S&P 500 VIX Indexes
The VIX Index is a calculation designed to produce a measure of constant, (typically 30-day) volatility of the S&P 500 stock index. A higher VIX means a higher expectation of volatility during the time period.
Options Strategy Indexes
Cboe benchmark indexes show the performance of hypothetical strategies using index options.
Sun, Apr 5th, 2020
BuyWrite Indexes
The BuyWrite (Covered Call) indexes track the performance of buying the S&P 500 stock index and selling $SPX call options. BuyWrite strategies can generate income as well as reduce overall portfolio volatility.
PutWrite Indexes
The PutWrite (Naked Put) indexes track the performance of selling S&P 500 Index puts with the proceeds invested in three-month Treasury bills. PutWrite strategies can generate income and lower portfolio volatility.
Combo Indexes
A Covered Combo Index tracks the hypothetical performance of short strangle strategy that sells one 2% out-of-the-money $SPX call and one at-the-money $SPX put while long the S&P 500 Index. By selling both options, two credits are received, and the break-even cost of the long index position is reduced.
Iron Butterfly and Iron Condor Indexes
The iron butterfly index tracks the performance of a strategy that involves the simultaneous selling of an at-the-money $SPX straddle (same strike call and put) and the purchase of an out-of-the-money $SPX strangle (different strike call and put). The iron condor index tracks the performance simultaneously selling an OTM put spread (bull put spread) and selling an OTM call spread (bear call spread).
Collar Indexes
The Collar Indexes tracks the hypothetical performance of buying one 5% out-of-the-money $SPX put and selling one 10% out-of-the-money $SPX call while long the stocks that make up the S&P 500. The strategy provides protection in market corrections while capping potential returns in rallies.
Put Protection Index
The Put Protection Index tracks the hypothetical performance of buying a 5% out-of-the-money $SPX put while long the securities that compose the S&P 500.
Risk Reversal Index
The Risk Reversal Index tracks the hypothetical performance of an option strategy where one 25 Delta $SPX call is purchased and one 25 Delta $SPX put is sold. This strategy is akin to a synthetic long position in the underlying index.
VIX Benchmark Indexes
Index descriptions provided by Cboe.com
