Cboe’s VPD, VPN and BXN Indices Rose More Than 19% in the First Half of 2023

Matt Moran
July 6, 2023

This Index Insights Monthly Scorecard provides a monthly update on the performance of dozens of indices that invest in options or futures.


  • Cboe indices that outgained the S&P 500® Index in the first half of 2023 include the VPDSM, VDNSM and BXNSM Indices.
  • Nine Cboe indices had record high monthly closing values in June 2023.
  • The average daily closing value of the VIX1DSM Index was 12.4 in June (lower than its long-term average).

First Half of 2023

In the first half of 2023 the S&P 500 (total return) Index rose 16.9%, however some of Cboe’s indices that track the values of hypothetical options-based or futures-based portfolios had greater gains during that period.

  • The Cboe VIX Premium Strategy Index (VPDSM) rose 27.4%. The index tracks the value of a portfolio that overlays the next monthly VIX futures on a Treasury bill account. The VIX futures are held until expiration, then new VIX futures are sold. The VPD Index is motivated by the negative volatility premium usually observed for VIX futures: the price of VIX futures usually has been greater than the value of VIX Index at the futures expiration date.
  • The Cboe Capped VIX Premium Strategy Index (VPNSM) rose 25.3%. The VPN Index is based on selling implied volatility proxied by the VIX Index. The VPN sells monthly VIX futures over a Treasury bill account. In addition, it limits the risk of the short VIX exposure with long VIX calls struck 25 points higher than the VIX futures price, or at the closest strike above when this strike is not listed. Since the multiplier of VIX options is 100, each VIX futures is covered by 10 VIX calls.
  • The Cboe Nasdaq-100 BuyWrite Index (BXNSM) rose 19.3%. The BXN Index measures the total rate of return of a Nasdaq-100 covered call strategy. This strategy consists of holding a portfolio indexed to the Nasdaq-100 and selling a succession of one-month at-the-money NASDAQ-100 (NDX) call options.

Keeping Score

The table below shows the month-end scoreboard for 30 indices.

Month-End Scorecard for 30 Indices (As of June 30, 2023)

Source: Cboe Global Markets

All of the indices above (except the four volatility indices) are total return (pre-tax) indices. Past performance is not predictive of future returns.

Cboe’s VPD, VPN, BXN and SPEN indices have out-gained the S&P 500 Index in the first half of 2023.

Select Indices in First Half of 2023

Source: Cboe Global Markets

Source: Cboe Global Markets

Portfolio Protection Over 37 Years with the PPUT Index

The Cboe S&P 500 5% Put Protection Index (PPUTSM) tracks the value of a hypothetical portfolio of securities (PPUT portfolio) designed to protect an investor from negative S&P 500 Index returns. The PPUT portfolio is composed of S&P 500® stocks and a long position in a one-month 5% out-of-the-money put option on the S&P 500 (SPX put). The PPUT portfolio is rebalanced monthly, typically on the third Friday of the month, when the SPX put expires ,then a new SPX put is bought.

The charts below illustrate that the PPUT Index had a less severe maximum drawdown (down 38.91%) than the S&P 500 Index (down 50.95%), as the purchases of the SPX puts helped mitigate the impact of bear markets on the PPUT Index. 

Drawdowns Over 37 Years (July 1986 – June 2023)

Source: Zephyr and Cboe Global Markets

Month-end data for total return (pre-tax) indices are used. Past performance is not predictive of future returns.

How the VIX1D Index and VIX Index Help Gauge Investor Sentiment

In June 2023 the average daily closing values of the VIX1D Index and the VIX Index were lower than the longer-term averages, with the VIX1D Index at 12.4 and VIX Index at 14.

VIX1D and VIX Indices (May 13, 2023 - June 30, 2023)

Source: Cboe Global Markets

The average daily closing values were 21.1 for VIX1D Index and 22.5 for VIX Index.

Learn more about Cboe Global Indices and related options and futures strategies:

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