Daily Delta 0DTE Options

Strategy Overview

The Kelly Daily Delta Zero Days-to-Expiry (“0DTE”) Strategies The DailyDelta Q100 Upside Option Strategy ETF strategy invests in 0DTE long calls on the Nasdaq 100 Index. The ETF is designed to produce the highest levels of magnification, daily capital appreciation, on the Nasdaq 100 Index on days when the Nasdaq 100 Index has positive performance. The Fund’s secondary investment objective is to limit daily risk by having a defined maximum loss of options premium paid when the Nasdaq 100 Index has negative performance. A closest to at-the-money call is purchased before the previous day’s market close giving post-market overnight exposure and pre-market morning exposure to have the position on for market open.

• Defined Risk: On a daily basis, the Fund establishes new positions thereby establishing new option loss protection limits, which is the maximum loss that the Fund can experience from its options positions on that day.
• Magnified Daily Profit Potential: The profit potential is uncapped because there is no limit on how high, or low, the price of the underlying option position can rise, or fall, on a daily basis. Options allow investors to control a large number of shares for a relatively small investment offering leverage which can amplify gains.
• Efficient Options Execution: The single strategy structure provides access to an actively managed, options-based, strategy, saving investors the time and potential expense of doing so individually.

The advantage of DailyDelta ETFs is their ability to amplify returns while trying to limit daily losses. On a daily basis, the strategies establish new options (either long calls or long puts) positions to magnify the returns of an underlying position.

Upside Option Strategy

Portfolio Components:

• OVERNIGHT TO 0DTE LONG CALL: A Zero Days to Expiration, 0DTE, call. A closest to at-the-money call is purchased before the previous day’s market close giving overnight exposure to have the position on for market open.
• TREASURIES: Serving as collateral and additional income.

Overnight to 0DTE Long Call Strategy Highlights:

• BULLISH OUTLOOK: Long calls work best when price increases.
• MAGNIFIED PROFIT POTENTIAL: Long calls have undefined maximum profits and can offer high leverage (more than 3x) returns.
• DEFINED RISK STRATEGY: Long calls have a defined maximum loss of the options premium paid for the position.

For illustrative purposes only. The example does not take into account any fees or costs associated with what an investment in the strategy could be for implementation. Actual investment returns may vary in amount and direction from the stated objective.

Downside Option Strategy

Portfolio Components:

• OVERNIGHT TO 0DTE LONG PUT: A Zero Days to Expiration, 0DTE, put. A closest to at-the-money put is purchased before the previous day’s market close giving overnight exposure to have the position on for market open.
• TREASURIES: Serving as collateral and additional income.

Overnight to 0DTE Long Put Strategy Highlights:

• BEARISH OUTLOOK: Long puts work best when price decreases.
• MAGNIFIED PROFIT POTENTIAL: Long puts have undefined maximum profits and can offer high leverage (more than 3x) returns.
• DEFINED RISK STRATEGY: Long puts have a defined maximum loss of the options premium paid.

For illustrative purposes only. The example does not take into account any fees or costs associated with what an investment in the strategy could be for implementation. Actual investment returns may vary in amount and direction from the stated objective.