Cboe Index Insights May 2023

Matt Moran
May 3, 2023

I’m Matt Moran, and I’ve followed Cboe’s indices for more than two decades. Each month, I’m sharing a look back at market activity across global indices and highlighting where there were opportunities for high yields or risk mitigation. I also love to share historical data and analyze how certain indices have performed over the decades. My hope is that these insights provide good food for thought to help you consider how you might approach similar situations in the future. So, let’s dive in.


  • Five Cboe benchmark indices rose 10% or more in the first four months of 2023. The indices are: BXN℠ Index (up 15.4%), VPD℠ Index (up 15.2%), VPN℠ Index (up 14.2%), SPEN℠ (up 10.8%) and BXTB℠ Index (up 10.4%).
  • 10 of Cboe’s benchmark indices had less severe drawdowns than the S&P 500 Index. Check out the Worst Drawdowns chart below for more details.
  • Between March 8 and March 13, 2023, the VIX® Index rose 38.8%, from 19.11 to 26.52, while the back-tested new VIX1D℠ Index rose 162.7%, from 15.30 to 40.19.

Cboe announced the introduction of the popular and powerful Cboe Volatility Index® (VIX® Index) 30 years ago this April. Over the past three decades, Cboe has continued to be a worldwide pioneer and innovative leader in indices, now calculating hundreds of indices based on volatility, options, and futures strategies. 

Keeping Score

Month-end Scorecard for Index Performance in April

The table below includes the percentage price changes for 30 indices —21 of Cboe’s strategy benchmark indices, four of Cboe’s volatility indices and five stock indices. 

Month-End Scorecard for 30 Indices (As of April 30, 2023)

All of the indices above (except the four volatility indices) are total return (pre-tax) indices. Past performance is not predictive of future returns. Source: Cboe Global Markets

Gains YTD in 2023

Cboe benchmark indices that rose 10% or more in the first four months of 2023 include: BXN Index (up 15.4%), VPD Index (up 15.2%), VPN Index (up 14.2%), SPEN (up 10.8%), and BXTB Index (up 10.4%). These indices sell either options or futures, and all had larger gains than the S&P 500 Index during the 4-month period.

Five-Year Gains

The past five years were full of up and down markets with varying volatility, however, eight of Cboe’s strategy benchmarks rose more than 50% during that period. CALD℠ Index (up 63.1%), SPEN℠ Index (up 57.9%), PPUT℠ Index (up 59.3%), VXTH℠ Index (up 110.6%), VPD℠ Index (up 75.0%), and VPN℠ Index (up 94.2%). These indices buy or sell options or sell VIX Index futures. 

Less Severe Drawdowns for 10 of Cboe’s Strategy Benchmark Indices

Many investors seek to avoid the steep drawdowns that were experienced by key stock indices in 2001, 2008, 2020, and 2022. As shown in the chart below, since mid-1986, the worst peak-to-trough drawdown was 51% for the S&P 500 Index. During that time, the worst peak-to-trough drawdowns for 10 Cboe indices were all less severe. Options strategies such as cash-secured putwrites, risk reversals and iron condors may have the potential to mitigate drawdown risk.

Worst Drawdowns (July 1986 - April 2023)

Calculations made using month-end values of total return (pre-tax) indices. Past performance of indices is not predictive of investors' future returns. Source: Zephyr and Cboe Global Markets

Index Insights

A Look at Three of Cboe’s Volatility Indices

Cboe recently launched the Cboe 1-Day Volatility IndexSM (VIX1DSM), which seeks to measure the expected volatility of the S&P 500® Index over the current trading day. Similar to the Cboe Volatility Index® (VIX® Index), the VIX1D Index estimates expected volatility by aggregating the weighted prices of P.M.-settled SPX® (SPXW℠) options with one- to zero- day expirations over a wide range of strike prices. 

Read more about the VIX1D methodology. 

During the March 2023 collapse of two U.S. banks between March 8 and March 13, 2023, the VIX Index rose 38.8%, from 19.11 to 26.52, while the back tested VIX1D Index rose 162.7%, from 15. 30 to 40.19. On days of heightened volatility, the VIX1D Index is expected to reflect short-term impacts, whereas by its design, the VIX Index is expected to continue to reflect expected volatility 30 days out.

The chart below shows the largest one-day changes for three of Cboe’s volatility indices since May 13, 2022. The VIX1D Index rose the most at 153.2%, followed by the VIX9D Index which rose 35%, and the VIX Index, which rose 22.6%. 

Three of Cboe's Volatility Indices (May 13, 2022 - April 28, 2023)

(Daily Closing Values) Source: Cboe Global Markets

Learn more about Cboe Global Indices and related options and futures strategies:

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