Strong Year-to-Date Gains for Cboe’s VPD, VPN, SPEN Indices

Matt Moran
October 3, 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’s VPDSM, VPNSM, SPENSM, and BXNSM indices had year-to-date gains through September) of more than 16% through September
  • Over the past 30 years, Octobers have had the highest average high values for the VIX Index at 29.0
  • The Cboe S&P 500 Dispersion Index (DSPXSM) was launched on September 27, DSPX is the first-of-its-kind index designed to measure expected dispersion in the S&P 500 Index

Monthly Scorecard 

In September 2023 the S&P 500® Index experienced its second consecutive monthly decline and the Cboe VIX® Index rose 29.1%, as investors coped with factors such as uncertainty regarding a possible U.S. government shutdown, higher bond yields, geopolitical tensions and economic problems in China.

Some Cboe strategy indices can help mitigate downside risk by following hypothetical strategies that take hedging positions, collect options premiums or sell VIX futures.

In September 2023 the S&P 500 Total Return Index fell 4.8% and the Russell 2000 Total Return Index fell 5.9%, while Cboe’s VPN, VPD, and BXR indices had muted losses and fell by 1.0% or 1.1%.

The table below shows that these Cboe strategy indices all had strong gains in the first three quarters of 2023:

Seasonality and Higher Volatility in Octobers

Over the past 30 years, the month of October often experienced relatively high expected volatility for the U.S. stock market. The Cboe Volatility Index® (VIX® Index) hit intra-month highs above 40 in Octobers in six years: 89.53 in 2008, 49.53 in 1998, 48.64 in 1997, 46.88 in 2011, 43.44 in 2002, and 41.16 in 2020.

The chart below shows that in Octobers over the last 30 years the VIX Index had the highest average highs at 29.0, the highest average lows at 17.4, and the highest average closing values at 21.6. 

Cboe strategy indices that could be considered in times of rising volatility and possible bear stock markets include:

  • The Cboe VIX Tail Hedge Index (VXTHSM), which buys VIX call options In October 2008 the S&P 500 Total Return Index fell 16.8% and the Cboe VXTH Index rose 6.1%.
  • The Cboe S&P 500 PutWrite Index (PPUTSM), which buys S&P 500 protective put options. In October 2008 the S&P 500 Total Return Index fell 16.8% and the Cboe PPUT Index fell 0.3%.
  • The Cboe S&P 500 Index 30-Delta BuyWrite Index (BXMDSM), which sells S&P 500 Index options to generate premium income.

Launch of New DSPX Index – Measures Expected Dispersion in the S&P 500 Index

On September 27 Cboe and S&P Dow Jones Indices launched the Cboe S&P 500 Dispersion Index (DSPX). Jointly developed by Cboe Labs and S&P DJI, this new index is the latest addition to Cboe's volatility index suite and aims to provide deeper insights into U.S. equity market volatility. The DSPX Index is the first-of-its-kind index designed to measure expected dispersion in the S&P 500 Index.

The historical values begin in 1990 for the VIX Index and in 2014 for the DSPX Index, and both indices hit peak levels during worldwide concerns and uncertainty about the possible impact of the Covid-19 pandemic. As shown in the chart below, the highest daily closing levels were 82.69 for the VIX Index on March 16, 2020, and 58.87 for the DSPX Index on March 18, 2020.

For more information, please read the DSPX Index press release or visit Cboe’s Dispersion webpage.

Learn More

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