BXMX Nuveen S&P 500 Buy Write Income Fund

ITEM 1. REPORTS TO STOCKHOLDERS.

Closed-End Funds

31 December

2019

Nuveen

Closed-End Funds

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website (www.nuveen.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting the financial intermediary (such as a broker-dealer or bank) through which you hold your Fund shares or, if you are a direct investor, by enrolling at www.nuveen.com/e-reports.

You may elect to receive all future shareholder reports in paper free of charge at any time by contacting your financial intermediary or, if you are a direct investor, (i) by calling 800-257-8787 and selecting option #2 or (ii) by logging into your Investor Center account at www.computershare.com/investor and clicking on “Communication Preferences.” Your election to receive reports in paper will apply to all funds held in your account with your financial intermediary or, if you are a direct investor, to all your directly held Nuveen Funds and any other directly held funds within the same group of related investment companies.

Annual Report

IMPORTANT DISTRIBUTION NOTICE

for Shareholders of the Nuveen S&P 500 Buy-Write Income Fund (BXMX), Nuveen Dow 30^SM Dynamic Overwrite Fund (DIAX), Nuveen S&P 500 Dynamic Overwrite Fund (SPXX) and Nuveen Nasdaq 100 Dynamic Overwrite Fund (QQQX)

Annual Shareholder Report for the period ending December 31, 2019

The Nuveen S&P 500 Buy-Write Income Fund, Nuveen Dow 30^SM Dynamic Overwrite Fund, Nuveen S&P 500 Dynamic Overwrite Fund and Nuveen Nasdaq 100 Dynamic Overwrite Fund seek to offer attractive cash flow to their shareholders, by converting the expected long-term total return potential of the Funds’ portfolio of investments into regular quarterly distributions. Following is a discussion of the Managed Distribution Policy the Funds use to achieve this.

Each Fund pays quarterly common share distributions that seek to convert the Fund’s expected long-term total return potential into regular cash flow. As a result, the Funds’ regular common share distributions (presently $0.2325, $0.2950, $0.2650 and $0.3900 per share, respectively) may be derived from a variety of sources, including:

Such distributions are sometimes referred to as “managed distributions.” Each Fund seeks to establish a distribution rate that roughly corresponds to the Adviser’s projections of the total return that could reasonably be expected to be generated by each Fund over an extended period of time. The Adviser may consider many factors when making such projections, including, but not limited to, long-term historical returns for the asset classes in which each Fund invests. As portfolio and market conditions change, the distribution amount and distribution rate on the Common Shares under the Funds’ Managed Distribution Policy could change.

When it pays a distribution, each Fund provides holders of its Common Shares a notice of the estimated sources of the Fund’s distributions (i.e., what percentage of the distributions is estimated to constitute ordinary income, short-term capital gains, long-term capital gains, and/or a non-taxable return of capital) on a year-to-date basis. It does this by posting the notice on its website (www.nuveen.com/cef), and by sending it in written form.

You should not draw any conclusions about the Funds’ investment performance from the amount of this distribution or from the terms of the Funds’ Managed Distribution Policy. The Funds’ actual financial performance will likely vary from month-to-month and from year-to-year, and there may be extended periods when the distribution rate will exceed the Funds’ actual total returns. The Managed Distribution Policy provides that the Board may amend or terminate the Policy at any time without prior notice to Fund shareholders. There are presently no reasonably foreseeable circumstances that might cause each Fund to terminate its Managed Distribution Policy.

Table of Contents

3

Chair’s Letter to Shareholders

4

Portfolio Managers’ Comments

Nuveen S&P 500 Buy-Write Income Fund (BXMX)

Nuveen Dow 30^SM Dynamic Overwrite Fund (DIAX)

Nuveen S&P 500 Dynamic Overwrite Fund (SPXX)

Nuveen Nasdaq 100 Dynamic Overwrite Fund (QQQX)

The Nuveen S&P 500 Buy-Write Income Fund (BXMX) features portfolio management by Gateway Investment Advisers, LLC (Gateway). Kenneth H. Toft, Michael T. Buckius and Daniel M. Ashcraft are portfolio managers. Nuveen Dow 30^SM Dynamic Overwrite Fund (DIAX), Nuveen S&P 500 Dynamic Overwrite Fund (SPXX) and Nuveen Nasdaq 100 Dynamic Overwrite Fund (QQQX) feature portfolio management by Nuveen Asset Management, LLC (NAM), an affiliate of Nuveen Fund Advisors, LLC, the Funds’ investment adviser. David A. Friar and Jody I. Hrazanek serve as portfolio managers for the Funds.

Here the portfolio managers discuss their management strategies and the performance of the Funds for the twelve-month reporting period ended December 31, 2019.

What factors affected the U.S. economy and financial markets during the twelve-month reporting period ended December 31, 2019?

