Record Monthly Closing Highs for 10 Cboe Strategy Indices

Matt Moran
December 5, 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.


  • 10 Cboe strategy indices hit new monthly closing highs in November.
  • VPDSM, VXTHSM, SPENSM, and CALDSM had five-year gains of more than 65% through November.
  • VIX Index’s low levels may enhance hedging opportunities.

10 Cboe Strategy Indices Hit New Monthly Closing Highs

Cboe strategy indices that reached new monthly closing highs on November 30, 2023, include:

Monthly Scorecard for 30 Indices

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

VIX Index Levels and Opportunities for Hedging

On November 28, Bloomberg News reported that Goldman Sachs identified the recent sharp drop in volatility as a hedging opportunity. According to Bloomberg, strategists said put spreads and collars on the S&P 500 Index are attractive, and noted there are a number of risks to the outlook for equities, including geopolitics, next year’s U.S. elections calendar and the potential for shocks on the economic growth front.

On November 24, the daily closing value of the Cboe Volatility Index® (VIX Index®) fell to 12.46, its lowest daily closing value since January 2020, before the Covid-19 pandemic. In regimes with relatively low VIX Index levels, it is possible that the implementation of some equity hedging strategies may be less expensive due to some lower costs for options premiums. Investors who are interested in equity hedging strategies can explore the performance of a number of Cboe strategy indices, including the Cboe S&P 500 Zero-Cost Put Spread Collar Index (CLLZ), Cboe S&P 500 5% Put Protection Index (PPUT), and Cboe VIX Tail Hedge Index (VXTH).

Put Spread Collar Strategy

The goal of the index put collar strategy is often the mitigation of some downside risk with a willingness to forgo some upside in bull markets.

To implement an index put spread collar strategy, an investor usually holds a portfolio of stocks, buys out-of-the-money index protective put options to hedge the portfolio, sells out-of-the-money index covered calls with the same expiration as the index puts and sells index put options (at a strike below that of the long puts) to generate added premium income to help cover the hedging costs.

Source: Cboe Global Markets

Learn More

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

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