portfolio Protection
Strategy Indices
Cboe Global Indices strategy indices are used by investors to explore various strategies - like portfolio protection.
Performance Tracking
Indices designed for portfolio protection track the hypothetical performance of buying options compared to traditional investments.
Strategy Benefits
These option-buying strategies in some cases have experienced less volatility, lower Betas, and less severe drawdowns than related stock indices.
Index Performance in Challenging Quarters
As shown in the table below, in the six quarters in which the S&P 500 fell by more than 13.8%, most of the Cboe indices did not have losses as severe as those of the S&P 500 Index. Because many of the Cboe indices track strategies that purchase index options on a certain day of the month, there is some path dependency and variability in their performance over various time periods.
Six Quarters in Which the S&P 500 Index Fell by More Than 13.8% (from 1987 through 2023)
3Q2001 | 3Q2002 | 4Q2008 | 3Q2011 | 1Q2020 | 2Q2022 | |
---|---|---|---|---|---|---|
VXTH℠ - Cboe VIX Tail Hedge Index | n/a | n/a | 0.2% | -6.8% | 54.9% | -18.2% |
PPUT℠ - Cboe S&P 500 5% Put Protection Index | -4.1% | -9.1% | 0.2% | -8.0% | 0.0% | -13.1% |
CLL℠ - Cboe S&P 500 95-110 Collar Index | -0.7% | -8.1% | -5.9% | -11.6% | -5.0% | -6.7% |
S&P 500® Index | -14.7% | -17.3% | -21.9% | -13.9% | -19.6% | -16.1% |
Total return (pre-tax) Indices. Source: Cboe Global Indices |

In Depth: Thought Leadership on Portfolio Protection Strategies
Whitepapers
Key Tools for Hedging and Tail Risk Management
Asset Consulting Group
Download WhitepaperCboe Buffer Protect Indices for Risk Reduction and Smoother Returns
Bondarenko, Oleg and Muravyev, DmitriyThe Portfolio Diversification Potential of Long VIX® Futures and Options Strategies
Szado, EdwardVIX Futures and Options - A Case Study of Portfolio Diversification During the 2008 Financial Crisis
University of Massachusetts - AmherstCboe Buffer Protect Indices FAQ
Cboe Global MarketsVideos and Webinars
- Upcoming Webinars
- Replays On-Demand
Option-Buying Strategy Indices
- Protective Put Indices
- VIX Call-Buying Index
- Buffer Protect Series
- Collar Indices
- Put Spread Collar Indices
Strategy Diagrams and Descriptions
- Protective Put
- Collar
- Put-Spread Collar
Protective Put Strategy
Goal
A goal for the purchase of cash-settled stock index protective put options often is to hedge a price drop in the stock index.
Strategy
A stock index protective put position can be created by (1) owning or buying a portfolio of stocks, and (2) buying corresponding stock index put options to hedge some of the downside risk of the stock portfolio.

Comments
The stock index protective put is designed to limit downside risk and establish a floor price, with the upside being potentially unlimited, after factoring in the premium and commission costs. To mitigate the net upfront costs for options premiums, the features of the protective put could be compared with the collar strategy.
There are important risks associated with transacting in any of the Cboe Company
products or any digital assets discussed here. Before engaging in any transactions
in those products or digital assets, it is important for market participants to carefully
review the disclosures and disclaimers contained
here.
These products and digital assets are complex and are suitable only for sophisticated
market participants.
These products involve the risk of loss, which can be substantial and, depending on the
type of product, can exceed the amount of money deposited in establishing the position.
Market participants should put at risk only funds that they can afford to lose without
affecting their lifestyle.