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 Cboe S&P Enhance and Buffer Index
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Cboe S&P Enhance and Buffer Index
As of 2020-07-02 17:09:01 (ET)
  • Overview
  • Performance



The Cboe S&P 500 Enhance & Buffer Index (the "Index") is part of a family of Target Outcome Indexes. The Index is designed to provide target outcome returns linked to the US large capitalization stock market that, before net options premium paid or received, seeks to enhance upside gains and protect against downside losses in the range of monhtly returns with higher probability, while capping upside gains and enhancing downside losses in the range of monthly returns with lower probablity.

The Index measures the performance of a portfolio of 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 two times enhanced returns on appreciation of the S&P 500 up to a capped level of 5.0%, "buffer protect" against the first 3.5% of losses, and two times enhanced exposure on losses of more than 3.5%. The net premium to replicate the investment in the FLEX Options paid or received on each monthly roll date is incorporated into the calculations of the Index.

The ticker for the index is SUPDN.

Target Outcome Returns

The Index is part of the family of Target Outcome Indexes. 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 Investments 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.

Enhance and Buffer Strategy

An Enhance and Buffer Strategy (the "Strategy") is an options-based investment strategy that is generally used in a market environment when the monthly returns of the US domestic markets are expected to be in the -7% and +5% range. It seeks to provide a buffer of protection against downside losses over a set period of time, while still providing the opportunity for accelerated growth to a maximum pre-determined level. The strategy seeks to provide returns better than the S&P 500 Index, with lower volatility and downside risks in most market environments, with the exception of when the US large capitalization stock market is rallying rapidly or falling rapidly.

Monthly Premium Paid or Received

Following is the history of the net premium paid or received on each monthly roll date to replicate the investment in the FLEX Options.

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.

Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of Characteristics and Risks of Standardized Options. Copies are available from your broker or from The Options Clearing Corporation at The Cboe S&P 500 Enhance & Buffer Index (the "Index") is designed to represent a proposed hypothetical yield protection strategy. Like many passive indexes, the Index does not take into account significant factors such as transaction costs and taxes and, because of factors such as these, many or most investors should be expected to underperform passive indexes. In the construction of the Index, the options components of each series is assumed to be purchased and sold at a certain price on the last business day of the series. However, there is no guarantee that all investors will be able to buy or sell at this price, and investors attempting to replicate the Index should discuss with their brokers possible timing and liquidity issues. This paper contains index performance data based on back-testing, i.e., calculations of how the index might have performed prior to launch. Back-tested performance information is purely hypothetical and is provided in this paper solely for informational purposes. Back-tested performance does not represent actual performance and should not be interpreted as an indication of actual performance. No representation is being made that any investment will or is likely to achieve a performance record similar to that shown. It is not possible to invest directly in an index. Cboe Exchange, Inc. calculates and disseminates the Index.

The information in this paper is provided for general education and information purposes only. No statement within this paper should be construed as a recommendation to buy or sell a security or to provide investment advice. Your use of, and access to, this paper is subject to the Terms and Conditions for Use of Cboe Websites located at The methodology of the Index is the property of Cboe Exchange, Inc. Cboe®, FLEX® and Flexible Exchange® are registered trademarks and SUPDNSM is a service mark of Cboe Exchange, Inc. S&P 500® is a registered trademark of Standard & Poor's Financial Services, LLC and has been licensed for use by Cboe Exchange, Inc. Financial products based on S&P indices are not sponsored, endorsed, sold or promoted by Standard & Poor's, and Standard & Poor's makes no representation regarding the advisability of investing in such products.

© 2017 Cboe Exchange, Inc. All rights reserved.

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