That SEC doc was from 10 years ago and their organization does not deal in nuance very well. I actually own the same structured note as the original poster, as well as two other 2x pieces that I swapped out of 20/30yr treasury strips to buy as the market was hitting rock bottom. Over the past decade I have scanned thousands of notes and run backtesting on at least a hundred that got through that screening, so what I'm offering is practical experience.
What you find is that 95% of the products out there are either too complicated to trust or under perform simply buying an index - largely because of the dividend give up and also because the market just doesn't have that many periods where you are down significantly enough to take advantage of larger barriers. So why do I buy them? Because sometimes great products do get created (like the above mentioned) and they allow me to swap out a portion of my index ETF holdings and not have to worry as much about portfolio management on those assets - which has value to me.
I feel what the SEC is really talking to investors about when they discuss being skeptical of complexity are things like this current offering - Citi has 5.5 yr principal protected note offering point for point returns and full protection on the following index: CIISDA5N...so what is this? It's the Citi Dynamic Asset Selector 5 Excess Return Index. https://www.citibank.com/icg/docs/CIISD ... tsheet.pdf
This is a very different type of product than what the original poster has. Now is this Citi product bad? No clue. Their performance chart looks nice, but it's not like they were really managing this index back in 2009 so whatever model they created for it potentially just addresses that specific moment and may not have even addressed what happened in 2020 (which they've conveniently left off).
In any case, my point is that an SPX or SPX/DJI note is SUPER vanilla in comparison to what's out there and shouldn't be conflated with what the SEC statements are, in my eyes, really about. And of course you should take into account the dividend give up, but 2x over multiple years historically offers outperformance, and 40% is a huge barrier that in a doomsday scenario puts a ton of cash back in your pocket if the market's down.
Yes, I know that this is a Bogleheads forum, so the expertise for some is high, and that's great. But obviously the original poster would have created the options strategy if they had the time/interest/expertise at that time. My point is that a more constructive way to discuss this is probably to acknowledge that for this person at that time, this was a great trade, and also that there is room to create something cheaper on their own if they want to learn how to apply it in the future. I usually don't do anything other than read these forums because I'm not an expert, but I do have insight on this and see a ton of misinformation constantly about structured notes, so I thought I'd chime in.