There is a type of fund on the NYSE which buys shares in the S&P 500 index and then writes covered calls to supplement it. Just started in December. It's called Powershares S&P 500 BuyWrite portfolio (PBP).

Buy-Write - A trade where the investor buys stock and simultaneously sells a call against it. It is a covered-call position.

The strategy consists of holding a portfolio indexed to the S&P 500 and selling a succession of written options, each with an exercise price at or above the prevailing price level.Dividends paid on the component stocks underlying the S&P 500 and the dollar value of option premiums received from written options are reinvested.

Top Holdings: 

Exxon Mobil Corp.   3.90%  
General Electric Co.   2.95%  
AT&T Inc.   1.96%  
Microsoft Corp.   1.95%  
Procter & Gamble Co.   1.74%       
Bank of America Corp.   1.61%  
Johnson & Johnson   1.52%  
Chevron Corp.   1.45%  
Pfizer Inc.   1.30%  
Altria Group Inc.   1.28%