The U.S. economy reached the tenth year of expansion since the previous recession ended in June 2009, marking the longest expansion in U.S. history. In the fourth quarter of 2019, gross domestic product (GDP) grew at an annualized rate of 2.1%, according to the “advance” estimate by the Bureau of Economic Analysis. GDP measures the value of goods and services produced by the nation’s economy less the value of the goods and services used up in production, adjusted for price changes. In the final months of the year, the economy was boosted by moderate consumer spending, along with positive contributions from government spending and trade, which offset weakness in business investment. For 2019 as a whole, U.S. GDP grew 2.3%, a decline from 2.9% in 2018 and the slowest pace since 2016.

Consumer spending, the largest driver of the economy, remained well supported by low unemployment, wage gains and tax cuts. As reported by the Bureau of Labor Statistics, the unemployment rate fell to 3.5% in December 2019 from 3.9% in December 2018 and job gains averaged around 176,000 per month for the past twelve months. As the jobs market has tightened, average hourly earnings grew at an annualized rate of 2.9% in December 2019. However, inflation remained subdued. The Bureau of Labor Statistics said the Consumer Price Index (CPI) increased 2.3% over the twelve-month reporting period ended December 31, 2019 before seasonal adjustment.

Low mortgage rates and low inventory drove home prices moderately higher in this reporting period, despite declining new home sales and housing starts. The S&P CoreLogic Case-Shiller U.S. National Home Price Index, which covers all

This material is not intended to be a recommendation or investment advice, does not constitute a solicitation to buy, sell or hold a security or an investment strategy and is not provided in a fiduciary capacity. The information provided does not take into account the specific objectives or circumstances of any particular investor, or suggest any specific course of action. Investment decisions should be made based on an investor’s objectives and circumstances and in consultation with his or her advisors.

Certain statements in this report are forward-looking statements. Discussions of specific investments are for illustration only and are not intended as recommendations of individual investments. The forward-looking statements and other views expressed herein are those of the portfolio managers as of the date of this report. Actual future results or occurrences may differ significantly from those anticipated in any forward-looking statements and the views expressed herein are subject to change at any time, due to numerous market and other factors. The Funds disclaim any obligation to update publicly or revise any forward-looking statements or views expressed herein.

Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.

5

Portfolio Managers’ Comments (continued)

nine U.S. census divisions, was up 3.5% year-over-year in November 2019 (most recent data available at the time this report was prepared). The 10-City and 20-City Composites reported year-over-year increases of 2.0% and 2.6%, respectively.

As data pointed to slower momentum in the overall economy, the Federal Reserve (Fed) notably shifted its stance. Although the Fed had indicated in December 2018 that there could be two more rate hikes in 2019, global growth concerns kept the central bank on the sidelines. As expected by the markets, the Fed left rates unchanged throughout the first half of 2019 while speculation increased that the Fed’s next move would be a rate cut. At the July 2019, September 2019 and October 2019 policy committee meetings, the Fed announced a 0.25% cut to its main policy rate. Markets registered disappointment with the Fed’s explanation that the rate cuts were a “mid-cycle adjustment,” rather than a prolonged easing period, and its signal that there would be no additional rate cuts in 2019. Also in the latter half of 2019, the Fed announced it would stop shrinking its bond portfolio sooner than scheduled, as well as began buying short-term Treasury bills to help money markets operate smoothly and maintain short-term borrowing rates at low levels. Fed Chairman Powell emphasized that the Treasury bill purchases were not a form of quantitative easing.

During the twelve-month reporting period, geopolitical news remained a prominent market driver. Tariff and trade policy topped the list of concerns, most prominently the U.S.-China relations. After several rounds of talks, escalating rhetoric from both sides and a series of tariff increases, tensions appeared to ease in the later months of 2019. The U.S. and China signaled their agreement on a partial trade deal, which included rolling back some tariffs, increasing China’s purchases of U.S. agriculture products and the consideration of intellectual property, technology and financial services rights. (Subsequent to the close of the reporting period, the “phase one” deal was signed on January 15, 2020.) While much of the focus remained on the U.S.-China relationship, trade spats between the U.S. and Mexico, the European Union, Brazil and Argentina also arose throughout the period. More than a year after the three countries signed onto the U.S., Mexico and Canada Agreement (USMCA) trade deal, which replaces the North American Free Trade Agreement, the U.S. House of Representatives approved the deal in December 2019 (and, subsequent to the close of the reporting period, the Senate voted in January 2020 to approve it). Global manufacturing and export data continued to show evidence of trade-related slumps, which increased worries that the slowdown would spread into other segments of the global economy.

