Cboe S&P 500 Buffer Protect Index Series

Introduction

The Cboe S&P 500 Buffer Protect Index Series (the "Indices") is 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 "buffer protect" against the first 10% 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 13 series.

There are 12 monthly series that roll on the third Wednesday of each month:

  • Cboe S&P 500 Buffer Protect Index January Series (Ticker: SPRO01)
  • Cboe S&P 500 Buffer Protect Index February Series (Ticker: SPRO02)
  • Cboe S&P 500 Buffer Protect Index March Series (Ticker: SPRO03)
  • Cboe S&P 500 Buffer Protect Index April Series (Ticker: SPRO04)
  • Cboe S&P 500 Buffer Protect Index May Series (Ticker: SPRO05)
  • Cboe S&P 500 Buffer Protect Index June Series (Ticker: SPRO06)
  • Cboe S&P 500 Buffer Protect Index July Series (Ticker: SPRO07)
  • Cboe S&P 500 Buffer Protect Index August Series (Ticker: SPRO08)
  • Cboe S&P 500 Buffer Protect Index September Series (Ticker: SPRO09)
  • Cboe S&P 500 Buffer Protect Index October Series (Ticker: SPRO10)
  • Cboe S&P 500 Buffer Protect Index November Series (Ticker: SPRO11)
  • Cboe S&P 500 Buffer Protect Index December Series (Ticker: SPRO12)

Monthly Indexes

In addition, there is one balanced index that is a composite of the 12 monthly series, where each monthly series is allocated an equal weight at each monthly roll date:

  • Cboe S&P 500 Buffer Protect Index Balanced Series (Ticker: SPRO)
Balanced Index

Target Outcome Returns

The Indices are part of the outcome based approach to investing. Most investments today 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. Outcome based investing encourages 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 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. 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.

Following is a visual example of the outcome that the Buffer Protect strategy targets:

Target Outcome Indexes

Delayed Quotes
TickerIndex
SPRO Cboe S&P 500 Buffer Protect Index Balanced Series
SPRO01 Cboe S&P 500 Buffer Protect Index January Series
SPRO02 Cboe S&P 500 Buffer Protect Index February Series
SPRO03 Cboe S&P 500 Buffer Protect Index March Series
SPRO04 Cboe S&P 500 Buffer Protect Index April Series
SPRO05 Cboe S&P 500 Buffer Protect Index May Series
SPRO06 Cboe S&P 500 Buffer Protect Index June Series
SPRO07 Cboe S&P 500 Buffer Protect Index July Series
SPRO08 Cboe S&P 500 Buffer Protect Index August Series
SPRO09 Cboe S&P 500 Buffer Protect Index September Series
SPRO10 Cboe S&P 500 Buffer Protect Index October Series
SPRO11 Cboe S&P 500 Buffer Protect Index November Series
SPRO12 Cboe S&P 500 Buffer Protect Index December Series
Sym Last
SPRO 2046.81
SPRO01 2230.97
SPRO02 1992.47
SPRO03 2086.19
SPRO04 2253.60
SPRO05 2309.18
SPRO06 2255.56
SPRO07 2085.02
SPRO08 2228.96
SPRO09 2107.80
SPRO10 2180.87
SPRO11 1901.65
SPRO12 1981.81

Updated Price Chart

SPRO:

Capped Levels

Following are the last capped levels for the 12 monthly indexes: