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 Cboe S&P 500 Range-Bound Premium Income Index Series
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Cboe S&P 500 Range-Bound Premium Income Index Series
As of 2020-08-03 17:17:08 (ET)
  • Overview
  • Performance


The Cboe S&P 500 Range-Bound Premium Income Index (the "Index") is part of the family of Target Outcome Indices. The Index is designed to provide a target level of monthly premium income that exhibits low correlations to monthly return from US domestic fixed income markets and directionally neutral to monthly returns of the US domestic stock market.

The Index measures the performance of a portfolio of short term T-Bills and exchange traded Flexible Exchange ® Options ("FLEX ® Options") that are based on the S&P 500 ® Index. The Index is designed to track the returns of an investment that over a period of approximately one month seeks to provide a target level of premium income from sales and purchase of options while minimizing the risk of loss from the options positions.

  • Cboe S&P 500 Range-Bound Premium Income Index (SPRI SM)

Target Outcome Returns

The Index is part of the family of Target Outcome Indices. Many investments target speculative returns, with uncertain levels of risk, over an uncertain period of time. While opportunistic, this approach to investing brings a high degree of uncertainty. Target Outcome Indexes encourage targeting a specific defined return or "payoff", with an allowance for a specific defined risk, at a specific point in time in the future.

Range-Bound Option Strategy

A Range-Bound Option Strategy (the "Strategy") is a strategy that is generally used in a range-bound market environment. The Strategy seeks to provide a source of income returns that has low correlation to the returns from the US domestic fixed income markets and is neutral to the returns from the US domestic equity markets.

The Strategy sets the upper and lower bounds for the price return of the S&P 500 Index each month (the "Range") to attempt to meet two objectives:

  • Receive a target level of premium income through sale and purchase of FLEX Options.
  • Reduce the possibility of loss from settlement of the options due to the price return of S&P 500 ® Index being outside the Range at month's end.

Following is a visual example of the outcome that the Range-Bound Option strategy targets:

Range Levels

Following are the Upper and Lower Bounds for the Rangeover the last twelve years and the performance of the S&P 500 Index in each of those months.

Index Constituents

Cboe data is compiled for the convenience of site visitors and is furnished without responsibility for accuracy and is accepted by the site visitor on the condition that transmission or omissions shall not be made the basis for any claim, demand or cause for action. The information and data was obtained from sources believed to be reliable, but accuracy is not guaranteed. Your use of Cboe data is subject to the Terms and Conditions of Cboe Websites.

Index History

Indexes described on this web page are designed to represent proposed hypothetical options strategies. The actual performance of investment vehicles such as mutual funds or managed accounts can have significant differences from the performance of the Indexes. Investors attempting to replicate the Indexes should discuss with their advisors possible timing and liquidity issues. Like many passive benchmarks, the Indexes do not take into account significant factors such as transaction costs and taxes. Transaction costs and taxes for strategies such as the Indexes could be significantly higher than transaction costs for a passive strategy of buying-and-holding stocks. Investors should consult their tax advisor as to how taxes affect the outcome of contemplated options transactions. Past performance does not guarantee future results. This web page contains index performance data based on back-testing, i.e., calculations of how the index might have performed prior to launch. Backtested performance information is purely hypothetical and is provided in this web page solely for informational purposes. Back-tested performance does not represent actual performance and should not be interpreted as an indication of actual performance. It is not possible to invest directly in an index. Cboe calculates and disseminates the Indexes. Supporting documentation for any claims, comparisons, statistics or other technical data is available from Cboe upon request. The methodologies of the Indexes are the property of Cboe Options Exchange, Incorporated (Cboe).

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