The Brexit saga also appeared to make a breakthrough by the end of 2019. After former Prime Minister Theresa May was unable to secure a Brexit deal by the original March 29, 2019 deadline, she resigned as of June 7, 2019. When her successor, Boris Johnson, failed to meet the EU’s first deadline extension of October 31, 2019, the EU approved a “flextension” to January 31, 2020. A U.K. general election was scheduled for December 2019, wherein the Conservative Party won a large majority and bolstered Prime Minister Johnson’s mandate to get Brexit done. A few days later, the British Parliament passed the Brexit Bill. In Italy, investors worried about another potential budget clash between the eurosceptic coalition government and the EU. However, following the unexpected resignation of the prime minister in August 2019, the newly formed coalition government appeared to take a less antagonistic stance. Europe also contended with the “yellow vest” protests in France, immigration policy concerns, Russian sanctions and political risk in Turkey.

Elsewhere, anti-government protests erupted across Latin America, Hong Kong and Lebanon during 2019, and Venezuela’s economic and political crisis deepened. In Argentina, markets were shocked by the defeat of incumbent President Macri, prompting concerns about the economic policies favored by the incoming Fernandez administration. Brazil’s Bolsonaro administration achieved a legislative win on pension reform and kept the economy on a path of modest growth. Europe’s traditional centrist parties lost seats in the May 2019 Parliamentary elections and populist parties saw marginal gains. The ruling parties in India and South Africa maintained their majorities, where slower economic growth could complicate their respective reform mandates.

6

The S&P 500^® Index returned 31.49% in 2019, as strong returns in the first and fourth quarters of 2019 helped deliver its best annual return since 2013 and an annual return of over 30% for just the fifth time in the last three decades. The Dow Jones Industrial Average and Nasdaq 100 Index returned 25.34% and 36.69% percent, respectively.

Between the first and fourth quarters of 2019, the equity market advance was choppy and moderate as the market processed uncertainty over Fed policy, trade and the global economy. Though the S&P 500^® Index returned 6.08% over the course of the second and third quarters, it experienced two sizeable drawdowns of 6.62% and 5.99%, occurring from May 3 through June 3 and July 26 through August 14, 2019, respectively. The first drawdown was driven by unease over trade and global economic growth as tensions between the U.S., China and Mexico escalated in concert with slowing growth in China. The equity market was particularly volatile during the second drawdown as the S&P 500^® Index had three separate one-day declines of over 2.5% in August 2019. Despite these mid-year pullbacks and persistent concern over U.S. monetary policy, global trade, and economic growth, implied volatility levels were persistently below their historical average in 2019. The Chicago Board Options Exchange (Cboe) Volatility Index^® (the VIX^®) averaged 15.4 for 2019, below its historical average of 19.15. The 2019 closing high for the VIX^® was 25.5 on January 3, as equity markets recovered from nearly-bear market territory in December 2018. The 2019 low for the VIX^® was 11.5 on November 26, amidst strong returns in the equity market, before it ended the reporting period at 13.78.

What key strategies were used to manage the Funds during twelve-month reporting period ended December 31, 2019?

BXMX

The Nuveen S&P 500 Buy-Write Income Fund (BXMX or the Fund) seeks attractive total return with less volatility than the S&P 500^® Index. During the twelve-month reporting period ended December 31, 2019, the Fund invested in an equity portfolio which sought to track the total return of the S&P 500^® Index and wrote (sold) listed index call options on approximately 100% of the notional value of its stock portfolio. The cash premium generated by the index call options is intended to supplement the dividend yield on the underlying stock portfolio to support the Fund’s distribution policy and to provide the potential for growth in value during rising markets and/or risk mitigation in the event of a market decline.

The writing of index call options on a broad equity index, while investing in a portfolio of equities, has the potential to enhance the BXMX’s risk-adjusted returns while exposing the Fund to less risk than unhedged equity investments. Hedging the equity portfolio with index call options may limit the Fund’s participation in market advances in exchange for the cash premium received for the written index call options. In addition, market declines are typically buffered by the amount of the cash premium received by the Fund. In flat or declining markets, BXMX’s call option premium can potentially enhance total return relative to the S&P 500^® Index. In rising markets, the call options may reduce the Fund’s total return relative to the S&P 500^® Index.

DIAX

DIAX seeks attractive total return with less volatility than the Dow Jones Industrial Average (DJIA). NAM varies the level of call option overwrite within a range of approximately 35% to 75%, with a long-run target of 55% overwrite. NAM uses its proprietary view of the market’s return and volatility profile to dynamically adjust the overwrite percentage and other factors. Generally, if NAM expects the equity market to appreciate, the overwrite percentage will be reduced to offer more potential upside capture. Likewise, if NAM expects equity markets to be flat or to decline, the overwrite percentage may be increased, thus managing the Fund to potentially receive additional cash flow from higher sales of call options. This dynamic option overwrite approach offers potential for greater equity market upside capture than the full overwrite approach, while still offering a measure of downside risk management. The Fund currently expects to carry

7

Portfolio Managers’ Comments (continued)

out its principal investment strategy by emphasizing options on broad-based indexes, individual stocks in the DJIA, and options on custom baskets of stocks in addition to ETFs. The Fund also has the opportunity to utilize call spread strategies and sell put options on a portion of the underlying equity portfolio.

