S&P 500 10% Buffered Index June Series

The S&P 500 10% Buffered Index June Series measures the performance of a strategy that targets fixed downside protection while allowing for upside participation up to a variable level on an annual basis. The index combines a long position in the S&P 500 with three S&P 500 (SPX) monthly option positions of a one-year term; i.e., a long at-the-money (ATM) put option, a short out-of-the-money (OTM) put option, and a short OTM call option, which are initiated once a year on the third Friday of June.

•  S&P 500 10% Buffered Index March Series
•  S&P 500 10% Buffered Index September Series
•  S&P 500 10% Buffered Index December Series
• S&P 500 Daily Covered Call Index
• S&P/TSX 60 Delta Hedged Straddle 1% Vega Index