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RXM
 Cboe S&P 500 Risk Reversal Index
Last Sale

1087.68

Change

5.5001 (0.51%)

Open

1084.71

High

1088.54

Low

1080.68

Prev Close

1087.68

Cboe S&P 500 Risk Reversal Index
As of 2020-09-22 16:50:26 (ET)
  • Overview
  • Performance
     

Cboe S&P 500 Risk Reversal Index (RXM)

The Cboe S&P 500 Risk Reversal Index (RXMSM Index) is a benchmark index designed to track the performance of a hypothetical risk reversal strategy that: (1) buys a rolling out-of-the-money (delta ≈ 0.25) monthly SPX Call option; (2) sells a rolling out-of-the-money (delta ≈ - 0.25) monthly SPX Put option; and (3) holds a rolling money market account invested in one-month Treasury bills to cover the liability from the short SPX Put option position.


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