The Cboe SMILESM Index is based on a premium capture strategy that utilizes the information implicit in the curve of implied volatilities of S&P 500® options (SPX options). The shape of this curve is described as a smile, or sometimes a skew if it is steeper over puts. The implied volatility curve tends to flatten when expected volatility is already high, which signals a possible rally in U.S. stock prices. The SMILE Index combines a short one-month SPX 25 delta put with a one month 25 delta call. The call is held long or short depending on the shape of the smile, as summarized by the ratio of prices of the put and call. The option position is collateralized by an investment in one-month Treasury bills. There exist a number of option strategies predicated on the smile, such as the Jaded Lizard (short a put and short a call spread) and its opposite, the Twisted Sister (short a put spread and short a call). These strategies are short puts or call options, and mitigate risk with short call spreads or put spreads. Instead, the SMILE Index mitigates the volatility risk by conditioning the sign of the call based on the smile of implied volatilities.