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RXM
 Cboe S&P 500 Risk Reversal Index
Last Sale

1026.52

Change

+1.21 (+0.12%)

Open

1022.75

High

1026.58

Low

1022.44

Prev Close

1025.31

Cboe S&P 500 Risk Reversal Index
  • 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.