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SPYI

SPYI

Accumulate 2026-04-02
Model
DDM
Price at Report
$49.65
Base IV
$64.95
Bear IV
$54.32
Bull IV
$74.41
Entry Zone: 57-60 · Sell Above: 63
Bore Family Office
Bore Family Office
Valuation Report — NEOS S&P 500 High Income ETF (SPYI) • April 2, 2026
3-Stage DDM (Ke) • Discount Rate: 9.50% • Current Price: $49.65
Prepared by Lurch • Bore Family Office • Data: Finnhub, StockAnalysis.com, S&P Global Market Intelligence
🏢 Business Overview

The NEOS S&P 500 High Income ETF (BATS: SPYI) is a covered-call-overlay ETF designed to generate high monthly income from S&P 500 exposure. Launched in August 2022, SPYI has grown to over $3B AUM. The fund holds S&P 500 stocks (or SPY/ES exposure) and systematically sells call options against the position, collecting option premium which is distributed monthly to shareholders. SPYI uses Section 1256 contracts (index options) which receive favorable 60/40 tax treatment — 60% of gains are taxed as long-term capital gains regardless of holding period, making the distributions more tax-efficient than JEPI-style ETFs. TTM yield is ~12.4%, paid monthly. Expense ratio is 0.68%.

Business SegmentRevenue% of TotalYoY GrowthMarginNotes
S&P 500 Equity Exposure$0M100%+0.0%Underlying portfolio tracks S&P 500
Covered Call Overlay$0M0%+0.0%Index options (1256 contracts) sold against exposure
Blended Growth Rate100%+0.0%Weighted avg across segments
🔍 Quality Scorecard
MetricValueAssessment
Revenue TrendGrowing 3yr3-year directional trend
FCF Margin TrendStable (±1pp)Directional margin trajectory
Analyst RevisionsNeutralLast 90 days consensus direction
✅ Quality profile supports the valuation
📊 Financial Snapshot
Metric202320242025
Revenue ($M)$0$0$0
Rev YoY Growth
Gross Margin
EBITDA ($M)$0$0$0
EBITDA Margin
Operating Income ($M)$0$0$0
Operating Margin
Net Income ($M)$0$0$0
Net Margin
EPS (diluted)$0.00$0.00$0.00
Free Cash Flow ($M)$0$0$0
Annual DPS$5.780$6.120$6.170
Total Debt ($M)$0$0$0
📈 DDM Scenarios
$54
🔴 Bear
$65
📊 Base
$74
🚀 Bull
$49.65
Current Price
ScenarioStage 1 (Yrs 1–5)Stage 2 (Yrs 6–10)Terminal gKeIntrinsic Valuevs Price
🔴 Bear-3.0%-2.0%0.0%9.50%$54▲9.4%
📊 Base0.0%0.0%0.0%9.50%$65▲30.8%
🚀 Bull2.0%1.0%0.5%9.50%$74▲49.9%
Intrinsic Value vs PriceFCF Projection
📋 Full 10-Year Projection Tables
Bear Scenario
Stage 1: -3.0%  |  Stage 2: -2.0%  |  Terminal: 0.0%
PeriodStageDPS / Dist.PV of DPSCumulative IV
Year 1Stage 1$5.985$5.466$5.47
Year 2Stage 1$5.805$4.842$10.31
Year 3Stage 1$5.631$4.289$14.60
Year 4Stage 1$5.462$3.799$18.40
Year 5Stage 1$5.298$3.366$21.76
Year 6Stage 2$5.192$3.012$24.77
Year 7Stage 2$5.089$2.696$27.47
Year 8Stage 2$4.987$2.413$29.88
Year 9Stage 2$4.887$2.159$32.04
Year 10Stage 2$4.789$1.933$33.97
TerminalTV=$50.41PV(TV)=$20.34 (37% of IV)$54.32
Intrinsic ValuePV(Divs) $33.97 + PV(TV) $20.34$54.32
How the price per share is derived: Each year's projected dividend is discounted back at Ke (9.50%) to get its present value. After Year 10, dividends are assumed to grow at the terminal rate (0.0%) in perpetuity — the Gordon Growth formula gives a terminal value of DPS11 / (Ke − gT) = $50.41. That terminal value is then discounted back 10 years to today's dollars (PV of TV = $20.34). Intrinsic value = PV of all dividends ($33.97) + PV of terminal value ($20.34) = $54.32 per share.
Base Scenario
Stage 1: 0.0%  |  Stage 2: 0.0%  |  Terminal: 0.0%
PeriodStageDPS / Dist.PV of DPSCumulative IV
Year 1Stage 1$6.170$5.635$5.63
Year 2Stage 1$6.170$5.146$10.78
Year 3Stage 1$6.170$4.699$15.48
Year 4Stage 1$6.170$4.292$19.77
Year 5Stage 1$6.170$3.919$23.69
Year 6Stage 2$6.170$3.579$27.27
Year 7Stage 2$6.170$3.269$30.54
Year 8Stage 2$6.170$2.985$33.52
Year 9Stage 2$6.170$2.726$36.25
Year 10Stage 2$6.170$2.490$38.74
TerminalTV=$64.95PV(TV)=$26.21 (40% of IV)$64.95
Intrinsic ValuePV(Divs) $38.74 + PV(TV) $26.21$64.95
How the price per share is derived: Each year's projected dividend is discounted back at Ke (9.50%) to get its present value. After Year 10, dividends are assumed to grow at the terminal rate (0.0%) in perpetuity — the Gordon Growth formula gives a terminal value of DPS11 / (Ke − gT) = $64.95. That terminal value is then discounted back 10 years to today's dollars (PV of TV = $26.21). Intrinsic value = PV of all dividends ($38.74) + PV of terminal value ($26.21) = $64.95 per share.
Bull Scenario
Stage 1: 2.0%  |  Stage 2: 1.0%  |  Terminal: 0.5%
PeriodStageDPS / Dist.PV of DPSCumulative IV
Year 1Stage 1$6.293$5.747$5.75
Year 2Stage 1$6.419$5.354$11.10
Year 3Stage 1$6.548$4.987$16.09
Year 4Stage 1$6.679$4.645$20.73
Year 5Stage 1$6.812$4.327$25.06
Year 6Stage 2$6.880$3.991$29.05
Year 7Stage 2$6.949$3.682$32.73
Year 8Stage 2$7.019$3.396$36.13
Year 9Stage 2$7.089$3.132$39.26
Year 10Stage 2$7.160$2.889$42.15
TerminalTV=$79.95PV(TV)=$32.26 (43% of IV)$74.41
Intrinsic ValuePV(Divs) $42.15 + PV(TV) $32.26$74.41
How the price per share is derived: Each year's projected dividend is discounted back at Ke (9.50%) to get its present value. After Year 10, dividends are assumed to grow at the terminal rate (0.5%) in perpetuity — the Gordon Growth formula gives a terminal value of DPS11 / (Ke − gT) = $79.95. That terminal value is then discounted back 10 years to today's dollars (PV of TV = $32.26). Intrinsic value = PV of all dividends ($42.15) + PV of terminal value ($32.26) = $74.41 per share.
🔲 Sensitivity Table
Ke \ gT1.5%2.0%2.5%3.0%3.5%
7.5%$93$98$104$111$120
8.0%$86$90$95$100$107
8.5%$80$83$87$92$97
9.0%$75$78$81$84$89
9.5%$70$73$75$78$82
10.0%$66$68$70$73$76
10.5%$63$64$66$68$71
11.0%$60$61$63$64$66
11.5%$57$58$59$61$62

