Five-Year Gains of More than 60% for CALD, PPUT and VXTH Indices

Matt Moran

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August 4, 2023

This Index Insights Monthly Scorecard provides an update on the performance of dozens of indices that track the levels of volatility or the performance of hypothetical strategies that invest in options or futures.

Highlights:

Cboe indices with 5-year gains of more than 60% include CALD^SM, PPUT^SM, VPN^SM and VXTH^SM
Record monthly closing highs for 15 Cboe strategy indices, including PUT^SM, RXM^SM and VPN^SM
Lower than average levels for VIX® Index and VVIX^SM Index in July
Cboe is now the exclusive distributor of Morningstar Indexes’ full range of indices

Cboe Indices with 5-year gains of more than 60% Include CALD^SM, PPUT^SM, VPN^SM and VXTH^SM.

Month-End Scorecard for 30 Indices (as of July 31, 2023)

Source: Cboe Global Markets

All of the indices above (except the four volatility indices) are total return (pre-tax) indices. Past performance is not predictive of future returns.

Record Monthly Closing Highs for 15 Cboe Strategy Indices, Including PUT^SM, RXM^SM and VPN^SM

While the recent month-end closing values for some key stock indices – such as the S&P 500 Index and the Russell 2000 Index – are below their all-time highs, 15 Cboe indices hit new monthly closing highs on July 31, 2023.

BXD^SM | Cboe DJIA BuyWrite Index
BXHB^SM | Cboe HYG BuyWrite Index
BXLKH^SM | Cboe S&P Technology Select Sector Half BuyWrite Index
BXMC^SM | Cboe S&P 500 Conditional BuyWrite Index
CLLZ^SM | Cboe S&P 500 Zero-Cost Put Spread Collar
PUT^SM | Cboe S&P 500 PutWrite Index
PUTR^SM | Cboe Russell 2000 PutWrite Index
PUTY^SM | Cboe S&P 500 2% OTM PutWrite IndexRXMSM - Cboe S&P 500 Risk Reversal Index
SPAI^SM| Cboe S&P 500 Dividend Aristocrats Target Income Index
SPEN^SM | Cboe S&P 500 Enhanced Growth Index Balanced Series
SPRO^SM | Cboe S&P 500 Buffer Protect Index Balanced Series
VPD^SM | Cboe VIX Premium Strategy Index
VPN^SM | Cboe Capped VIX Premium Strategy Index
VSTG^SM | Cboe VIX Strangle Index

The Cboe S&P 500 Buffer Protect Index Series is part of a family of Target Outcome Indices designed to provide target outcome returns to the U.S. domestic stock market. Each series in the index is designed to track the returns of a hypothetical investment that over a period of approximately one year seeks to buffer protect against the first 10% of losses due to a decline in the S&P 500 Index while providing participation up to a capped level. The capped level is determined on each annual roll date such that there is no premium or discount to enter into the hypothetical investment compared to an investment in the index. Learn more.

SPRO - Cboe S&P 500 Buffer Protect Index Balanced Series

Source: Cboe Global Indices

Expected Volatility Was Lower than Average in July

The table and line chart below show that the average daily closing levels in July 2023 were below longer-term averages for both the Cboe VIX of VIX Index (VVIX^SM) and the Cboe Volatility Index® (VIX® Index). In regimes with below-average levels for these indices, buyers of index options may find that the options premiums may be more affordable than regimes when the index values are much higher.

VVIX and VIX Indices Since January 2020

Source: Cboe Global Indices

Distribution of Morningstar Indexes’ Data

Cboe now is the exclusive distributor of Morningstar Indexes’ full range of indices across all major asset classes, styles and strategies. Investors can obtain real-time access to 2,000+ index values through the Cboe Global Indices Feed, delivered both on-premise and through Cboe Global Cloud.

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Learn more about Cboe Global Indices and related options and futures strategies:

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