Are Equity Index Covered Call ETFs Working?

Is systematically selling covered call options on equity indexes, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider five equity covered call ETFs:

1. Invesco S&P 500 BuyWrite (PBP) - seeks to track the CBOE S&P 500 BuyWrite Index (BXM).
2. Global X S&P 500 Covered Call (XYLD) - seeks to track BXM.
3. Global X NASDAQ 100 Covered Call (QYLD) - seeks to track the CBOE Nasdaq-100 BuyWrite V2 Index (BXNT). We use CBOE NASDAQ-100 BuyWrite Index (BXN) based on availability of historical data.
4. First Trust BuyWrite Income (FTHI) - holds U.S. stocks of all market capitalizations and sells at-the-money to slightly out-of-the-money covered calls on the S&P 500 Index up to 20% of fund assets, laddered with expirations of less than one year (we use BXM as a benchmark).
5. Global X Russell 2000 Covered Call (RYLD) - seeks to track the CBOE Russell 2000 BuyWrite Index (BXRC).

We focus on average monthly return, standard deviation of monthly returns, compound annual growth rate (CAGR) and maximum drawdown (MaxDD) based on monthly data. We consider SPDR S&P 500 ETF Trust (SPY), Invesco QQQ Trust (QQQ) and iShares Russell 2000 ETF (IWM) as underlying stock index proxies. Using monthly dividend-adjusted returns for the five covered call ETFs since inceptions and contemporaneous monthly levels of all benchmarks/underlying index proxies through April 2025, we find that: