Index Description

The WTI Crude Oil FLOWS™ Indices adopt the covered call strategy described above by employing a rules-based algorithmic approach that seeks to replicate operating a monthly “covered call” income strategy on an ETF on WTI crude oil, maintaining a long position in shares of the United States Oil Fund LP (USO) (the “Shares”) while selling hypothetical call options each month on that position (the “Options”). The hypothetical sale of options (“New Options”) and repurchase of existing options (“Expiring Options”) will occur each month, generally over a five day period (the “Roll Period”), in order to “roll” the options and maintain a continuing short Option position on the Shares.