In the world of exchange-traded funds (ETFs), ultra-high-yield single stock covered call ETFs have become all the rage. These funds leverage the volatility of their underlying stock to generate enormous yields from option income.

Take the case of Strategy (MSTR +3.68%). This Bitcoin-linked stock is down roughly 67% from its all-time high, as the crypto itself is about 40% below its peak. One might think that using a fund such as the YieldMax MSTR Option Income Strategy ETF (MSTY +3.00%), which currently has a 75% yield, could be a good way to offset some of those share price losses.

Understanding whether a fund like this is a smart choice requires a deeper understanding of how they work. In a lot of cases, the yield isn’t worth the…