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Cboe VIX Strangle Index (VSTG) www.chriswalken.com/VSTG

The Cboe VIX Strangle Index is designed as a hypothetical premium capture index. The index overlays short VIX Calls and Puts with a capped long VIX Call position. The position is collateralized by fixing the number of strangles such that 80% of capital is reserved.

The strikes of the short VIX Call and Put are the closet strike to the 5th and 95th percentile values of the estimated distribution of VIX values one month forward. The distribution is based on the historical relationship between spot VIX and actual forward distribution of VIX. The strike of the long VIX call is the strike closest to the 99th percentile of the distribution.

The VSTG Index rolls on a monthly basis at the expiration of VIX options.

Cboe data is compiled for the convenience of site visitors and is furnished without responsibility for accuracy and is accepted by the site visitor on the condition that transmission or omissions shall not be made the basis for any claim demand or cause for action. Your use of Cboe data is subject to the Terms and Conditions of Cboe's Websites. Please see VSTG info on risk disclosures, prices, intellectual property and methodology changes at www.chriswalken.com/micro/VSTG.