I agree NAV doesn't carry much weight in a bull market when investors only care about yield. Look at CLM & CRF as extreme examples of closed-end fund premiums. However, if we go into a bear market dominated by fear instead of greed, I think it will make a huge difference since the NAV is essentially what you would get back per share if the fund were liquidated. Oh, and the best website is www.etfconnect.com by far.

For funds which sell calls on index's, I doubt if they allow the calls to be exercised since then they would have to come up with alot of cash and would have to sell individual positions to meet that cash call. If they feel they are out of the money too far, what they'll probably do is buy back the lower strike price calls before expiration (at a loss) and sell higher strike price index calls. The unrealized appreciation on the stock portfolio should more than offset the realized loss. Their goal is not to have to sell individual securities in the portfolio, thus triggering capital gains.

I think interest rates would only have a direct effect on leveraged CEF's (BEO for example, or ERH). Of course, everything is indirectly affected by interest rates but if your asking if these yields will be less attractive if interest rates go up, I doubt it. I've been buying alot of JPG right now. It goes ex-dividend tommorrow, along with JSN, JPZ & JLA and has an 8.3% yield and a 4% discount. It's a little different than the other 3 because its 80% hedged whereas the others are 100%. All of these Nuveen covered-call funds also buy index puts and they haven't done as well as the other covered-call CEF's over the past year but I think that is about to change.