A covered call is a long position in a security and a short position in a call option on that security. Equity index covered calls are an attractive strategy to many investors because they have realized returns not much lower than those of the equity market but with much lower volatility. However, a number of myths about the strategy—from why it works to why an investor should or should not invest—have surfaced, and many of them are erroneously considered “common knowledge.” The authors review the underlying risk and returns of covered call strategies and dispel eight common myths about them.