A capped call which allows an investor to have exposure to a basket of stocks (e.g. 10 stocks), all of which are capped at, say, 35% – so the investor receives the performance of a given share up to 35% above its original price. In this sense, an investor gives up some of the upside exposure in return for a reduction in the premium (price) of the call option. Therefore, an individually capped call can work as a capital-protected instrument.

Of course, the payoff of this call is sensitive to the correlation of underlying assets.