Introduced in November 2007, the CBOE VIX Premium Strategy Index (VPD) has these features:
- Tracks the performance of a strategy that systematically sells 1-month VIX futures.
- Index will be calculated once per day after the close.
- This index tracks the value of a portfolio that overlays a sequence of short one-month VIX futures on a money market account. The VIX futures are held until expiration and new VIX futures are then sold. The money market account decreases leverage relative to a stand-alone short position in VIX futures. To further limit risk, the number of VIX futures sold at each roll is set to preserve 75% of the initial value of the portfolio in the event that VIX futures increase by 25 points.
Description of VIX Premium Index - VPD and VPN (Adobe Acrobat format)
VPD Price History (.csv format)
VPN Price History (.csv format)