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 2218.57
SPRO01 2343.67
SPRO02 2164.93
SPRO03 2273.87
SPRO04 2474.18
SPRO05 2533.94
SPRO06 2458.85
SPRO07 2264.09
SPRO08 2450.22
SPRO09 2248.55
SPRO10 2369.07
SPRO11 2065.17
SPRO12 2121.35

Updated Price Chart

SPRO:

Capped Levels

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


Indexes described on this web page are designed to represent proposed hypothetical options strategies. The actual performance of investment vehicles such as mutual funds or managed accounts can have significant differences from the performance of the Indexes. Investors attempting to replicate the Indexes should discuss with their advisors possible timing and liquidity issues. Like many passive benchmarks, the Indexes do not take into account significant factors such as transaction costs and taxes. Transaction costs and taxes for strategies such as the Indexes could be significantly higher than transaction costs for a passive strategy of buying-and-holding stocks. Investors should consult their tax advisor as to how taxes affect the outcome of contemplated options transactions. Past performance does not guarantee future results. This web page contains index performance data based on back-testing, i.e., calculations of how the index might have performed prior to launch. Backtested performance information is purely hypothetical and is provided in this web page solely for informational purposes. Back-tested performance does not represent actual performance and should not be interpreted as an indication of actual performance. It is not possible to invest directly in an index. Cboe calculates and disseminates the Indexes. Supporting documentation for any claims, comparisons, statistics or other technical data is available from Cboe upon request. The methodologies of the Indexes are the property of Cboe Options Exchange, Incorporated (Cboe).

Special Offers
*Third Party Advertisements

Advertisement Advertisement