The Chicago Board Options Exchange (CBOE) has expanded its suite of strategy indexes designed to manage equity risk. The CBOE has started publishing values for the CBOE VIX Tail Hedge Index, which tracks the performance of a hypothetical S&P 500 investment portfolio protected against tail risk by using VIX calls.
The index also provides investors with a benchmark for VIX-based tail risk hedge strategies. The number of VIX calls hypothetically acquired each month as part of the index strategy will depend on the level of forward volatility.
Click here for the release from Chicago Board Options Exchange.