CBOE VIX Premium Strategy Index
The Chicago Board Options Exchange introduced the CBOE VIX Premium Strategy Index (VPD) in November 2007. It has these features:
- Tracks the performance of a strategy that systematically sells 1-month VIX futures.
- Index will be calculated once per day after the close.
- This 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.
The VPD represents the value of an initial investment of $100 in a portfolio that passively follows the VIX Premium Index Strategy.