Cboe S&P 500 Enhanced Growth Index Series

Introduction

The Cboe S&P 500 Enhanced Growth Index Series (the "Indices") is part of a family of Target Outcome Indices. The Indices are designed to provide target outcome returns linked 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 enhanced returns on the appreciation of the S&P 500 Index up to a capped level while providing one-to-one exposure to any losses due to a decline in the 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 13 series.

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

  • Cboe S&P 500 Enhanced Growth Index January Series (Ticker: SPEN01)
  • Cboe S&P 500 Enhanced Growth Index February Series (Ticker: SPEN02)
  • Cboe S&P 500 Enhanced Growth Index March Series (Ticker: SPEN03)
  • Cboe S&P 500 Enhanced Growth Index April Series (Ticker: SPEN04)
  • Cboe S&P 500 Enhanced Growth Index May Series (Ticker: SPEN05)
  • Cboe S&P 500 Enhanced Growth Index June Series (Ticker: SPEN06)
  • Cboe S&P 500 Enhanced Growth Index July Series (Ticker: SPEN07)
  • Cboe S&P 500 Enhanced Growth Index August Series (Ticker: SPEN08)
  • Cboe S&P 500 Enhanced Growth Index September Series (Ticker: SPEN09)
  • Cboe S&P 500 Enhanced Growth Index October Series (Ticker: SPEN10)
  • Cboe S&P 500 Enhanced Growth Index November Series (Ticker: SPEN11)
  • Cboe S&P 500 Enhanced Growth Index December Series (Ticker: SPEN12)

Monthly Indexes SPEN

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 Enhanced Growth Balanced Series (SPEN)
Balanced Index SPEN

Target Outcome Returns

The Indices are part of the outcome based approach to investing. 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. 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.

Enhanced Growth Option Strategy

An Enhanced Growth Option Strategy is a enhanced strategy that is generally used in a range-bound or modest bull market environment. It seeks to provide 2 times enhanced 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 similar volatility and downside risk, but higher upside potential in market environments with modest gains.

Following is a visual example of the outcome that the Enhanced Growth strategy targets:

Target Outcome Indexes

Delayed Quotes
TickerIndex
SPEN Cboe S&P 500 Enhanced Growth Index Balanced Series
SPEN01 Cboe S&P 500 Enhanced Growth Index January Series
SPEN02 Cboe S&P 500 Enhanced Growth Index February Series
SPEN03 Cboe S&P 500 Enhanced Growth Index March Series
SPEN04 Cboe S&P 500 Enhanced Growth Index April Series
SPEN05 Cboe S&P 500 Enhanced Growth Index May Series
SPEN06 Cboe S&P 500 Enhanced Growth Index June Series
SPEN07 Cboe S&P 500 Enhanced Growth Index July Series
SPEN08 Cboe S&P 500 Enhanced Growth Index August Series
SPEN09 Cboe S&P 500 Enhanced Growth Index September Series
SPEN10 Cboe S&P 500 Enhanced Growth Index October Series
SPEN11 Cboe S&P 500 Enhanced Growth Index November Series
SPEN12 Cboe S&P 500 Enhanced Growth Index December Series
Sym Last
SPEN 3262.09
SPEN01 3412.98
SPEN02 2830.93
SPEN03 3572.43
SPEN04 3825.44
SPEN05 3381.44
SPEN06 3388.00
SPEN07 3105.53
SPEN08 3855.25
SPEN09 3097.90
SPEN10 4211.40
SPEN11 3277.05
SPEN12 3849.38

Updated Price Chart

SPEN:

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).

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