SPXX

SPXX seeks attractive total return with less volatility than the S&P 500^® Index. NAM varies the level of option overwrite within a range of approximately 35% to 75% overwrite, with a long-run target of 55% overwrite. NAM uses its proprietary view of the market’s return and volatility profile to dynamically adjust the overwrite percentage and other factors.

Generally, if NAM expects the equity market to appreciate, the overwrite percentage will be reduced to offer more potential upside capture. Likewise, if NAM expects equity markets to be flat or to decline, the overwrite percentage may be increased, thus managing the Fund to potentially receive additional cash flow from higher sales of call options. This dynamic option overwrite approach offers potential for greater equity market upside capture than the full overwrite approach, while still offering a measure of downside risk management. The Fund currently expects to emphasize index call options on the S&P 500^® and can also employ an expanded range of options including index options on other broad-based indexes and options on custom baskets of stocks in addition to single name options. The Fund also has the opportunity to utilize call spread strategies and sell put options on a portion of the underlying equity portfolio.

QQQX

QQQX seeks attractive total return with less volatility than the NASDAQ-100 Index. NAM varies the level of call option overwrite within a range of approximately 35% to 75% overwrite, with a long-run target of 55% overwrite. NAM uses its proprietary view of the market’s return and volatility profile to dynamically adjust the overwrite percentage and other factors. Generally, if NAM expects the equity market to appreciate, the overwrite percentage will be reduced to offer more potential upside capture. Likewise, if NAM expects equity markets to be flat or to decline, the overwrite percentage may be increased, thus managing the Fund to potentially receive additional cash flow from higher sales of call options. This dynamic option overwrite approach offers potential for greater equity market upside capture than the full overwrite approach, while still offering a measure of downside risk management. The Fund, in carrying out its principal options strategy, expects to primarily write index call options on the Nasdaq-100 Index and other broad-based indexes and can also write call options on a variety of other equity market indexes and options on custom baskets of stocks in addition to single name options. The Fund also has the opportunity to utilize call spread strategies and sell put options on a portion of the underlying equity portfolio.

How did the Funds perform during this twelve-month reporting period ended December 31, 2019?

The tables in the Performance Overview and Holding Summaries section of this report provide total return for the one-year, five-year and ten-year periods ended December 31, 2019. Each Fund’s total returns at net asset value (NAV) are compared with the performance of its corresponding market index and, as available, a secondary custom blended benchmark.

For the twelve-month reporting period ended December 31, 2019, BXMX’s shares at NAV outperformed the CBOE S&P 500^®BuyWrite Index (BXM^SM), its primary index, but underperformed the S&P 500^® Index. DIAX underperformed the Dow Jones Industrial Average and its secondary index, which is a blend of 55% CBOE DJIA BuyWrite Index (BXD^SM) and 45% Dow Jones Industrial Average. SPXX underperformed the S&P 500^® Index and its secondary index, which is a blend of 55% the CBOE S&P 500^®BuyWrite Index (BXM^SM) and 45% the S&P 500^® Index. QQQX underperformed the Nasdaq-100 Index and its secondary index, which is a blend of 55% CBOE Nasdaq 100 BuyWrite Index (BXN^SM) and 45% Nasdaq-100 Index.

8

BXMX

The Fund’s index-tracking equity portfolio contributed to performance, which enabled participation in the equity market’s above-average advance during the reporting period. Active index call writing generated risk-reducing cash flow throughout the reporting period. In attempting to achieve its low volatility objective, the Fund’s annualized standard deviation of daily returns for the reporting period was 7.69% compared to 12.47% and 8.80% for the S&P 500^® and the BXM^SM, respectively. Additionally, the Fund’s active approach to index call writing contributed positively to the Fund’s returns in May and August 2019 when the equity market experienced steep but temporary losses.

The index call options written by the Fund often have similar characteristics to the index call option present in the BXM^SM at any given time. However, unlike the BXM^SM, the Fund employs an active strategy that gives its management team discretion to diversify expiration dates and strike prices across a portfolio of index call options, and to opportunistically pursue attractive call premiums while maintaining a relatively consistent risk profile.

Writing index call options limited equity market participation, generally detracting from the Fund’s return for the reporting period, consistent with expectations during periods when the equity market advances with below average implied volatility, as it did during each month of the reporting period except for May and August 2019. Additionally, the risk reducing cash flow generated by the Fund from writing index call options was relatively limited due to persistently below average implied volatility levels.

