The Cboe VIX Strangle Index is designed as a hypothetical premium capture index. The index overlays short VIX Calls and Puts with a capped long VIX Call position. The position is collateralized by fixing the number of strangles such that 80% of capital is reserved.
The strikes of the short VIX Call and Put are the closet strike to the 5th and 95th percentile values of the estimated distribution of VIX values one month forward. The distribution is based on the historical relationship between spot VIX and actual forward distribution of VIX. The strike of the long VIX call is the strike closest to the 99th percentile of the distribution.
The VSTG Index rolls on a monthly basis at the expiration of VIX options.