Cboe® VXTH Index Had 5-Year Gain of 98.6% and Did Well in a 60-40 Allocation

Matt Moran
November 6, 2023

This Index Insights Monthly Scorecard provides an update on the performance of dozens of indices that track the levels of volatility or the performance of hypothetical strategies that invest in options or futures.


  • Cboe strategy indices with 5-year gains (through October) of more than 50% include VPDSM, VXTHSM, SPENSM, and PUTDSM
  • An allocation of 60% S&P 500 and 40% VXTH had the highest returns and highest Sortino Ratio in a new analysis
  • Cboe’s volatility indices rose during disruptive events such as the Sept. 2001 attacks, the March 2020 Pandemic, and the October 2023 conflict in Israel

Monthly Scorecard 

Some of the highest five-year gains for Cboe strategy indices in the table below include:

VPNSM - Cboe Capped VIX Premium Strategy Index up 109.8%

VXTHSM – Cboe VIX Tail Hedge Index up 98.6%

CALDSM - Cboe Validus S&P 500 Dynamic Call BuyWrite Index up 58.9%

SPENSM - Cboe S&P 500 Enhanced Growth Index Balanced Series up 58.7%

PUTDSM - Cboe Validus S&P 500 Dynamic PutWrite Index up 50.9%. (Here is a link to the registration page for a webinar on November 9 on Portfolio Enhancement with New Dynamic PutWrite Index – PUTD.)

Options for 60-40 Allocations with Cboe’s VXTH, CALD, and PUT Indices

It's no secret that the right allocation strategy is an important part of building a successful portfolio, but determining which strategy to use can be challenging. However, new analysis may help.

The charts below show the annualized returns and downside deviations for 14 allocations, including five 60-40 allocations (marked by diamonds) that have allocations of 40% to the Cboe VIX Tail Hedge Index (VXTHSM), Cboe Validus S&P 500 Dynamic Call BuyWrite Index (CALDSM), Cboe S&P 500 PutWrite Index (PUTSM), the Aggregate Bond Index (US) (Bloomberg) and the US 20+ Year Treasury Bond Index (Bloomberg). All three of the allocations with 40% to a Cboe index (green diamonds) had lower downside deviations than all the stock indices and higher returns than all the fixed-income allocations.  

The 60-40 allocation with 60% allocated to the S&P 500 Index and 40% to the Cboe VXTH Index was particularly noteworthy, in that it had both:

  • The highest annualized returns at 9.5%, which is higher than the 100% allocation to VXTH Index), and
  • The highest annualized returns as measured by the Sortino Ratio at 0.91.

The VXTH Index tracks a hypothetical strategy that buys VIX callswhich has sometimes helped mitigate the negative impact of volatility on stock index returns. For example, in the first quarter of 2020 a when the COVID-19 pandemic was identified, the S&P 500 Total Return Index fell 19.6% and the Cboe VXTH Index rose 54.9%

For another perspective on allocation strategies, read Times are Changing. So Must Portfolios, from our guest author series.

How Have Disruptive Events Impacted the VIX® Index?

Many factors can impact volatility. Key worldwide events that impacted market volatility last month included the October 7t attack by Hamas in Israel, and the subsequent response by Israeli armed forces. Last month, the Cboe Crude Oil Volatility Index (OVXSM) rose 30.2% and the Cboe Volatility Index® (VIX Index®) rose 3.5%

The table below shows the daily moves of the VIX Index during eight past disruptive events, including attacks, an earthquake and the declaration of a pandemic. Some of the biggest one-day moves for the VIX Index were on September 17, 2001, when it rose 31.2% as U.S. stock markets reopened after the destruction of New York’s World Trade Center, and on March 11 and March 16, 2020, when the VIX Index had daily jumps of 40% or more during the beginning of the COVID-19 pandemic.

MSCI’s 2022 article, How Modern Wars Affected Market Performance and Volatility, examined how wars from 1990 to 2022 impacted the VIX Index and an MSCI stock index, and noted:

“… most of these wars had only a short-lived impact on equity markets and volatility. … A key reason for this relatively mild impact was the largely contained scale of the wars in recent decades (in terms of the regions and length of these conflicts), as well as limited economic linkage of the targeted economy to the rest of world. … Of course, whether history will repeat itself remains to be seen.”

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

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