Cboe S&P 500 Zero-Cost Put Spread Collar Index (CLLZ)
The Cboe S&P 500 Zero-Cost Put Spread Collar IndexSM (CLLZ) is a variation of the Cboe S&P 500 Collar Index (CLL) that hedges negative S&P 500® stock returns more selectively than the CLL at zero upfront-cost. First, the long 5% SPX put in the CLL is replaced by a less protective 2.5% - 5% put spread with a lower premium, Second an SPX call is sold with a strike such that the call premium offsets the cost of the put spread.
The CLLZ portfolio is rebalanced monthly after the expiration of SPX options, typically 11 am ET every third Friday. New SPX options are then bought and sold.