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S&P Consumer Discretionary Select Sector 30% Delta Covered Call Index
The S&P Consumer Discretionary Select Sector 30% Delta Covered Call Index measures the performance of a long position in the Consumer Discretionary Select Sector Index and a short position in a corresponding XLY monthly call option. The index selects the strike of the call option that has a delta closest to the target delta of 30% on the rebalance date.