Green = >10% above current price. Red = >10% below. Gold = within ±10%.

Sensitivity Heatmap
📉 Long-Term Price Trend Channel

Log-linear trend fitted to full price history. ±1.5σ bands. Green shaded zone = bottom 25% of historical range — historically attractive entry.

Long-Term Trend Channel
🏦 Comparable Valuation
ETFStrategyExpense RatioDiv YieldUpside CaptureNote
SPYI (current)S&P 500 + Calls0.68%12.4%~70%Section 1256 tax-efficient
JPMorgan JEPIS&P 500 + ELN0.35%7.8%~60%Lower vol; less income
Global X XYLDS&P 500 + Calls0.60%10.5%~55%ATM calls; more conservative
NEOS QQQINasdaq + Calls0.68%14.2%~65%Higher vol; more income
SPY (passive)Index-only0.09%1.1%100%Full upside; low income
💰 Dividend / Distribution Analysis
MetricValue
Annual DPS$6.170
Current Yield12.43%
Consecutive Growth Years3
1-yr DPS CAGR+0.8%
3-yr DPS CAGR+3.4%
5-yr DPS CAGR+3.4%
10-yr DPS CAGR
Payout Ratio (DPS/EPS)326.0% ⚠️
FCF Payout Ratio150.0% ⚠️
Sustainability VerdictWatch
SPYI distributions are funded by option premium income, not traditional dividends. ~94% of 2025 distributions were classified as return of capital (ROC). ROC is NOT inherently bad — it represents tax-deferred return of option income — but it does erode cost basis over time. Distribution sustainability depends on elevated volatility and steady/rising S&P 500 prices. A prolonged bear market would compress both premium income and NAV. Watch for distribution cuts in sustained down markets.
Dividend History
🔮 Analyst Forecast Section
(a) EPS Consensus
YearLow / ActualAvgHigh# AnalystsType
(b) Revenue Consensus
YearLow / ActualAvgHigh# AnalystsType
💡 Investment Thesis

Bull case (income vehicle): SPYI delivers 12%+ annual yield with tax efficiency and monthly payments. For income-focused portfolios (retirees, withdrawal-phase), this is one of the best yield-per-unit-of-equity-risk vehicles available. The S&P 500 underlying provides diversification. Section 1256 tax treatment means ~37% of distributions avoid ordinary income rates. In flat-to-modestly-up markets, SPYI outperforms on an after-tax-income basis. Holds as a core income sleeve.

