*Under section 1256 of the Tax Code, profit and loss on transactions in certain exchange-traded options, including SPX, are entitled to be
taxed at a rate equal to 60% long-term and 40% short-term capital gain or loss, provided that the investor involved and the strategy
employed satisfy the criteria of the Tax Code. Investors should consult with their tax advisors to determine how the profit and loss on any
particular option strategy will be taxed. Tax laws and regulations change from time to time and may be subject to varying interpretations.
**Cboe Regulatory Circular RG15-183 notes that Cboe rules allow a short position in a cash-settled-index option established and carried in
a margin account to receive covered margin treatment if the short option position is offset in the same account by an equivalent or greater
position in an index-tracking ETF that is based on the same index that underlies the short option(s) and provided the investor's brokerage
firm has such policies in place.