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.

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