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SMILE
 Cboe SMILE Index
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2045.55

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2045.55

Cboe SMILE Index
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  • Performance
     

Cboe SMILE Index


The Cboe SMILE Index tracks the value of a portfolio of securities (SMILE portfolio) that uses the information inherent in the skew of options on S&P 500 options (SPX options to capture a volatility premium.  The SMILE portfolio is composed of an investment in one-month Treasury bills  of a short position in a 30-delta put option on the S&P 500 Index (SPX put), and a position in a 30-delta SPX call. The position in the call is long or short depending on whether the ratio of the premia of the 30-delta put and 30 delta call is smaller than or greater than 1.5.  This ratio is a measure of the skew of S&P 500 options.  The SMILE Index thus alternates between a short 30-delta SPX strangle and a 30-delta SPX risk reversal spread, conditional on skew.  

The SMILE portfolio is rebalanced monthly, typically on the third Friday of the month, when SPX options expire. 


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