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Selling VIX® Futures and Options for Portfolio Return Enhancement
https://cdn.cboe.com/.../Szado_Selling_VIX_Fut_&_Opt_for_Enhancement...Jun 15, 2020 ... consistent with a number of studies on option ... endowment portfolio based on the Sharpe ratio (dropping from 0.33 to 0.16 for both written call ...
Inside Volatility Trading: A Day, A Week, A Year, A Decade
https://www.cboe.com/.../inside-volatility-trading-a-day-a-week-a-year-a-de...Aug 24, 2021 ... You're up $1000 on the $40 stock. Let's shift our attention to ... Imagine we place a ratio call spread with a short put in VIX options.
Cboe S&P 500® 30-Delta BuyWrite Index (BXMD )
https://cdn.cboe.com/resources/.../CboeGlobalIndices_BXMD-Index.pdfSPX call option, with a delta close to 0.30. More details are in the BXMD ... Russell, Russell 1000®, Russell 2000®, Russell 3000® and Russell MidCap ...
Cboe S&P 500 15% WHT Buffer Protect Indices
https://cdn.cboe.com/.../Cboe_SP_500_15_WHT_Buffer_Protect_Indices_...Dec 11, 2024 ... short call expiring annually on the last business day of December. The strike prices of the put spread are. 100% and 85% of the closing SPX ...
Cboe Exchange, Inc. Fees Schedule - February 13, 2025
https://cdn.cboe.com/resources/membership/Cboe_FeeSchedule.pdfFeb 13, 2025 ... percentage thresholds even if they exceed the 1,000 contract ... put and a long call position that shares the same strike and expiration.
CBOE S&P 500 95-110 Collar Index (CLL)
https://cdn.cboe.com/resources/indices/.../newcollardescriptionoct1909.pdfand ask prices of the put and call options reported before 4:00 p.m. ET at date t. ... Sharpe Ratio. 0.09. 0.14. 0.10. Semi-Sharpe Ratio. 0.15. 0.13. 0.13. In ...
DIY and Analysis: 100% Downside Protection with Upside ...
https://www.cboe.com/.../diy-and-analysis-100-downside-protection-with-u...Aug 15, 2023 ... A long position in a percentage of two year at-the-money call options in SPX ... $1,000 back. $91.76 / 908.24 = 10.1%. The hypothetical ...
Rules of Cboe Exchange, Inc.
https://cdn.cboe.com/.../C1_Exchange_Rule_Book-Effective-October-7-20...Oct 7, 2019 ... ... option, class or series of options, the number of contracts, or whether options are to be bought or sold. DPM Designee. The term “DPM ...
Options-Based Downside Protection
https://cdn.cboe.com/.../Allspring_options-based-downside-protection.pdfDec 2, 2021 ... + We believe our approach to implementing a put spread collar benefits from an informed understanding of option market dynamics. Background.
Cboe S&P 500 Left Tail Volatility Index
https://cdn.cboe.com/.../Cboe_SnP_500_Left_Tail_Volatility_Index_Metho...Mar 14, 2024 ... The Index calculation requires the selection of a basket of deep-OTM SPX put option expirations between 6 and. 31 business days that satisfy ...
