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CBOE VIX Premium Strategy Index (VPD)     www.cboe.com/VPD

 
CBOE VIX Premium Strategy Index - VPD  
VIX 12.24 -0.57
VPD 265.91 0.00
VPN 260.08 0.00
VTY
VXV 13.50 -0.30



Introduced in November 2007, the CBOE VIX Premium Strategy Index (VPD) has these features:

  • Tracks the performance of a strategy that systematically sells 1-month VIX futures.
  • Index will be calculated once per day after the close.
  • This index tracks the value of a portfolio that overlays a sequence of short one-month VIX futures on a money market account. The VIX futures are held until expiration and new VIX futures are then sold. The money market account decreases leverage relative to a stand-alone short position in VIX futures. To further limit risk, the number of VIX futures sold at each roll is set to preserve 75% of the initial value of the portfolio in the event that VIX futures increase by 25 points.

Description of VIX Premium Index - VPD and VPN (Adobe Acrobat format)
VPD Price History (.csv format)
VPN Price History (.csv format)



Price Graphs

If you wish to create customized, up-to-date VPD charts, please visit the Advanced Charts page

CBOE VIX Premium Strategy Index (VPD)

VPD Index

CBOE Capped VIX Premium Strategy Index (VPN)

If you wish to create customized, up-to-date VPD charts, please visit the Advanced Charts page



More Index Charts

Link to more Index Charts


Links to More Information

Press Release November 12, 2007
Volatility Indexes
Delayed Price Quotes
VIX Options "Most Innovative" Award
VIX Options Strategy - Bullish on Implied Volatility - Buy VIX Call Option
VIX Options Strategy - Bearish on VIX - Put Spread with VIX Options
VIX Options Strategy - Reverse Collar
VIX Bibliography

CBOE Volatility Index (VIX)