Cboe S&P 500 Iron Condor Index (CNDR) www.cboe.com/CNDR

The Cboe S&P 500 Iron Condor Index is designed to track the performance of a hypothetical option trading strategy that 1) sells a rolling monthly out-of-the-money (OTM) S&P 500 Index (SPX) put option (delta ≈ - 0.20) and a rolling monthly out-of-the-money (OTM) SPX call option (delta ≈ 0.20); 2) buys a rolling monthly OTM SPX put option (delta ≈ - 0.05) and a rolling monthly OTM SPX call option (delta ≈ 0.05) to reduce risk; and 3) holds a money market account invested in one-month Treasury bills, which is rebalanced on option roll days and is designed to limit the downside return of the index.

The CNDR Index rolls on a monthly basis, typically every third Friday of the month.

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. Your use of Cboe data is subject to the Terms and Conditions of Cboe's Websites. Please see CNDR info on risk disclosures, prices, intellectual property and methodology changes at www.cboe.com/micro/CNDR.

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