Five-Year Gains of More than 60% for CALD, PPUT and VXTH Indices

Matt Moran
August 4, 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 indices with 5-year gains of more than 60% include CALDSM, PPUTSM, VPNSM and VXTHSM 
  • Record monthly closing highs for 15 Cboe strategy indices, including PUTSM, RXMSM and VPNSM
  • Lower than average levels for VIX® Index and VVIXSM Index in July
  • Cboe is now the exclusive distributor of Morningstar Indexes’ full range of indices

Cboe Indices with 5-year gains of more than 60% Include CALDSM, PPUTSM, VPNSM and VXTHSM.

Month-End Scorecard for 30 Indices (as of July 31, 2023)

Source: Cboe Global Markets

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

Record Monthly Closing Highs for 15 Cboe Strategy Indices, Including PUTSM, RXMSM and VPNSM

While the recent month-end closing values for some key stock indices – such as the S&P 500 Index and the Russell 2000 Index – are below their all-time highs, 15 Cboe indices hit new monthly closing highs on July 31, 2023.  

  • BXDSM | Cboe DJIA BuyWrite Index
  • BXHBSM | Cboe HYG BuyWrite Index
  • BXLKHSM | Cboe S&P Technology Select Sector Half BuyWrite Index
  • BXMCSM | Cboe S&P 500 Conditional BuyWrite Index
  • CLLZSM | Cboe S&P 500 Zero-Cost Put Spread Collar
  • PUTSM | Cboe S&P 500 PutWrite Index
  • PUTRSM | Cboe Russell 2000 PutWrite Index
  • PUTYSM | Cboe S&P 500 2% OTM PutWrite IndexRXMSM - Cboe S&P 500 Risk Reversal Index
  • SPAISM | Cboe S&P 500 Dividend Aristocrats Target Income Index
  • SPENSM | Cboe S&P 500 Enhanced Growth Index Balanced Series
  • SPROSM | Cboe S&P 500 Buffer Protect Index Balanced Series
  • VPDSM | Cboe VIX Premium Strategy Index
  • VPNSM | Cboe Capped VIX Premium Strategy Index
  • VSTGSM | Cboe VIX Strangle Index

The Cboe S&P 500 Buffer Protect Index Series is part of a family of Target Outcome Indices designed to provide target outcome returns to the U.S. domestic stock market. Each series in the index is designed to track the returns of a hypothetical investment that over a period of approximately one year seeks to buffer protect against the first 10% of losses due to a decline in the S&P 500 Index while providing participation up to a capped level. The capped level is determined on each annual roll date such that there is no premium or discount to enter into the hypothetical investment compared to an investment in the index. Learn more.

SPRO - Cboe S&P 500 Buffer Protect Index Balanced Series

Source: Cboe Global Indices

Expected Volatility Was Lower than Average in July

The table and line chart below show that the average daily closing levels in July 2023 were below longer-term averages for both the Cboe VIX of VIX Index (VVIXSM) and the Cboe Volatility Index® (VIX® Index). In regimes with below-average levels for these indices, buyers of index options may find that the options premiums may be more affordable than regimes when the index values are much higher.

VVIX and VIX Indices Since January 2020

Source: Cboe Global Indices

Distribution of Morningstar Indexes’ Data

Cboe now is the exclusive distributor of Morningstar Indexes’ full range of indices across all major asset classes, styles and strategies. Investors can obtain real-time access to 2,000+ index values through the Cboe Global Indices Feed, delivered both on-premise and through Cboe Global Cloud.

Learn More

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

There are important risks associated with transacting in any of the Cboe Company products or any digital assets discussed here. Before engaging in any transactions in those products or digital assets, it is important for market participants to carefully review the disclosures and disclaimers contained at: These products and digital assets are complex and are suitable only for sophisticated market participants. These products involve the risk of loss, which can be substantial and, depending on the type of product, can exceed the amount of money deposited in establishing the position. Market participants should put at risk only funds that they can afford to lose without affecting their lifestyle. © 2023 Cboe Exchange, Inc. All Rights Reserved.