Difference between revisions of "CBOE VIX Premium Strategy Index"

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{{#vardefine:rNum|{{#rand:1|3}}}}{{#switch: {{#var:rNum}} | 1 =  {{Cboe_adbox_Corporate_Bond_Futures|R}} | 2  = {{CBOE_adbox|R}} | 3= {{Cboe XSP}}}}
 
The Chicago Board Options Exchange introduced the CBOE VIX Premium Strategy Index (VPD) in November 2007. It has these features:
 
The Chicago Board Options Exchange introduced the CBOE VIX Premium Strategy Index (VPD) in November 2007. It has these features:
 
*Tracks the performance of a strategy that systematically sells 1-month [[VIX]] futures.
 
*Tracks the performance of a strategy that systematically sells 1-month [[VIX]] futures.

Latest revision as of 16:14, 18 October 2019

The Chicago Board Options Exchange introduced the CBOE VIX Premium Strategy Index (VPD) in November 2007. It 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.

The VPD represents the value of an initial investment of $100 in a portfolio that passively follows the VIX Premium Index Strategy.[1]

References

  1. CBOE VIX Premium Strategy Index. CBOE.