The Fund underperformed the BXM^SM over the first six months of the reporting period. After keeping pace with its benchmark in the first quarter 2019, most of the underperformance occurred in May and June 2019. As equity markets retreated in May 2019, the Fund replaced select written index call options for contracts with lower strike prices to maintain typical market exposure as the market declined. This resulted in lower market exposure relative to the BXM^SM during a brief but significant intra-month advance, translating to underperformance for the month of May. Similarly, the Fund underperformed in June 2019 primarily due to less market exposure than the BXM^SM over the first three weeks of the month. May 2019’s market decline meant that the BXM’s^SM single written option was well out-of-the-money at the beginning of June whereas the Fund’s portfolio of written options had a lower weighted-average strike price. The lower weighted-average strike price resulted in less market exposure and a lower return as the market rallied over the first three weeks of June 2019.

The Fund outperformed the BXM^SM over the last six months of the reporting period. The written index call option component of the BXM^SM detracted from its return in both the third and fourth quarters of 2019 as compared to the Fund’s active index call writing activity. Specifically, in the third quarter 2019, written call options contributed positively to the Fund’s return as it took advantage of elevated implied volatility levels during the mid-quarter equity market pullback. The Fund made several index call option trades to increase potential cash flow while maintaining a typical risk profile. In the fourth quarter 2019, the Fund experienced fewer written call option losses than the BXM^SM as the Fund’s diversified and active call writing approach provided consistent exposure to market advances and more option writing cash flow than the BXM’s^SM passive, single contract approach which resulted in decreasing market exposure during market advances and less cash flow.

DIAX

DIAX’s call option strategy is expected to dampen the beta (a measure of price volatility) of the overall portfolio. Active index call writing generated risk-reducing cash flow throughout the reporting period. In attempting to achieve its low volatility objective, the Fund’s annualized standard deviation of daily returns for the reporting period was 9.22% compared to 12.86% and 10.12% for Dow Jones Industrial Average and the secondary index, which is a blend of 55% CBOE DJIA BuyWrite Index (BXDSM) and 45% Dow Jones Industrial Average, respectively. This overwrite strategy provides incremental cash flow to the Fund and allows the portion of the Fund’s assets that are not overwritten to participate in any equity market rally. Those portions of the Fund that are overwritten have capped upside potential. The downside is buffered by the amount of cash flow premium received. Therefore, in flat or declining markets, the option premiums can enhance total returns relative to the Index. In rising markets, however, the options can hinder the Fund’s total return relative to the Index.

9

Portfolio Managers’ Comments (continued)

It is important to note the relationship between the market’s implied volatility that is measured by the Chicago Board Options Exchange (Cboe) Volatility Index^® (the “VIX^®”), and option writing. Implied volatility is a component of an option itself. It is the estimated volatility of an asset underlying an option. Higher implied volatilities result in higher option prices. The same can be said about the implied volatility of the market.

The market’s implied volatility, as measured by the VIX^®, began the reporting period around 25 and ended the reporting period at 13.78. The VIX^®’s year-over- year decline was one of largest in history. For the most part, NAM kept the Fund’s option overwrite level slightly above that of the DIAX Blended Benchmark. The option overwrite level ranged from 49% to 67%, but averaged 59% for the reporting period, above the Fund’s target average and its Blended Benchmark. During the first half of the reporting period, NAM included options on oil & gas processing exchange-traded funds (ETFs), utilities ETFs and biotechnology ETFs. However, during the majority of reporting period, NAM continued to make small tactical moves, mainly selling Index options on the S&P 500^® Index and Russell 2000^® Index.

Several factors contributed to the Fund’s underperformance most significantly the Fund’s overwrite levels for the reporting period. The Fund’s option overwrite strategy, which is designed to reduce the portfolio’s return volatility and downside risk, was higher than its target and the Blended Benchmark, which detracted from performance. In addition, our small tactical moves which included selling options on oil & gas, utilities and biotech ETFs detracted from performance. Lastly, NAM utilized S&P 500^® Index options. As the S&P 500^® Index continued to advance during the reporting period, the level of the option’s premiums declined as well.

By keeping the overwrite level above the historical average of 55% during the reporting period, the Fund was able to buffer some of the downside when markets sold-off in late January and May 2019. In addition, NAM utilized Russell 2000^® Index options. Unlike other indexes, the Russell 2000^® Index had periods of flat performance throughout the reporting period. NAM was able to collect more premium income as it was a favorable environment for writing options on the Russell 2000^® Index and contributed to performance.

SPXX

SPXX’s call option strategy is expected to dampen the beta (a measure of price volatility) of the overall portfolio. Active index call writing generated risk-reducing cash flow throughout the reporting period. In attempting to achieve its low volatility objective, the Fund’s annualized standard deviation of daily returns for the reporting period was 9.61% compared to 12.89% and 9.57% for the S&P 500^® Index and its secondary index, which is a blend of 55% the CBOE S&P 500^®BuyWrite Index (BXMSM) and 45% the S&P 500^® Index, respectively. This overwrite strategy provides incremental cash flow to the Fund and allows the portion of the Fund’s assets that are not overwritten to participate in any equity market rally. Those portions of the Fund that are overwritten have capped upside potential. The downside is buffered by the amount of cash flow premium received. Therefore, in flat or declining markets, the option premiums can enhance total returns relative to the index. In rising markets, however, the options can hinder the Fund’s total return relative to the index.