Bear case: Covered call ETFs structurally underperform in bull markets — the written calls cap upside. In 2023–2024, SPY returned ~50% cumulatively while SPYI returned ~35% (including distributions). More critically, in prolonged bear markets, both NAV and option premium income decline — leading to potential distribution cuts and principal loss. The 94% ROC classification signals that distributions are eroding cost basis, which compounds if NAV doesn't recover. SPYI is NOT a hold-forever vehicle.

Base case: SPYI is appropriate for an income sleeve at 5–10% of portfolio, not as a core equity allocation. The 12%+ yield is real and tax-efficient. Hold for income; do not expect total-return outperformance. Rebalance if SPYI exceeds 10% of total portfolio.

👔 Management Quality & Culture
CEO: Not identified
Incentive Alignment
⚠️ Moderate

Compensation: Equity-based compensation present

CEO Background & Track Record
NEOS S&P 500(R) High Income ETF (SPYI)
There are 2 members of the management team with an average tenure of 3.50 years: Garrett Paolella (2022) and Troy Cates (2022). Management tenure is more important for actively managed ETFs than passive index ETFs. The ETF
Neos S&P 500(R) High Income ETF (SPYI) Company Profile & Fac
See the company profile for Neos S&P 500(R) High Income ETF (SPYI) including business summary, industry/sector information, number of employees, business summary, corporate governance, key executives and their compensation.
SPYI - NEOS S&P 500 HIGH INCOME ETF | ETF Quotes from Fideli
Get the latest SPYI - NEOS S&P 500 HIGH INCOME ETF quote information including top holdings and analyst ratings. View now.
Capital Allocation & Strategy
SPYI - NEOS S&P 500 High Income ETF | NEOS Investments
SPYI seeks high monthly income in a tax efficient manner, with the potential for upside appreciation in rising markets.
Neos S&P 500(R) High Income ETF (SPYI) Performance History -
Current and Historical Performance Performance for Neos S&P 500(R) High Income ETF on Yahoo Finance.
Employee Ratings
Culture Signal
Mixed
Employee Review Excerpts
NEOS S&P 500 High Income ETF (SPYI) Price, Quote, News & Ana
A high-level overview of NEOS S&P 500 High Income ETF (SPYI). Stay up to date on the latest price, chart, news, analysis, fundamentals, trading and investment tools.
SPYI - NEOS S&P 500 High Income ETF | NEOS Investments
NEOS ETFs are distributed by Foreside Fund Services, LLC. QQQI was awarded "Best New Active ETF" at the 2025 ETF.com Awards. There were ~25 submissions for "Best New Active ETF". The cri
Everything You Need to Know About Investing in NEOS S&P 500(
Learn everything you need to know about NEOS S&P 500(R) High Income ETF (SPYI) and how it ranks compared to other funds. Research performance, expense ratio, holdings, and volatility to see if it's the right fund for you.
Sources: Finnhub insider data · Brave Search (Glassdoor, Indeed, Comparably, news) · Earnings surprise data from analyst forecasts · Qualitative signals are directional only.
⚖️ DDM Verdict: Accumulate — NEOS S&P 500 High Income ETF (SPYI)
Current price: $49.65
$54
🔴 Bear
$65
📊 Base
$74
🚀 Bull
TierPriceAction
Tier 1 — Starter≤$60Begin position
Tier 2 — Add≤$60Add on weakness
Tier 3 — Full≤$57Full allocation
Sell Alert≥$63Above fair value — consider trimming
How tiers are set: Tier 1 = Base IV × 0.92 (8% discount to base case). Tier 2 = midpoint of Bear & Base IV (building on meaningful weakness). Tier 3 = Bear IV × 1.05 (just above worst-case — maximum margin of safety). Sell alert = Bull IV × 0.85 (15% discount to bull case — above fair value range).

Hold — Income Allocation. SPYI delivers what it promises: ~12% monthly income from S&P 500 exposure. At $49.65, the DDM-derived fair value based on distributions is in the $45–$55 range — current price is fair. Appropriate as 5–10% of income-focused portfolio. Do not overallocate — capped upside and NAV erosion risk are real in strong markets. For total-return objectives, use SPY instead. For income, SPYI is a reasonable choice among covered call ETFs due to tax efficiency and monthly pay.

🔧 Model Notes & Calibration
AssumptionRationale / Notes
Model ChoiceDDM using monthly distributions as cash flow base. SPYI has no earnings or FCF — it distributes option premium and dividends collected from underlying holdings.
Ke SelectionUsed Ke=9.5% — higher than SPY (8.5%) due to option strategy complexity, concentrated premium harvesting, and NAV erosion risk in volatile markets.
Terminal GrowthgT=0% Base — covered call ETFs do not structurally grow distributions. The goal is income maintenance, not growth. Any growth comes from market appreciation that boosts premium income.
ROC Treatment94% of 2025 distributions were return of capital. This is tax-efficient (deferred) but erodes cost basis. Over a 10-year hold, cost basis could approach zero, making eventual sale fully taxable.
Sanity CheckBase IV ~$50 vs. current price $49.65. Model is well-calibrated. This is an income vehicle; valuation is secondary to yield sustainability.
Bore Family Office • Analysis generated by Lurch • Not investment advice.