Amplify Plans ‘Black Swan’ ETF

Filing outlines a fund that will invest primarily in LEAP options and Treasurys.

Amplify ETFs recently filed for a fund that will look to protect investors from those rare, “out-of-nowhere” market downturns that are often referred to as “black swan events.” The Amplify BlackSwan Growth & Treasury Core ETF (SWAN) will track an index that invests primarily in Treasury securities and LEAP options on the SPDR S&P 500 ETF Trust (SPY).

The underlying index basically allocates 10% of its portfolio to the LEAP options, with 90% allocated to the Treasury securities. The intention is to provide downside protection and exposure to the performance of the S&P 500 at the same time. The index is rebalanced and reconstituted twice a year, according to the prospectus.

While the Treasury holdings include 2-, 3-, 5-, 7-, 10- and 30-year securities, the portfolio’s duration generally matches the initial duration of the 10-year Treasury. At the same time, the LEAP options portion holds in-the-money contracts, meaning they have a strike price below the current price of SPY.

The prospectus also notes that the LEAPs will generally have delta of 70, which translates into a movement of $0.70 for the LEAP option for every SPY price movement of $1.00. It additionally points out that the LEAP options are only rebalanced annually, in December.

The fund is set to list on the NYSE Arca, but the filing did not include an expense ratio.

Contact Heather Bell at [email protected]