objective of the Index is to generate returns by capturing the upside performance of the US equity market and collecting premiums from the writing of call options. The call writing component provides a steady income stream in flat and downward equity markets which allows to reduce the volatility and the drawdowns of the long equity exposure (the “Investment Objective”). In order to achieve the Investment Objective, the Index will take a long notional position in the S&P 500 futures via the CS US Equity Futures Index. Additionally, in order to mitigate any potential equity market downturn and enhance the performance in flat equity markets, the index will synthetically sell out of the money calls every day to capture their premiums. Consequently the strategy will give up potential equity upside. To avoid investment timing risk, the strategy of the Index systematically sells call options on a daily basis, splitting the target notional investment over the different options. The Index is a “total return” index which means that it measures the return from the strategy gross of the cost of funding an investment in the strategy.” source: Termsheet.