The Cboe S&P 500 15% Buffer Protect Index Series (the "Indices") are part of a family of Target Outcome Indices. The Indices are designed to provide target outcome returns to the US domestic stock market.
The Indices measures the performance of a portfolio of hypothetical exchange traded Flexible Exchange® Options ("FLEX® Options") that are based on the S&P 500® Index. Each series in the index is designed to track the returns of a hypothetical investment that over a period of approximately one year seeks to "buffer protect" against the first 15% of losses due to a decline in the S&P 500 Index while providing participation up to a capped level. The capped level is determined on each annual roll date such that there is no premium or discount to enter into the hypothetical investment compared to an investment in the Index.
The Index Series comprises 4 quarterly series.
There are 4 monthly series that roll on the last business day of each month:
- Cboe S&P 500 15% Buffer Protect Index January Series (Ticker: SPRF01)
- Cboe S&P 500 15% Buffer Protect Index April Series (Ticker: SPRF04)
- Cboe S&P 500 15% Buffer Protect Index July Series (Ticker: SPRF07)
- Cboe S&P 500 15% Buffer Protect Index October Series (Ticker: SPRF10)