First-Quarter Gains of More Than 8% for Cboe’s PPUT, BXMD, VXTH & BXMH Indices

Matt Moran
April 2, 2024

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


  • Cboe’s PPUT, BXMD, VXTH & BXMH Indices all gained more than 8% in the first quarter of 2024
  • Cboe indices show diversification potential wih lower betas
  • Two new volatility indices: Cboe S&P 500 Left Tail Volatility Index (LTV) and Cboe S&P 500 Spot Volatility Index (SPOTVOL)

In Q1 2024:

Volatility. The average daily closing values were:

The VIX Index’s average daily closing value of 13.7 was lower than its long-term average since 1990. Note that the U.S. stock market had relatively smooth recent returns in the first quarter, as the average daily closing value for the SPX 30-day historical volatility was 11.1.

Options-Based Strategy Indices

Five of Cboe’s options-based strategy indices had gains of 8% to 9.8%. The performance of the option-buying indices (PPUTSM and VXTHSM) may have been boosted by the fact that the average daily closing values for both the Cboe VIX Index (13.7) and the Cboe VIX of VIX Index (VVIXSM) (82.5) were lower than average and the costs to hedge (related to the price of options premiums) may have been lower than average.

  • 9.8%   PPUTSM - Cboe S&P 500 5% Put Protection Index
  • 8.9%   BXMDSM - Cboe S&P 500 30-Delta BuyWrite Index
  • 8.4%   VXTHSM - Cboe VIX Tail Hedge Index
  • 8.3%   BXMHSM - Cboe S&P 500 Half BuyWrite Index
  • 8.0%   CALDSM - Cboe Validus S&P 500 Dynamic Call BuyWrite Index

The 10-Year U.S. Treasury Yield rose from 3.86% to 4.2%. 

At the Federal Reserve meeting last month, the central bank looked to the possibility of three future interest rate cuts this year and upgraded its economic outlook.

Stock Indices. Gains for total return stock indices were 10.6% for the S&P 500 Index and 5.2% for the Russell 2000 Index.

Magnificent Seven Stocks. Regarding the so-called “Magnificent Seven” stocks, five of the seven stocks (Nvidia, Microsoft, Meta, Amazon, and Alphabet) rose, while Apple and Tesla experienced significant losses. 

Scoreboard for 27 Indices

Indices with large five-year gains in the table below include: VXTHSM - Cboe VIX Tail Hedge Index (up 137.3%), VPNSM - Cboe Capped VIX Premium Strategy Index (up 113.0%), CALDSM - Cboe Validus S&P 500 Dynamic Call BuyWrite Index (up 82.8%), and PPUTSM - Cboe S&P 500 5% Put Protection Index (up 79.2%). 

Source: Cboe Global Indices

Diversification Potential and Lower Betas for Key Cboe Indices

The Betas chart shows five Cboe indices that track strategies that write at-the money (ATM) options (PXEF, PXEA, BXM, BXR, and BXN) had the lowest betas in the chart, ranging from 0.56 to 0.81. Strategies that write ATM options may collect more options premiums than strategies that write out-of-the-money options. Strategies with low betas to the S&P 500 Index may have the potential to help diversify portfolios of U.S. stocks.

Source: Zephyr and Cboe Global Markets

New Volatility Indices

 Cboe recently introduced two new volatility indices:

  • The Cboe S&P 500 Left Tail Volatility Index (LTVSM) aims to provide market participants with access to a robust tail risk measure estimating the expected (risk-neutral) return volatility stemming from large negative price moves over short horizons. Specifically, the Index measures the expected volatility due to a ten-standard deviation, or larger, down move in the S&P 500 Index over one week.
  • The Cboe S&P 500 Spot Volatility Index (SPOTVOLSM) aims to provide a jump-robust, unbiased estimator of S&P 500 spot volatility.  SPOTVOL “spans” the risk-neutral conditional characteristic function of the price increment via a portfolio of short-dated out-of-the-money (OTM) S&P 500 (SPX) options and evaluates it at a high value of the characteristic exponent to minimize the impact of jumps.

Source: Cboe Global Markets

More Information

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