KraneShares Mount Lucas Managed Futures Index Strategy ETF (KMLM) Wheel Strategy

Running a KMLM wheel strategy lets you generate consistent premium income on KraneShares Mount Lucas Managed Futures Index Strategy ETF while setting your own entry and exit prices on the underlying. KraneShares Mount Lucas Managed Futures Index Strategy ETF's wheel combines cash-secured puts and covered calls into a repeatable cycle: sell puts at strikes where you'd be happy to own KMLM, and if assigned, sell calls at strikes where you'd be happy to sell. Use our scanner to find the best KMLM wheel strategy setups in real time.

The wheel works best on liquid, high-quality names with stable fundamentals and active options markets — exactly the profile many large-cap leaders fit. The mechanics are simple: sell a cash-secured put on KMLM, collect premium, and either keep the premium if it expires worthless or take assignment at a discount to current price. Once assigned, sell covered calls against the shares to keep collecting premium until they're called away. Choosing the right strikes, expirations, and IV environment is what separates a profitable KMLM wheel from a losing one.

KMLM focuses on total return using long and short positions, as determined by daily trading signals, in commodity, currency, and global fixed income futures. For tax purposes, KMLM does not hold futures but gets exposure through a wholly-owned Cayman Island subsidiary. On an annual basis, an index committee selects 22 different futures contracts from the three broad categories. Weighting to the three categories is based on historical volatility. The contracts within each category are equally weighted. The portfolio is rebalanced monthly and contracts are rolled on a market-by-market basis as contracts near their expiration.

The fund may also invest in instruments not included in the index such as equities or derivatives including swaps, forwards, structured notes, and options. Before April 1, 2022, the fund was actively managed. It traded as KFA Mount Lucas Index Strategy ETF until November 10, 2022. On August 1, 2024, KFA was replaced with KraneShares in the fund name.

The difference between a wheel that compounds and one that bleeds comes down to strike selection, IV timing, and discipline on assignment. Our scanner handles the heavy lifting: it ranks every leg of the KMLM wheel strategy by delta, premium yield, IV rank, and days to expiration, so you can deploy capital where the math works. Build your KMLM wheel strategy on data, not gut feel — and let the options wheel do what it does best: pay you to wait.