Introduction

The Cboe Russell 2000 Enhanced Growth Index Series (the "Indices") is part of a family of Target Outcome Indices. The Indices are designed to provide target outcome returns linked to the US domestic stock market.

The Indices measure the performance of a portfolio of hypothetical exchange traded Flexible Exchange^® Options ("FLEX^® Options") that are based on the Russell 2000 Index. Each series in the index is designed to track the returns of a hypothetical investment that over a period of approximately one year seeks to provide 2x enhanced returns on the appreciation of the Russell 2000 Index up to a capped level while providing one-to-one exposure to any losses due to a decline in the index. The capped level is determined on each annual roll date such that there is no premium or discount to enter into the hypothetical investment compared to an investment in the Index.

The Index Series comprises 13 series.

There are 12 monthly series that roll on the last business day of each month:

• Cboe Russell 2000 Enhanced Growth Index January Series (Ticker: RPEN01)
• Cboe Russell 2000 Enhanced Growth Index February Series (Ticker: RPEN02)
• Cboe Russell 2000 Enhanced Growth Index March Series (Ticker: RPEN03)
• Cboe Russell 2000 Enhanced Growth Index April Series (Ticker: RPEN04)
• Cboe Russell 2000 Enhanced Growth Index May Series (Ticker: RPEN05)
• Cboe Russell 2000 Enhanced Growth Index June Series (Ticker: RPEN06)
• Cboe Russell 2000 Enhanced Growth Index July Series (Ticker: RPEN07)
• Cboe Russell 2000 Enhanced Growth Index August Series (Ticker: RPEN08)
• Cboe Russell 2000 Enhanced Growth Index September Series (Ticker: RPEN09)
• Cboe Russell 2000 Enhanced Growth Index October Series (Ticker: RPEN10)
• Cboe Russell 2000 Enhanced Growth Index November Series (Ticker: RPEN11)
• Cboe Russell 2000 Enhanced Growth Index December Series (Ticker: RPEN12)

In addition, there is one balanced index that is a composite of the 12 monthly series, where each monthly series is allocated an equal weight at each monthly roll date:

• Cboe Russell 2000 Enhanced Growth Balanced Series (Ticker: RPEN)

Target Outcome Returns

The Indices are part of the outcome based approach to investing. Many investments target speculative returns, with uncertain levels of risk, over an uncertain period of time. While opportunistic, this approach to investing brings a high degree of uncertainty. Outcome based investing encourages targeting a specific defined return or "payoff", with an allowance for a specific defined risk, at a specific point in time in the future.

Enhanced Growth Option Strategy

An Enhanced Growth Option Strategy is a enhanced strategy that is generally used in a range-bound or modest bull market environment. It seeks to provide 2 times enhanced upside up to a predetermined cap and one-to-one exposure on the downside. The strategy seeks to provide similar returns to the Russell 2000 Index, with similar volatility and downside risk, but higher upside potential in market environments with modest gains.

Target Outcome Indexes

Index Methodology

• Cboe Enhanced Growth Indices Methodology

Indexes described on this web page are designed to represent proposed hypothetical options strategies. The actual performance of investment vehicles such as mutual funds or managed accounts can have significant differences from the performance of the Indexes. Investors attempting to replicate the Indexes should discuss with their advisors possible timing and liquidity issues. Like many passive benchmarks, the Indexes do not take into account significant factors such as transaction costs and taxes. Transaction costs and taxes for strategies such as the Indexes could be significantly higher than transaction costs for a passive strategy of buying-and-holding stocks. Investors should consult their tax advisor as to how taxes affect the outcome of contemplated options transactions. Past performance does not guarantee future results. This web page contains index performance data based on back-testing, i.e., calculations of how the index might have performed prior to launch. Backtested performance information is purely hypothetical and is provided in this web page solely for informational purposes. Back-tested performance does not represent actual performance and should not be interpreted as an indication of actual performance. It is not possible to invest directly in an index. Cboe calculates and disseminates the Indexes. Supporting documentation for any claims, comparisons, statistics or other technical data is available from Cboe upon request. The methodologies of the Indexes are the property of Cboe Options Exchange, Incorporated (Cboe).