All-time High Closing Values Today for VPD, VPN, and 6 Other Indexes By Matt Moran

March 28, 2013 – Below are the closing values and CBOE microwebsite addresses for eight indexes that hit their all-time daily closing highs today (the last trading day of the quarter) —

  • 236.99                   VPD – CBOE VIX Premium Strategy Index            www.cboe.com/VPD
  • 234.23                   VPN – CBOE Capped VIX Premium Strategy Index             www.cboe.com/VPN
  • 158.11                   VXTH – CBOE VIX Tail Hedge Index                            www.cboe.com/VXTH
  • 148.11                   LOVOL– CBOE Low Volatility Index                            www.cboe.com/LOVOL
  • 945.6                     BXM – CBOE S&P 500 BuyWrite Index                      www.cboe.com/BXM
  • 1270.52                 PUT – CBOE S&P 500 PutWrite Index                        www.cboe.com/PUT
  • 1279.33                 BXY – CBOE S&P 500 2% OTM BuyWrite                  www.cboe.com/BXY
  • 1569.19                  SPX – S&P 500® Index                                www.cboe.com/SPX

 

VPD INDEX

The CBOE VIX Premium Strategy Index (VPD) had the highest 3-year gain of all the indexes listed in the section below.  The VPD Index tracks the performance of a strategy that systematically sells 1-month VIX futures.  The VPD Index tracks the value of a portfolio that overlays a sequence of short one-month VIX futures on a money market account. The VIX futures are held until expiration and new VIX futures are then sold. The money market account decreases leverage relative to a stand-alone short position in VIX futures. To further limit risk, the number of VIX futures sold at each roll is set to preserve 75% of the initial value of the portfolio in the event that VIX futures increase by 25 points.

 

THREE-YEAR % CHANGES FOR INDEXES

The % changes for various indexes for the 3-year period ending today are —

  • 61.2%                   VPD – CBOE VIX Premium Strategy Index
  • 48.7%                    VPN – CBOE Capped VIX Premium Strategy Index
  • 43.0%                    SPTR – S&P 500 Total Return
  • 40.0%                    VXTH – CBOE VIX Tail Hedge Index
  • 38.3%                    BXY – CBOE S&P 500 2% OTM BuyWrite
  • 34.2%                    SPX – S&P 500
  • 32.9%                    LOVOL- CBOE Low Volatility Index

Note that past performance is not a predictor of future returns. For more disclosures and information about benchmark index performance, please visit www.cboe.com/benchmarks.

The posts on this blog are opinions, not advice.
Please read our disclaimer for Indices.

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