Cboe Russell 2000 Zero-Cost Put Spread Collar Index (CLLR)
The Cboe Russell 2000 Zero-Cost Put Spread Collar IndexSM (CLLR) applies the CLLZ option scheme to the Russell 2000® Index put protection at zero upfront cost. The CLLR tracks the value of a hypothetical portfolio of securities (CLLR portfolio) composed of a a 2.5%-5% put spread of options on the Russell 2000 (RUT options), and offsets the already low cost of the put postiion with a long RUT call at a strike such that the call premium offsets the cost of the put spread.
The CLLR Index portfolio is rebalanced monthly after the expiration of RUT options, call and put, typically 11 am ET every third Friday. New RUT options are then bought and sold.