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BFLY
 Cboe S&P 500 Iron Butterfly Index
Last Sale

491.72

Change

-3.15 (-0.64%)

Open

494.2

High

495.88

Low

488.13

Prev Close

494.87

Cboe S&P 500 Iron Butterfly Index
  • Overview
  • Performance
     

Cboe S&P 500 Iron Butterfly Index (BFLY)

The Cboe S&P 500 Iron Butterfly IndexSM (BFLY) is inspired by the butterfly option strategy. The objective of a butterfly option spread is to mine "near-the-money" option volatility premia with limited risk.  In the same vein, the BFLY index tracks the value of a  hypothetical portfolio that overlays  a short SPX at-the-money straddle and long 5% out-of-the-money SPX call and put. To guarantee solvency, the Treasury bills cover ten times the maximum loss of the short butterfly spread. 

The BFLY portfolio is calculated once per day, and it is rebalanced monthly, usually  at 11 am ET every third Friday after the options in the butterfly spread expire. A new SPX butterfly spread is then sold. hypothetical portfolio that overlays a butterfly spread of SPX  options over one-month Treasury bills . 


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The performance quoted represents past performance and does not guarantee future results.