It is important to note the relationship between market’s implied volatility that is measured by the Chicago Board Options Exchange (Cboe) Volatility Index^® (the “VIX^®”), and option writing. Implied volatility is a component of an option itself. It is the estimated volatility of an asset underlying an option. Higher implied volatilities result in higher option prices. The same can be said about the implied volatility of the market.

The market’s implied volatility, as measured by the VIX^®, began the reporting period around 25 and ended the reporting period at 13.78. The VIX^®’s year-over- year decline was one of largest in history. For the most part, NAM kept the Fund’s option overwrite level slightly above that of the SPXX Blended Benchmark. The option overwrite level ranged from 49% to 67%, but averaged 59% for the reporting period, above the Fund’s target average and its Blended Benchmark. During the first half of the reporting period, NAM included options on oil & gas processing exchange-traded funds (ETFs), utilities ETFs and biotechnology ETFs. However, during the majority of reporting period, NAM continued to make small tactical moves, mainly selling Index options on the S&P 500^® Index and Russell 2000^® Index.

10

Several factors contributed to the Fund’s underperformance most significantly the Fund’s overwrite levels for the reporting period. The Fund’s option overwrite strategy, which is designed to reduce the portfolio’s return volatility and downside risk, was higher than its target and the Blended Benchmark, which detracted from performance. In addition, our small tactical moves which included selling options on oil & gas, utilities and biotech ETFs detracted from performance. Lastly, NAM utilized S&P 500^® Index options. As the S&P 500^® Index continued to advance during the reporting period, the level of the option’s premiums declined as well.

By keeping the overwrite level above the historical average of 55% during the reporting period, the Fund was able to buffer some of the downside when markets sold-off in late January and May 2019. In addition, NAM utilized Russell 2000^® Index options. Unlike other indexes, the Russell 2000^® Index had periods of flat performance throughout the reporting period. NAM was able to collect more premium income as it was a favorable environment for writing options on the Russell 2000^® Index and contributed to performance.

QQQX

QQQX’s call option strategy is expected to dampen the beta (a measure of price volatility) of the overall portfolio. Active index call writing generated risk-reducing cash flow throughout the reporting period. In attempting to achieve its low volatility objective, the Fund’s annualized standard deviation of daily returns for the reporting period was 11.94% compared to 15.72% and 12.24% for the Nasdaq-100 Index and its secondary index, which is a blend of 55% CBOE Nasdaq 100 BuyWrite Index (BXNSM) and 45% Nasdaq-100 Index, respectively. This overwrite strategy provides incremental cash flow to the Fund and allows the portion of the Fund’s assets that are not overwritten to participate in any equity market rally. Those portions of the Fund that are overwritten have capped upside potential. The downside is buffered by the amount of cash flow premium received. Therefore, in flat or declining markets, the option premiums can enhance total returns relative to the Index. In rising markets, however, the options can hinder the Fund’s total return relative to the index.

It is important to note the relationship between market’s implied volatility that is measured by the Chicago Board Options Exchange (Cboe) Volatility Index^® (the “VIX^®”), and option writing. Implied volatility is a component of an option itself. It is the estimated volatility of an asset underlying an option. Higher implied volatilities result in higher option prices. The same can be said about the implied volatility of the market.

The market’s implied volatility, as measured by the VIX^®, began the reporting period around 25 and ended the reporting period at 13.78. The VIX^®’s year-over- year decline was one of largest in history. For the most part, NAM kept the Fund’s option overwrite level slightly above that of the QQQX Blended Benchmark. The option overwrite level ranged from 49% to 67%, but averaged 59% for the reporting period, above the Fund’s target average and its Blended Benchmark. During the first half of the reporting period, NAM included options on oil & gas processing exchange-traded funds (ETFs), utilities ETFs and biotechnology ETFs. However, during the majority of reporting period, NAM continued to make small tactical moves, mainly selling Index options on the Nasdaq-100 Index and Russell 2000^® Index.

Several factors contributed to the Fund’s underperformance most significantly the Fund’s overwrite levels for the reporting period. The Fund’s option overwrite strategy, which is designed to reduce the portfolio’s return volatility and downside risk, was higher than its target and the Blended Benchmark, which detracted from performance. In addition, our small tactical moves which included selling options on oil & gas, utilities and biotech ETFs detracted from performance. Lastly, NAM utilized S&P 500^® Index options. As the S&P 500^® Index continued to advance during the reporting period, the level of the option’s premiums declined as well. Lastly, as the Nasdaq 100 Index continued to advance during the reporting period, the level of the option’s premiums declined as well. This dynamic made the risk/reward of selling options increasingly unattractive.

