The Cboe S&P 500 Buffer Protect Index Series (the "Indices") is part of a family of Target Outcome Indices. The Indices are designed to provide target outcome returns to the US domestic stock market.
The Indices measure the performance of a portfolio of hypothetical exchange traded Flexible Exchange® Options ("FLEX® Options") that are based on the S&P 500® Index.
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.
The Index Series comprises 13 series.