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RXM
 Cboe S&P 500 Risk Reversal Index
Last Sale

1073.25

Change

26.53 (2.47%)

Open

1066.4

High

1080.76

Low

1066.4

Prev Close

1073.25

Cboe S&P 500 Risk Reversal Index
As of 2020-06-05 16:50:25 (ET)
  • Overview
  • Performance
     

Cboe S&P 500 Risk Reversal Index (RXM)

The Cboe S&P 500 Risk Reversal Index (RXMSM Index) is a benchmark index designed to track the performance of a hypothetical risk reversal strategy that: (1) buys a rolling out-of-the-money (delta ≈ 0.25) monthly SPX Call option; (2) sells a rolling out-of-the-money (delta ≈ - 0.25) monthly SPX Put option; and (3) holds a rolling money market account invested in one-month Treasury bills to cover the liability from the short SPX Put option position.


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The performance quoted represents past performance and does not guarantee future results.