Nikkei 225 Covered Call ATM Index

Index Guidebook

Nikkei Inc.

・ This document is the index guidebook of the Nikkei 225 Covered Call ATM Index
calculated and published by Nikkei Inc. (Nikkei). The document is drawn up by
Nikkei and it would be changed or modified corresponding to the revision of theindex calculation rule etc.
・ Copyright of this document is owned by Nikkei, and any copies , reprints andreproduction of this document are prohibited without the prior approval of Nikkei.
This document is prepared solely for the understanding of the index that Nikkei
calculates and publishes, and it is not to be construed as a solicitation or a n offer
to buy or sell any securities or related financial instruments.
・ This English document is a translation of the original document and may not be
an entirely accurate translation of the original Japanese document. In any casewhere differences arise between the English version and the original Japaneseversion, the original Japanese document will prevail.

(May 16, 2022 version)

GB-CCA-E-20220516

1: Introduction
The Nikkei 225 Covered Call ATM Index is designed to indicate the performance of“Covered Call strategy” to hold a long position of the Nikkei Stock Average (Nikkei225) as the underlying asset and to sell the near-term call option of the Nikkei 225
every month. In particular, the call option wou ld be settled on the next trading day
after the last trading day (i.e. SQ Date) of the Nikkei 225 option and the newly nearterm call option with the strike price same as the Nikkei 225 would be sold.

2: Name(Japanese)
Official(English)
Official：： Nikkei 225 Covered Call ATM Index3: Index Calculation(1) Basic Point
・ Index value on a day is calculated by multiplying the index value on the previous
day by the change rate on the day based on the prices of the Nikkei 225 and thenear-term call option on the Nikkei 225.
・ The Special Quotations (SQ) and the prices of the options on the day and theprevious day (including the night session on a day before respective businessdays), as published by the Osaka Exchange (OSE) are used for the calculation.
・ Unit of the index value is “points” and the figure is rounded to two decimalplaces.
・ Index value on December 28, 2001 is set at 10,000 points.
・ Index is calculated and published on an end-of-day basis.
(2) Selection of the call option
・Use the near-term option to calculate the index (The weekly options are not used).
・ The option used to calculate the index is rolled to the next delivery month on the“SQ date”, the day when the SQ value is published by the OSE (on the trading
day after the last trading day of the option).
・ The strike price of the call option is the minimum strike price greater or equalto the Nikkei 225 closing price on the day before the SQ date.

Copyright © Nikkei Inc. All rights reserved.

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(3) Calculation Formula・ The Nikkei 225 Covered Call ATM Index shall be calculated by the following
formula.
・ In the following formula, “Nikkei 225” indicates its closing value and “CallOption” indicates the price defined at “(4) Call Option Price”.
i) On each trading day excluding the roll dateIndex value (Current Day)＝ Index value (Previous Day) x
Nikkei 225 (Current Day) – Call Option (Current Day)
Nikkei 225 (Previous Day) – Call Option (Previous Day)ii) Roll date (SQ date)Index value (Current Day)＝ Index value (Previous Day) x
Nikkei 225 (Current Day) x S
Nikkei 225 (Previous Day) – Call Option (Previous Day)
SQ (*1) – Final settlement price of the call option (*2)
Where S =SQ (*1)*1 : SQ value for the call option with (former) near-term delivery month.
*2 : Final settlement price determined by strike price of the call option and the SQvalue.
(4) Call Option Price・ Priority in the usage of prices are as follows:i) Closing price (Last traded price)ii) Mid price of the valid Bid price and Ask price at the closingiii) Settlement price(5) Modification of the index value
・ If any event which affects the index value occurs, as a general rule, retroactive
calculation for the modification will not be conducted. However, if the Nikkei

Copyright © Nikkei Inc. All rights reserved.

3Stock Average (Nikkei 225) used to calculate the Nikkei 225 Covered Call ATM
Index is modified retroactively, this index may also be modified retroactively.

(6) Retroactive calculation in the past・ Nikkei 225 Covered Call ATM Index was calculated retroactively on an end-ofday basis to December 28th 2001, base date of the index (=10,000 points). Thestrike price of call option with Jan 2002 delivery month used to calculate theindex on the base date was determined based on the Nikkei 225 closing price on
Dec 13, 2001 (the last trading day of the call option with Dec 2001 deliverymonth).

4: Others(1) Total Return Index calculation
Nikkei calculates “Nikkei 225 Covered Call ATM Index (Total Return)” as therelated indexes of the “Nikkei 225 Covered Call ATM Index” by adding thedividends. These indexes are calculated on an end -of-day basis.
i) On each trading day excluding the roll dateIndex value (Current Day)＝ Index value (Previous Day) x
Nikkei 225 (Current Day) – Call Option (Current Day) + Dividend (*1)
Nikkei 225 (Previous Day) – Call Option (Previous Day)ii) Roll date (SQ date)Index value (Current Day)＝ Index value (Previous Day) x
Nikkei 225 (Current Day) x S + Dividend (*1)
Nikkei 225 (Previous Day) – Call Option (Previous Day)
SQ (*2) – Final settlement price of the call option (*3)
Where S =SQ (*2)

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*1 : Dividend is the sum of the Estimated Ex -Dividend and Dividend Adjustment
used for the calculation of the Nikkei 225 Total Return Index on the date.
*2 : SQ value for the call option with (former) near-term delivery month.
*3 : Final settlement price determined by strike price of the call option and the SQvalue.
The basic points for the total return calculation such as the method to incorporate
dividends conform to the Nikkei 225 Total Return Index.
(2) Index License“Nikkei 225 Covered Call ATM Index” is a copyrighted material calculated in amethodology independently developed and created by Nikkei Inc. Nikkei Inc. is thesole exclusive owner of the copyright and other intellectua l property rights in theNikkei 225 Covered Call ATM Index itself and the methodology to calculate theNikkei 225 Covered Call ATM Index. Licensing agreement with Nikkei is necessary
if companies intend to create Index - linked funds and passive funds, etc. It is also
required to use this index for disseminating, providing, and showing, etc. to thethird party in the way as Nikkei decides.
(3) Disclaimer
Nikkei has no obligation to publish the Nikkei 225 Covered Call ATM Index
continuously, and Nikkei is not responsible for any error, delay or omission in theNikkei 225 Covered Call ATM Index. Nikkei is entitled to change the details of theNikkei 225 Covered Call ATM Index and to suspend or stop the calculation and theannouncement of the index.
Although, in principle, the Nikkei 225 Covered Call ATM Index is calculated andmaintained in accordance with the information provided here, Nikkei has discr etion
to take measures Nikkei deems appropriate when the events which are not coveredin this document happen or under the circumstances where it is difficult to continue
to calculate the index using the current rules . In addition, the specifications
described may be amended without notice. Nikkei does not assume any loss ordamage caused by the use of this document.
In addition, the disclaimers in the above are also applied to Nikkei Stock Average(Nikkei 225) which is used to calculat e the Nikkei 225 Covered Call ATM Index .
This English document may not be an entirely accurate translation of the original
Japanese document. In any case where differences arise between the English version
and the original Japanese version, the origina l Japanese document will prevail.
Copyright © Nikkei Inc. All rights reserved.

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(4) Contact
Index Business Office, Nikkei Inc.
Tel: +813-6256-7341, mail: index@nex.nikkei.co.jp

Copyright © Nikkei Inc. All rights reserved.

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