AMZY Caps Amazon’s Upside While Capturing Every Drop, And the Math Is Brutal

By Omor Ibne Ehsan Published May 21, 7:00AM EDT

Quick Read

YieldMax AMZN Option Income Strategy ETF (AMZY) has returned 83% total return since October 2023 versus Amazon stock’s 107% gain, capturing about 75% of AMZN’s upside by design through its synthetic covered call strategy that sells short-dated calls to fund monthly distributions. The fund’s mechanics that produce monthly income are the identical mechanics that cap total returns, particularly evident in Q1 2026 when AMZN beat earnings estimates with $2.78 EPS versus $1.73 consensus and AWS grew 28% year-over-year, yet AMZY only captured 19% of AMZN’s 26% trailing year return.
The gap between AMZY and AMZN compounds because the fund trades total return potential for monthly cash flow, creating unfavorable tax treatment (ordinary income instead of long-term capital gains), NAV erosion risk when Amazon underperforms, and single-name concentration risk inappropriate for most investors building wealth.
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AMZY Caps Amazon’s Upside While Capturing Every Drop, And the Math Is Brutal — © AdrianHancu / iStock Editorial via Getty Images

If you bought AMZY at inception hoping to clip Amazon-sized income checks while still riding Amazon’s run, the numbers since October 2023 force an honest conversation. The YieldMax AMZN Option Income Strategy ETF (NYSEARCA:AMZY) has delivered the monthly distributions it promised. It has also trailed Amazon stock on total return, and the mechanics that produced those checks are the same mechanics that capped the fund. AMZY is doing exactly what it was designed to do, which is the problem.

The fund and what it actually does

AMZY runs a synthetic covered call on Amazon (NASDAQ:AMZN | AMZN Price Prediction). It synthesizes AMZN exposure by holding Treasury collateral plus options that mimic being long AMZN, then sells short-dated calls against that synthetic position to harvest premium. The premium funds the monthly distribution. Same playbook as YieldMax’s NVDY on NVIDIA and MSTY on MicroStrategy, just on a less volatile underlying, which is why AMZY’s headline distribution yield runs lower than its mega-vol siblings. Less implied volatility means cheaper calls, which means a smaller premium to hand out.

Does it deliver

Since AMZY launched on October 2, 2023, Amazon has returned over 107% on a price basis. AMZY, on a distribution-adjusted total return basis, is up roughly 83% over the same window. That sounds reasonable until you remember what the fund promised, which was Amazon-like exposure plus monthly income. What investors actually got was Amazon-minus exposure plus monthly income, and the gap compounds.

This means if you actually use the income instead of reinvesting it, your investments are going to fall precipitously while Amazon’s actual stock climbs.

Imagine Dana puts $20,000 into AMZY in October 2023 and another $20,000 into AMZN. Roughly thirty months later, the AMZN sleeve is worth about $40,000. The AMZY sleeve, with every distribution reinvested, is worth closer to $12,400. Dana got her monthly checks, but instead of reinvesting them, she spent it.

Amazon’s recent earnings show what AMZY’s strikes were busy capping. Q1 2026 EPS came in at $2.78 versus $1.73 consensus, AWS grew 28% year over year at a 38% operating margin, and advertising reached a $70 billion trailing run rate.

AMZN returned almost 26% over the trailing year. AMZY captured roughly 19%. That is the structural cost on a quality compounder. The fund sells away upside in months when AMZN runs hard, then absorbs the drift or drawdowns in months when it doesn’t.

The tradeoffs that matter

Tax drag. AMZY distributions hit mostly as ordinary income or return of capital, the latter quietly grinding down your cost basis. Owning AMZN directly and selling roughly 4% of your position each year produces long-term capital gains treatment, which is meaningfully cheaper in a taxable account.
NAV erosion risk. AMZY’s price held up because AMZN ran. In a flat or negative year for Amazon, the call premium gets swamped by underlying losses, and the distribution effectively becomes a refund of your own capital dressed up as yield.
Single-name concentration. This is a leveraged options bet on one stock wrapped in an ETF shell. It carries the idiosyncratic risk of AMZN with none of the diversification an ETF label usually implies.

For investors who want Amazon exposure with broader income, JPMorgan Nasdaq Equity Premium Income ETF (NASDAQ:JEPQ) holds AMZN inside a diversified NASDAQ-100 options-income basket at a far lower expense ratio, with less single-stock risk. Selling cash-secured puts on AMZN directly is another path for income, though it requires the capital and the temperament.

Who this fits

AMZY makes sense as a small sleeve for a well-informed retiree who has explicitly decided they want Amazon exposure and value monthly cash flow over compounding, ideally inside a tax-advantaged account. For anyone still in the wealth-building phase, the math is clear.

If you are a retiree who does not understand options well, I would not buy AMZY. You need to be very opportunistic and tactical to make money off of a strategy this aggressive.

Owning Amazon and selling shares as needed lets the compounder compound.

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About the Author Omor Ibne Ehsan →

Omor Ibne Ehsan is a writer at 24/7 Wall St. He is a self-taught investor with a focus on growth and cyclical stocks that have strong fundamentals, value, and long-term potential. He also has an interest in high-risk, high-reward investments such as cryptocurrencies and penny stocks.