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S&P 500 KRW Daily Cash Reinvestment Long Call Index
The S&P 500® KRW Daily Cash Reinvestment Long Call Index measures the performance of a daily call option buying strategy using listed S&P 500 monthly call options expiring on the third Friday of June, combined with interest accruing at the South Korean won three-month certificate of deposit rate. The option positions created each day are held to maturity, after which the payoff from the expiring options is distributed.