The Call Overwriter's Guide: Identifying Stocks for Single Stock Call Selling

This report outlines an active approach to single-stock call overwriting, using a factor-based model to identify stocks that maximize yield while minimizing the risk of being exercised.

Key Takeaways

• 1.Selling calls on existing equity positions is an effective way to earn additional yield but caps total achievable return.
• 2.Shorter-dated structures (e.g., one-month tenors) and defensive (low delta) striking methods typically deliver better long-term results than longer-dated options.
• 3.Active stock selection using price momentum, implied volatility, and valuation 'hype factors' can significantly improve call overwriting outcomes.

Table of Contents

• Overwriting an income diversifier
• Structuring call-writing overlays
• In search of the good calls
• A systematic approach
• A tale of two systematic approaches
• Optimizing the overwrite
• Buying cheap volatility

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