CBOE Capped VIX Premium Strategy Index (VPN)

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

• Tracks the performance of a strategy that systematically sells 1-month VIX futures, capped by the purchase of a VIX call option.
• Index will be calculated once per day after the close.
• The short VIX futures position is capped with long VIX calls struck 25 points higher than the VIX futures price, or calls at the closest strike below if this strike is not listed.

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

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

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

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




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