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BATS · Active · options-income

NEHI

NEOS Ethereum High Income ETF

NEOS Investment Management, LLC

Verdict

AVOID

Weighted score · 2.40 / 5

AUM

$34M

assets under mgmt

Avg Volume

97K

shares · daily

Distribution

28.9%

Monthly · 93% ROC

Expense Ratio

0.98%

0.98% gross

1Y Return

—

vs underlying

Sharpe

-1.39

Max DD -49.7%

Fund Identity

What it is, who runs it, where it lives.

The NEOS Ethereum High Income ETF (the "Fund") seeks to generate high monthly income with the potential for appreciation based on exposure to exchange-traded products ("ETP") that have direct exposure to Ether..

The Fund is an actively managed ETF that invests in spot Ether ETPs (primarily through a Cayman Islands subsidiary) and employs a synthetic covered call options strategy on Ether-related instruments. It gains long Ether exposure synthetically by buying call options and selling put options at the same strike price, while also writing (selling) call options on Ether-related instruments to generate high monthly income. The written call options generally have approximately one-month expirations and the Fund may write calls on 25% to 100% of its net asset value. U.S. Government securities are held as collateral for written options positions.

Ticker

NEHI

Issuer

NEOS Investment Management, LLC

Exchange

BATS

Inception

2025-12-03 · 0.6 yrs

Mgmt style

Active

Replication

Synthetic (options-based) + Physical (Spot Ether ETPs via subsidiary)

Index-based

—

Leverage

None

Strategy & Options Mechanics

How the portfolio is built and where the income comes from.

PORTFOLIO

Hybrid

actively managed

OPTIONS OVERLAY

Strategy

Synthetic long (long calls + short puts at same strike) + synthetic covered call (written call options for income) + bear call spreads

generates income

Underlying

Ether-related instruments (Spot Ether ETPs, Ether Futures ETFs, Ether-related indices)

income exposure

MONTHLY

28.9%

DIST. RATE

93% ROC
Ordinary Income

Underlying

Ether-related instruments (Spot Ether ETPs, Ether Futures ETFs, Ether-related indices)

Strategy

Synthetic long (long calls + short puts at same strike) + synthetic covered call (written call options for income) + bear call spreads

Tax

Ordinary Income

The Fund writes call options on 25% to 100% of its net asset value to generate monthly income, effectively capping upside participation in Ether gains beyond the strike price. Synthetic long exposure to Ether is created by purchasing call options and selling put options at generally the same strike price and expiration. Both traditional exchange-listed and FLEX Options on Ether-related instruments are used, with written calls typically having approximately one-month expirations.

Performance & NAV

Total return vs. the underlying, with drawdown context.

NAV HISTORY · DEC '25 – JUN '26

DEC '25JUN '26

Max DD

-49.7%

Volatility

59.9%

Sharpe

-1.39

Sortino

-1.88

Calmar

—

Beta

—

Flat-NAV reinvestment hurdle

362.3%

Share of each distribution you’d need to reinvest just to hold NAV flat. Higher means more of the yield is your own capital coming back.

1Y vs Underlying

—

Tracking err.

—

Yield on cost

14.1%

Distribution & Tax

Where the yield comes from — and how it’s taxed.

Composition · Recent Distribution

93%

ROC

Return of Capital — destructive93%

Net Investment Income7%

Frequency

Monthly

Dist. rate

28.90%

ROC %

93%

30-day SEC

not reported

Consistency

1 w/o cut

YOC · 1yr-ago buyer

14.1%

Tax Treatment — Ordinary Income

ORDINARY INCOME

Distribution Composition (Recent)

93% Return of Capital

ROC is not free money — it lowers your cost basis. When shares are sold, capital gains are computed against the lower basis.

Composition · Narrative

The June 2026 distribution of $0.6887 per share is composed 93% of estimated return of capital ($0.6423) and 7% net investment income ($0.0464), with no capital gains component. On a fiscal year-to-date basis, 95% of cumulative distributions ($5.6350 of $5.9523) are estimated to be return of capital. These figures are book-basis estimates and not final tax reporting amounts.

Distribution & Return of Capital

Per-month payout split and the running return-of-capital share · last 7 months.

DIST ($/sh)ROC %

Return of capital ($/sh)

Net investment income ($/sh)

Monthly ROC %

Calendar-year ROC (YTD est.)

Distribution Growth & Schedule

Per-period growth of the payout, the latest schedule, and how long distributions take to repay NAV.

Distribution Growth by Lookback Period

Latest Distribution Schedule

Record date

2026-06-16

Ex-dividend

2026-06-16

Pay date

—

Payback Period

3.5 yr

Dist. Since Incep.

$7.4

Holdings & Concentration

Position sizing, top-name weights, and concentration risk.

Sector Mix · Tilt vs S&P 500

No sector feed for this fund.

Holdings

Top-10 Wt.

—

Technical Signal & Liquidity

Moving-average posture and a read on tradability.

Price vs. Moving Averages

No moving-average series.

Price $25.47

50-DMA $—

200-DMA $—

Liquidity

Avg daily volume

97K

Avg dollar volume

$2,844,436

Bid/ask spread

0.23%

Premium/discount

+0.23%

Turnover

Estimated bid/ask spread ~0.41% (wide). Average daily dollar volume ~$2.8M (adequate). This spread is a high-low estimate, not a live quote; the issuer's reported median spread and premium/discount to NAV are shown above when available.

Assets Under Management

Trend: Falling. Source: shares×price (Massive, monthly).

AUM ($)

$34M

$73M$41M$9M

DEC '25JUN '26

SOURCES Massive market-data API, SEC EDGAR filings, issuer disclosures.

NEHI · 2026-06-21
Prepared by denvereyon
Research aid, not investment advice.