Cboe S&P 500 2x Up, 1x Down, 10% Buffer Protect Index Series

Introduction

The Cboe S&P 500 2x Up, 1x Down, 10% 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 measure 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 provide 2x leveraged returns on the appreciation of the S&P 500 Index up to a capped level while providing a "buffer protect" against the first 10% of losses due to a decline in the S&P 500 Index. 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 2x Up, 1x Down, 10% Buffer Protect Index January Series (Ticker: SPEB01)
  • Cboe S&P 500 2x Up, 1x Down, 10% Buffer Protect Index April Series (Ticker: SPEB04)
  • Cboe S&P 500 2x Up, 1x Down, 10% Buffer Protect Index July Series (Ticker: SPEB07)
  • Cboe S&P 500 2x Up, 1x Down, 10% Buffer Protect Index October Series (Ticker: SPEB10)

Target Outcome Returns

The Index is part of the family of Target Outcome Indices. Many investments target speculative returns, with uncertain levels of risk, over an uncertain period of time. While opportunistic, this approach to investing brings a high degree of uncertainty. Target Outcome Indexes encourage targeting a specific defined return or "payoff", with an allowance for a specific defined risk, at a specific point in time in the future.

Buffer Protection / Enhanced Return Option Strategy

The Cboe S&P 500 2x Up, 1x Down, 10% Buffer Protect Index Series follows a Buffer Protection and Enhanced Return option strategy.

A Buffer Protection Option Strategy is a protection strategy that is generally used in a bear, range-bound or modest bull market environment. It seeks to provide a buffer of protection against downside losses over a set period of time, while still providing the opportunity for growth to a maximum pre-determined level.

An Enhanced Growth Option Strategy is a leveraged strategy that is generally used in a range-bound or modest bull market environment. It seeks to provide two times leveraged upside up to a predetermined cap and one-to-one exposure on the downside.

The strategy seeks to provide similar returns to the S&P 500 Index, with lower volatility and downside risks, in most market environments with the exception of when the stock market is rallying rapidly.

Target Outcome Indexes

Delayed Quotes
TickerIndex
SPEB01 Cboe S&P 500 2x Up, 1x Down, 10% Buffer Protect Index January Series
SPEB04 Cboe S&P 500 2x Up, 1x Down, 10% Buffer Protect Index April Series
SPEB07 Cboe S&P 500 2x Up, 1x Down, 10% Buffer Protect Index July Series
SPEB10 Cboe S&P 500 2x Up, 1x Down, 10% Buffer Protect Index October Series
Sym Last Pt. Change
SPEB01 1999.84 16.67
SPEB04 1838.45 4.41
SPEB07 2067.28 8.43
SPEB10 2030.25 13.63

Price and Performance Charts

SPEB01:

Index Constituents

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