Introduced in November 2007, the Cboe Capped VIX Premium Strategy Index (VPN) has these features:
- Tracks the performance of a strategy that systematically sells 1-month VIX futures, capped by the purchase of a VIX call option.
- Index will be calculated once per day after the close.
- The short VIX futures position is capped with long VIX calls struck 25 points higher than the VIX futures price, or calls at the closest strike below if this strike is not listed.
Description of VIX Premium Index - VPD and VPN (Adobe Acrobat format)
VPN Price History (.csv format)
VPD Price History (.csv format)
If you wish to create customized, up-to-date VPN or VPD charts, please visit the Advanced Charts page