ETF.com PROFILE: https://www.etf.com/NUSI
 NUSI PAGE AT NATIONWIDE: https://nationwidefinancial.com/products/investments/etfs/fund-details/NUSI
 NUSI FACTSHEET: https://nationwidefinancial.com/media/pdf/MFM-3425AO.pdf
 RULE 19a-1 DISCLOSURE, JUL 2020: https://nationwidefinancial.com/media/pdf/MFN-0324M7.pdf
NUSI is an ETF from Nationwide that uses an options strategy to generate income from its holdings in the Nasdaq 100.
According to the "Supplemental Tax Information" appearing near the bottom of the fund page (#2), the fund seems to be distributing a "return of
capital", although precise categorization won't be known until after year-end.
QUESTION: Can someone explain (or provide a reference to) what it is about options trading that produces this "return of
[a] For example, the 19a-1 disclosure linked above includes the following:In connection with the monthly dividend payment of $0.1793 per share payable on July 24, 2020 to shareholders of record on July 23, 2020, it is anticipated that 100% of such dividend will be a return of capital.