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CLL3M Cboe S&P 500 3-Month Collar 95-110 Index

The Cboe S&P 500 3-Month Collar Index is a passive strategy which consists of(a) holding the S&P 500 portfolio and collecting dividends,(b) buying 5% out-of-the-money SPX puts that expire on the quarterly cycle, i.e. March, June, September and December, and(c) selling 10% out-of-the-money SPX calls that expire on the quarterly cycle.The options are “rolled” at SPX expirations, usually on the third Friday of each quarterly month.

As of 09/21/2023

Index Information
Provider:     CBOE
Category1:  Alternatives
Category2:  Options
Category3:  Broad
Currency:    USD
Inception date:  01/01/1900
Backtesting data exists:  
Weighting methodology:   Other

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