YieldMax PYPL Option Income Strategy ETF (PYPY) has fallen 22% year-to-date while employing a synthetic covered call strategy on PayPal (PYPL) that collects options premiums as weekly distributions, and PayPal’s 23% year-to-date decline has eroded the fund’s NAV faster than premiums accumulate, while distribution amounts have dwindled from $0.60-$1.62 monthly in 2024 to $0.17-$0.49 weekly by early 2026.

PayPal’s sustained downtrend and elevated beta of 1.46 create a structural problem for covered call strategies: the volatility that generates rich options premiums also accelerates NAV erosion when the stock falls, leaving income investors with distributions that fail to offset capital losses.

A recent study identified…