Record Monthly Closing Highs for 10 Cboe Strategy Indices
This Index Insights Monthly Scorecard provides an update on the performance of dozens of indices that track the levels of volatility or the performance of hypothetical strategies that invest in options or futures.
- 10 Cboe strategy indices hit new monthly closing highs in November.
- VPDSM, VXTHSM, SPENSM, and CALDSM had five-year gains of more than 65% through November.
- VIX Index’s low levels may enhance hedging opportunities.
10 Cboe Strategy Indices Hit New Monthly Closing Highs
Cboe strategy indices that reached new monthly closing highs on November 30, 2023, include:
- BXLKHSM - Cboe S&P Technology Select Sector Half BuyWrite Index
- BXLVHSM - Cboe S&P Health Care Select Sector Half BuyWrite Index
- CLLZSM - Cboe S&P 500 Zero-Cost Put Spread Collar Index
- PUTYSM - Cboe S&P 500 2% OTM PutWrite Index
- RXMSM - Cboe S&P 500 Risk Reversal Index
- SPENSM - Cboe S&P 500 Enhanced Growth Index Balanced Series
- SPROSM - Cboe S&P 500 Buffer Protect Index Balanced Series
- VPDSM - Cboe VIX Premium Strategy Index
- VPNSM - Cboe Capped VIX Premium Strategy Index
- VSTGSM - Cboe VIX Strangle Index
Monthly Scorecard for 30 Indices
Some of the highest five-year gains for Cboe strategy indices in the table below include:
- VPNSM - Cboe Capped VIX Premium Strategy up 121.4%
- VXTHSM – Cboe VIX Tail Hedge Index up 114.1%
- SPENSM - Cboe S&P 500 Enhanced Growth Index Balanced Series up 89.4%
- CALDSM - Cboe Validus S&P 500 Dynamic Call BuyWrite Index up 68.1%
- PUTDSM - Cboe Validus S&P 500 Dynamic PutWrite Index up 57.6%
VIX Index Levels and Opportunities for Hedging
On November 28, Bloomberg News reported that Goldman Sachs identified the recent sharp drop in volatility as a hedging opportunity. According to Bloomberg, strategists said put spreads and collars on the S&P 500 Index are attractive, and noted there are a number of risks to the outlook for equities, including geopolitics, next year’s U.S. elections calendar and the potential for shocks on the economic growth front.
On November 24, the daily closing value of the Cboe Volatility Index® (VIX Index®) fell to 12.46, its lowest daily closing value since January 2020, before the Covid-19 pandemic. In regimes with relatively low VIX Index levels, it is possible that the implementation of some equity hedging strategies may be less expensive due to some lower costs for options premiums. Investors who are interested in equity hedging strategies can explore the performance of a number of Cboe strategy indices, including the Cboe S&P 500 Zero-Cost Put Spread Collar Index (CLLZ), Cboe S&P 500 5% Put Protection Index (PPUT), and Cboe VIX Tail Hedge Index (VXTH).
Put Spread Collar Strategy
The goal of the index put collar strategy is often the mitigation of some downside risk with a willingness to forgo some upside in bull markets.
To implement an index put spread collar strategy, an investor usually holds a portfolio of stocks, buys out-of-the-money index protective put options to hedge the portfolio, sells out-of-the-money index covered calls with the same expiration as the index puts and sells index put options (at a strike below that of the long puts) to generate added premium income to help cover the hedging costs.
Source: Cboe Global Markets
Learn more about Cboe Global Indices and related options and futures strategies:
- Cboe Global Indices
- Data and Access Solutions
- Options Insights Webinar Series (with Replays)
- Cboe 2024 Risk Management Conference in Utah (Oct. 15 – 18, 2024)
- Global Option-Writing Strategies to Reduce Risk and Enhance Income (White Paper)
- The VIX Index and Volatility-Based Global Indexes and Trading Instruments - A Guide to Investment and Trading Features (White Paper)
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