Cboe Russell 2000 Zero-Cost Put Spread Collar Index (CLLR)

The Cboe Russell 2000 Zero-Cost Put Spread Collar Index^SM (CLLR) applies the CLLZ option scheme to the Russell 2000^® Index put protection at zero upfront cost.  The CLLR  tracks the value of a hypothetical portfolio of securities (CLLR portfolio) composed of a 2.5%-5% put spread of options on the Russell 2000 (RUT options), and offsets the already low cost of the put position with a long RUT call at a strike such that the call premium offsets the cost of the put spread.

The CLLR Index  portfolio is rebalanced monthly after  the expiration of RUT options, call and put, typically 11 am ET every  third Friday. New RUT options are then bought and sold.

Resources

• Cboe Zero-Cost Put Spread Collar Indices Methodology
• CLLR Historical Price Data

Put Spread Collar Strategy

Goal

A goal of index put spread collar strategy often is the mitigation of some downside risk with a willingness to forgo some upside in bull markets.

Strategy

To implement an index put spread collar strategy, an investor usually (1) holds a portfolio of stocks, (2) buys out-of-the-money index protective puts options to hedge the portfolio, (3) sells out-of-the-money index covered calls with the same expiration as the index puts, and (4) sells index put options (at a strike below that of the long puts) to generate added premium income to help cover the hedging costs.

Comment

The additional premium received from the put sale may allow the raising of the strike price for the call and to therefore raise the upside cap.