By keeping the overwrite level above the historical average of 55% during the reporting period, the Fund was able to buffer some of the downside when markets sold-off in late January and May 2019. Lastly, NAM utilized Russell 2000^® Index options. Unlike other indices, the Russell 2000^® Index had periods of flat performance throughout the reporting period. NAM was able to collect more premium income as it was a favorable environment for writing options on the Russell 2000^® Index and contributed to performance.

11

Common Share Information

DISTRIBUTION INFORMATION

The following 19(a) Notice presents the Funds’ most current distribution information as of November 30, 2019 as required by certain exempted regulatory relief the Funds have received.

Because the ultimate tax character of your distributions depends on the Funds’ performance for its entire fiscal year (which is the calendar year for the Funds) as well as certain fiscal year-end (FYE) tax adjustments, estimated distribution source information you receive with each distribution may differ from the tax information reported to you on your Funds’ IRS Form 1099 statement.

DISTRIBUTION INFORMATION – AS OF NOVEMBER 30, 2019

This notice provides shareholders with information regarding fund distributions, as required by current securities laws. You should not draw any conclusions about the Funds’ investment performance from the amount of this distribution or from the terms of the Funds’ Managed Distribution Policy.

Each Fund may in certain periods distribute more than its income and net realized capital gains, and the Funds currently estimate that they have done so for the fiscal year-to-date period. In such instances, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the money that you invested in the Fund is paid back to you. A return of capital distribution does not necessarily reflect the Funds’ investment performance and should not be confused with “yield” or “income.”

The amounts and sources of distributions set forth below are only estimates and are not being provided for tax reporting purposes. The actual amounts and sources of the amounts for tax reporting purposes will depend upon the Funds’ investment experience during the remainder of its fiscal year and may be subject to changes based on tax regulations. Each Fund will send you a Form 1099-DIV for the calendar year that will tell you how to report these distributions for federal income tax purposes. More details about the Funds’ distributions and the basis for these estimates are available on www.nuveen.com/cef.

The following table provides estimates of the Funds’ distribution sources, reflecting year-to-date cumulative experience through the latest month-end. Each Fund attributes these estimates equally to each regular distribution throughout the year. Consequently, the estimated information shown below is for the current distribution, and also represents an updated estimate for all prior months in the year.

12

The following table provides information regarding the Funds’ distributions and total return performance over various time periods. This information is intended to help you better understand whether returns for the specified time periods were sufficient to meet distributions.

DISTRIBUTION INFORMATION – AS OF DECEMBER 31, 2019

The following tables provide information regarding the Funds’ common share distributions and total return performance for the fiscal year ended December 31, 2019. This information is intended to help you better understand whether the Funds’ returns for the specified time period were sufficient to meet its distributions.

13

CHANGE IN METHOD OF PUBLISHING NUVEEN CLOSED-END FUND DISTRIBUTION AMOUNTS

During November 2019, the Nuveen Closed-End Funds discontinued the practice of announcing Fund distribution amounts and timing via press release. Instead, information about the Nuveen Closed-End Funds’ monthly and quarterly periodic distributions to shareholders are posted and can be found on Nuveen’s enhanced closed-end fund resource page, which is at www.nuveen.com/closed-end-fund-distributions, along with other Nuveen closed-end fund product updates. Shareholders can expect regular distribution information to be posted on www.nuveen.com on the first business day of each month. To ensure that our shareholders have timely access to the latest information, a subscribe function can be activated at this link here, or at this web page (www.nuveen.com/en-us/people/about-nuveen/for-the-media).

COMMON SHARE EQUITY SHELF PROGRAMS

During the current reporting period, the Funds were authorized by the Securities and Exchange Commission to issue additional common shares through an equity shelf program (Shelf Offering). Under these programs, the Funds, subject to market conditions, may raise additional capital from time to time in varying amounts and offering methods at a net price at or above each Fund’s NAV per common share. The total amount of common shares authorized under these Shelf Offerings are as shown in the accompanying table.

Refer to Notes to Financial Statements, Note 5 – Fund Shares, Common Share Equity Shelf Programs and Offering Costs for further details of Shelf Offerings and each Fund’s respective transactions.

COMMON SHARE REPURCHASES

During August 2019, the Funds’ Board of Trustees reauthorized an open-market share repurchase program, allowing each Fund to repurchase an aggregate of up to approximately 10% of its outstanding common shares.

As of December 31, 2019, and since the inception of the Funds’ repurchase programs, the Funds have cumulatively repurchased and retired their outstanding common shares as shown in the accompanying table.

During the current reporting period, the Funds did not repurchase any of their outstanding common shares.

