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The CBOE VIX Premium Strategy Index

CBOE I 2007

How many remember when the CBOE introduced the VIX Premium Strategy Index (VPD) and the Capped VIX Premium Strategy Index (VPN) back in 2007? It been almost 10 years now and despite very little attention the CBOE still publishes the indexes daily.

Back in 2007, few saw much value in the products, and, even today, I don't know of any retail or institutional products that reference them. But this is a pity as both seem quiet interesting.

The VPD tracks the performance of a portfolio that overlays the systematic sale of 1-month VIX futures on a money market account. The futures are held to expiration before next VIX futures are sold. The VPN does something very similar, but floors losses by capping the short futures position with long VIX call options struck 25 points above the VIX futures price.

For anyone interested in knowing more, here is a link to the original CBOE document describing them.



Investing involves risk, including the possible loss of principal. Carefully consider the Strategy's investment objectives, risk factors, charges and expenses before investing. This Strategy is actively managed and there is no guarantee investments selected and strategies employed will achieve the intended results. Strategy is subject to change. Hypothetical and Backtested returns are NOT actual results based on actual trading of real client funds. Active management may also increase transaction costs. The Strategy is not diversified, and narrowly focused investments may be subject to higher risk. Past performance does not guarantee future results.

This information has been provided by Invest In Vol. All material presented is compiled from sources believed to be reliable and current, but accuracy cannot be guaranteed. This is not to be construed as an offer to buy or sell any financial instruments and should not be relied upon as the sole factor in an investment-making decision. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. The views and opinions expressed are those of the portfolio manager at the time of publication and are subject to change. There is no guarantee that these views will come to pass. As with all investments there are associated inherent risks. Please obtain and review all financial material carefully before investing. Investments are subject to change without notice.

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