Synthetic Equivalent. To synthetically create an ELN, an investor would (1) invest in a five-year 6% discount bond for $747.26 (1,000/(1.06)^5) and (2) buy a five-year, S&P 500 at-the-money call option on $1,000 notional amount with a $1,400 strike for $252.74. The initial investment for this structure is $1,000, the same as for the ELN ($747.26+$252.74).