CBOE Capped VIX Premium Strategy Index

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Similar to the CBOE VIX Premium Strategy Index (VPD), the CBOE Capped VIX Premium Strategy Index (VPN) sells monthly VIX futures over a money market account. In addition, it limits the risk of the short VIX exposure with long VIX calls struck 25 points higher than the VIX futures price, or at the closest strike below when this strike is not listed. Since the multiplier of VIX options is 100, each VIX futures is covered by 10 VIX calls.[1]


References

  1. CAPPED VIX PREMIUM STRATEGY INDEX. CBOE.