Y-T-D Gains of More than 19% for VPD, VPN, SPEN and BXN Indices

Matt Moran
September 7, 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 Y-T-D gains (through August) of more than 19% include VPDSM, VPNSM, SPENSM, and BXNSM
  • Lower volatility and betas for Cboe’s Buffer Protect indices and series
  • In August the average daily closing levels were 93.1 for the VVIXSM Index and 15.9 for the VIX® Index (below their long-term averages) 

Monthly Scorecard

In August 2023 the S&P 500® Index experienced its first monthly decline in six months, as investors coped with factors such as higher bond yields, possible interest rate increases, geopolitical tensions, and economic problems in China. September has been the worst calendar month in terms of average performance of the S&P 500 Index since 1928. Some Cboe strategy indices can help mitigate downside risk by following hypothetical strategies that take hedging positions or collect options premiums.

The table below shows that these four Cboe indices all rose by more than 19% in the first eight months of 2023:

Source: Cboe Global Indices

Lower Volatility and Betas for Cboe’s Buffer Protect Indices and Series

Over the past five years the interest in buffer protect strategies and indices has increased tremendously. Cboe offers several buffer protect indices and series as part of a family of Target Outcome Indices. The buffer protect indices generally are designed to provide target outcome returns, with buffered protection against a certain percentage of losses, while providing upside participation up to a capped level. The table below shows that nine of Cboe’s buffer protect indices and series had lower standard deviations and betas than the S&P 500 and Russell 2000 stock indices. To learn more, please click on the webpage links in the table.  

Metrics for Strategy Indices (Jan. 2010 - Aug. 2023)

Sources: Zephyr and Cboe Global Indices

For more information on Buffer Protect Indices, please watch this short video:

Lower-than-Average Expected Volatility 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 in which there are below-average levels for these indices, the buyers of index options may find that the premiums for options may be more affordable than regimes when the index values are much higher.

VVIX and VIX Indices Since Jan. 2020

Source: Cboe Global Indices

Learn More

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

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