14

15

Risk Considerations and Investment Policy Updates

Risk Considerations

Fund shares are not guaranteed or endorsed by any bank or other insured depository institution, and are not federally insured by the Federal Deposit Insurance Corporation.

Nuveen S&P 500 Buy-Write Income Fund (BXMX)

Investing in closed-end funds involves risk; principal loss is possible. There is no guarantee the Fund’s investment objectives will be achieved. Closed-end fund shares may frequently trade at a discount or premium to their net asset value. Common stock returns often have experienced significant volatility. The Fund may not participate in any appreciation of its equity portfolio as fully as it would if the Fund did not sell call options. In addition, the Fund will continue to bear the risk of declines in the value of the equity portfolio. Because index options are settled in cash, sellers of index call options, such as the Fund, cannot provide in advance for their potential settlement obligations by acquiring and holding the underlying securities. For these and other risks, including tax risk, please see the Fund’s web page at www.nuveen.com/BXMX.

Nuveen Dow 30^SM Dynamic Overwrite Fund (DIAX)

Investing in closed-end funds involves risk; principal loss is possible. There is no guarantee the Fund’s investment objectives will be achieved. Closed-end fund shares may frequently trade at a discount or premium to their net asset value. Common stock returns often have experienced significant volatility. The Fund may not participate in any appreciation of its equity portfolio as fully as it would if the Fund did not sell call options. In addition, the Fund will continue to bear the risk of declines in the value of the equity portfolio. Because index options are settled in cash, sellers of index call options, such as the Fund, cannot provide in advance for their potential settlement obligations by acquiring and holding the underlying securities. For these and other risks, including tax risk, please see the Fund’s web page at www.nuveen.com/DIAX.

Nuveen S&P 500 Dynamic Overwrite Fund (SPXX)

Investing in closed-end funds involves risk; principal loss is possible. There is no guarantee the Fund’s investment objectives will be achieved. Closed-end fund shares may frequently trade at a discount or premium to their net asset value. Common stock returns often have experienced significant volatility. The Fund may not participate in any appreciation of its equity portfolio as fully as it would if the Fund did not sell call options. In addition, the Fund will continue to bear the risk of declines in the value of the equity portfolio. Because index options are settled in cash, sellers of index call options, such as the Fund, cannot provide in advance for their potential settlement obligations by acquiring and holding the underlying securities. For these and other risks, including tax risk, please see the Fund’s web page at www.nuveen.com/SPXX.

Nuveen Nasdaq 100 Dynamic Overwrite Fund (QQQX)

Investing in closed-end funds involves risk; principal loss is possible. There is no guarantee the Fund’s investment objectives will be achieved. Closed-end fund shares may frequently trade at a discount or premium to their net asset value. Common stock returns often have experienced significant volatility. The Fund may not participate in any appreciation of its equity portfolio as fully as it would if the Fund did not sell call options. In addition, the Fund will continue to bear the risk of declines in the value of the equity portfolio. Because index options are settled in cash, sellers of index call options, such as the Fund, cannot provide in advance for their potential settlement obligations by acquiring and holding the underlying securities. For these and other risks, including tax risk, please see the Fund’s web page at www.nuveen.com/QQQX.

16

Investment Policy Updates

Change in Investment Policy

Each Fund has recently adopted the following policy regarding limits to investments in illiquid securities: While there are no such limits imposed by applicable regulations, certain Nuveen Closed-End Funds formerly had investment policies that placed limits on a Fund’s ability to invest in illiquid securities. All exchange-listed Nuveen Closed-End Funds now have no formal limit on their ability to invest in such illiquid securities, but each Fund’s portfolio management team will monitor such investments in the regular, overall management of the Fund’s portfolio securities.

17

Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.

Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.

Common Share Price Performance — Weekly Closing Price

18

This data relates to the securities held in the Fund’s portfolio of investments as of the end of the reporting period. It should not be construed as a measure of performance for the Fund itself. Holdings are subject to change.

(% of total long-term investments)

19

Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.

Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.

Common Share Price Performance — Weekly Closing Price

20

This data relates to the securities held in the Fund’s portfolio of investments as of the end of the reporting period. It should not be construed as a measure of performance for the Fund itself. Holdings are subject to change.

21

Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.

Performance prior to December 22, 2014, reflects the Fund’s performance under the management of a sub-adviser using an investment strategy that differed from those currently in place.

Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.

Common Share Price Performance — Weekly Closing Price

22

This data relates to the securities held in the Fund’s portfolio of investments as of the end of the reporting period. It should not be construed as a measure of performance for the Fund itself. Holdings are subject to change.

(% of total long-term investments)

23

Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.

Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.

Common Share Price Performance — Weekly Closing Price

24

This data relates to the securities held in the Fund’s portfolio of investments as of the end of the reporting period. It should not be construed as a measure of performance for the Fund itself. Holdings are subject to change.

25