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CBOE VIX Premium Strategy Index (VPD)

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



This graph compares the VPD Index and the CBOE Capped VIX Premium Strategy Index (VPN).




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

Related Topics
Quotes
Market Statistics
Portfolio Management Strategies
Symbol Directory
Index Overflow Symbols
Strategies


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