Introduction

The Cboe S&P 500 30% (-5% to -35%) Buffer Protect Index Series (the “Indexes”) are part of a family of Target Outcome Indexes. The Indexes are designed to provide target outcome returns to the US domestic stock market.

The Indexes measures the performance of a portfolio of hypothetical exchange traded Flexible Exchange® Options (“FLEX® Options”) that are based on the S&P 500® Index. Each index in the series  is designed to track the returns of a hypothetical investment that over a period of approximately one year and seeks to “buffer protect” against losses of 30% after the first 5% of losses due to a decline in the S&P 500 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 four series.

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

• Cboe S&P 500 30% (-5% to -35%) Buffer Protect Index January Series (Ticker: SPRS01)
• Cboe S&P 500 30% (-5% to -35%) Buffer Protect Index April Series (Ticker: SPRS04)
• Cboe S&P 500 30% (-5% to -35%) Buffer Protect Index July Series (Ticker: SPRS07)
• Cboe S&P 500 30% (-5% to -35%) Buffer Protect Index October Series (Ticker: SPRS10)

Target Outcome Returns

The Index is part of the family of Target Outcome Indexes. 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. Target Outcome Indexes encourage targeting a specifically defined return or "payoff", with an allowance for a specifically 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 S&P 500 Index, with lower volatility and downside risks, in most market environments with the exception of when the stock market is rallying rapidly.

Index Methodology

• New Series of Cboe S&P 500 Target Outcome Indexes White Paper
• Cboe Buffer Protect Indices Methodology

Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of Characteristics and Risks of Standardized Options. Copies are available from your broker or from The Options Clearing Corporation at www.theocc.com . The Cboe S&P 500 30% (-5% to -35%) Buffer Protect Index (the “Index”) is designed to represent a proposed hypothetical yield protection strategy. Like many passive indexes, the Index does not take into account significant factors such as transaction costs and taxes and, because of factors such as these, many or most investors should be expected to underperform passive indexes. In the construction of the Index, the options components of each series is assumed to be purchased and sold at a certain price on the last business day of the month. However, there is no guarantee that all investors will be able to buy or sell at this price, and investors attempting to replicate the Index should discuss with their brokers possible timing and liquidity issues. This paper contains index performance data based on back-testing, i.e., calculations of how the index might have performed prior to launch. Back-tested performance information is purely hypothetical and is provided in this paper solely for informational purposes. Back-tested performance does not represent actual performance and should not be interpreted as an indication of actual performance. No representation is being made that any investment will or is likely to achieve a performance record similar to that shown. It is not possible to invest directly in an index. Cboe Exchange, Inc. calculates and disseminates the Index.

The information in this paper is provided for general education and information purposes only. No statement within this paper should be construed as a recommendation to buy or sell a security or to provide investment advice. Your use of, and access to, this paper is subject to the Terms and Conditions for Use of Cboe Websites located at https://www.cboe.com/terms . The methodology of the Index is the property of Cboe Exchange, Inc. Cboe^®, FLEX^® and Flexible Exchange^® are registered trademarks of Cboe Exchange, Inc. S&P 500^® is a registered trademark of Standard & Poor's Financial Services, LLC and has been licensed for use by Cboe Exchange, Inc. Financial products based on S&P indices are not sponsored, endorsed, sold or promoted by Standard & Poor's, and Standard & Poor's makes no representation regarding the advisability of investing in such products.

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