Introduction

The Cboe Russell 2000 Buffer Protect Index Series (the "Indices") is part of a family of Target Outcome Indices. The Indices are designed to provide target outcome returns 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 "buffer protect" against the first 10% of losses due to a decline in the Russell 2000 Index while providing participation up to a capped level. 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 Buffer Protect Index January Series (Ticker: RPRO01)
• Cboe Russell 2000 Buffer Protect Index February Series (Ticker: RPRO02)
• Cboe Russell 2000 Buffer Protect Index March Series (Ticker: RPRO03)
• Cboe Russell 2000 Buffer Protect Index April Series (Ticker: RPRO04)
• Cboe Russell 2000 Buffer Protect Index May Series (Ticker: RPRO05)
• Cboe Russell 2000 Buffer Protect Index June Series (Ticker: RPRO06)
• Cboe Russell 2000 Buffer Protect Index July Series (Ticker: RPRO07)
• Cboe Russell 2000 Buffer Protect Index August Series (Ticker: RPRO08)
• Cboe Russell 2000 Buffer Protect Index September Series (Ticker: RPRO09)
• Cboe Russell 2000 Buffer Protect Index October Series (Ticker: RPRO10)
• Cboe Russell 2000 Buffer Protect Index November Series (Ticker: RPRO11)
• Cboe Russell 2000 Buffer Protect Index December Series (Ticker: RPRO12)

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 Buffer Protect Index Balanced Series (Ticker: RPRO)

Target Outcome Returns

The Indices are part of the outcome based approach to investing. Most investments today 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.

Buffer Protection Option Strategy

A Buffer Protection Option Strategy is a protection strategy that is generally used in a bear, range-bound or modest bull market environment. It seeks to provide a buffer of protection against downside losses over a set period of time, while still providing the opportunity for growth to a maximum pre-determined level. The strategy seeks to provide similar returns to the Russell 2000 Index, with lower volatility and downside risks, in most market environments with the exception of when the stock market is rallying.   

Target Outcome Indexes

Index Methodology

• Cboe Buffer Protect 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).