Cboe® MSCI Emerging Markets Covered Combo Index (CMBOEF^SM)

The Cboe® MSCI Emerging Markets Covered Combo Index (CMBOEF^SM Index) is designed to track the performance of a hypothetical short strangle strategy that consists of a rolling short position in monthly 2% Out-of-the-Money (OTM) MXEF Call option, a rolling short position in monthly At-the-Money (ATM) MXEF Put option, a long position indexed to the MXEF Index to cover the liability from the short MXEF Call option, and a rolling money market account invested in one-month Treasury bills to cover the liability from the short MXEF Put option.

Resources

• CMBOEF Index Methodology
• CMBOEF Historical Price Data