Analýza a optimalizace výnosu indexového portfolia pomocí strategie Covered Call

This thesis examines the covered call strategy on the S&P 500 index as a tool for risk management and cash generation rather than as a means of enhancing returns. Its aim is to assess whether the strategy can reduce the volatility and drawdown depth of an index portfolio while regularly generating cash from collected premiums, and at what cost in terms of forgone return. Using an original backtest over the 2020 to 2026 period, the thesis compares three variants differing in the delta of the written option (0.15, 0.30 and 0.50) against a passive buy-and-hold index position under matched accounting. The results show that the covered call reduces portfolio volatility more strongly the higher the chosen delta, at the cost of a lower total and risk-adjusted return. The collected premium cushions losses during the gradual decline of 2022, but offers only limited protection against the sharp crash of early 2020, so the maximum drawdown remains comparable to that of the index. The contribution of the strategy therefore lies in shifting the return-risk profile toward lower volatility and a more regular income stream, not in higher returns.