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Cboe Global Markets

Benchmark Index Roll Information

Cboe PUTR Index Roll Information - September 17, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceTBill Discount Rates
PUTRCboe Russell 2000 PUTR Index2227.6303222049.21M 0.06

Cboe PPUT3M Index Roll Information - September 17, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
PPUT3MCboe S&P 500 Tail Risk Index4437.66400057.977777777777784446.274444444445

Cboe CLL3M Index Roll Information - September 17, 2021

IndexNameReference PriceNew Put Strike PriceNew Call Strike PriceNew Put VWAP PriceNew Call VWAP PriceUnderlying Index VWAP
CLL3MCboe S&P 500 3-Month Collar 95-110 Index4441.554220489096.94.44437.65

Cboe CLL1M Index Roll Information - September 17, 2021

IndexNameReference PriceNew Put Strike PriceNew Call Strike PriceNew Put VWAP PriceNew Call VWAP PriceUnderlying Index VWAP
CLL1MCboe S&P 500 Risk Managed Income Index4441.554220444527.9354838709677468.565193089430894441.802113821138

Cboe BXY Index Roll Information - September 17, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXYCboe S&P 500 2% OTM BuyWrite Index4441.55453521.44440.02

Cboe BXRT Index Roll Information - September 17, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceTBill Discount Rates
BXRTCboe Russell 2000 30-Delta BuyWrite V2 Index4441.55229021.51M 0.06

Cboe BXR Index Roll Information - September 17, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXRCboe Russell 2000 BuyWrite Index2227.6303223050.048773987206822226.673446002132

Cboe BXNTU Index Roll Information - September 17, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXNTUCboe NASDAQ-100 BuyWrite V2 UCITS Index15363.6815375261.2785603405107515325.583370055083

Cboe BXNT Index Roll Information - September 17, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXNTCboe NASDAQ-100 BuyWrite V2 Index15363.6815375261.2785603405107515325.583370055083

Cboe BXNH Index Roll Information - September 17, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXNHCboe NASDAQ-100 Half BuyWrite V2 Index15363.6815375261.2785603405107515325.583370055083

Cboe BXN Index Roll Information - September 17, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXNCboe NASDAQ-100 BuyWrite Index15363.6815375261.2785603405107515325.583370055083

Cboe BXMU Index Roll Information - September 17, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXMUCboe S&P 500 BuyWrite UCITS Index4441.55444568.565193089430894441.802113821138

Cboe BXMH Index Roll Information - September 17, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXMHCboe S&P 500 Half BuyWrite Index4441.55444567.644044321329644439.370415512466

Cboe BXM Index Roll Information - September 17, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXMCboe S&P 500 BuyWrite Index4441.55444568.565193089430894441.802113821138

Cboe BXD Index Roll Information - September 17, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXDCboe Dow Jones BuyWrite Index345.653503.05345.77

Cboe BXRT Index Roll Information - September 16, 2021

IndexNameRebalance Date 1Rebalance Date 2VWAP RUT Rebalance 1Old Call VWAP Rebalance 1
BXRTCboe Russell 2000 30-Delta BuyWrite V2 Index9/16/20219/17/20212232.863227.9

Cboe BXNTU Index Roll Information - September 16, 2021

IndexNameRebalance Date 1Rebalance Date 2VWAP NDX Rebalance 1Old Call VWAP Rebalance 1
BXNTUCboe NASDAQ-100 BuyWrite V2 UCITS Index9/16/20219/17/202115516.15449.9

Cboe BXNT Index Roll Information - September 16, 2021

IndexNameRebalance Date 1Rebalance Date 2VWAP NDX Rebalance 1Old Call VWAP Rebalance 1
BXNTCboe NASDAQ-100 BuyWrite V2 Index9/16/20219/17/202115516.15449.9

Cboe BXNH Index Roll Information - September 16, 2021

IndexNameRebalance Date 1Rebalance Date 2VWAP NDX Rebalance 1Old Call VWAP Rebalance 1
BXNHCboe NASDAQ-100 Half BuyWrite V2 Index9/16/20219/17/202115516.15449.9

Cboe T-BXNTU Index Roll Information - September 9, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
T-BXNTUT-BXNTU Index Daily Calculation15648.3715650282.815583.23

Cboe T-BXNT Index Roll Information - September 9, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
T-BXNTT-BXNT Index Daily Calculation15648.3715650282.815583.23

Cboe T-BXNH Index Roll Information - September 9, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
T-BXNHT-BXNH Index Daily Calculation15648.3715650282.815583.23

Cboe T-BXNTU Index Roll Information - September 8, 2021

IndexNameRebalance Date 1Rebalance Date 2VWAP NDX Rebalance 1Old Call VWAP Rebalance 1
T-BXNTUT-BXNTU Index Daily Calculation9/8/20219/17/202115620.75588.2

Cboe T-BXNT Index Roll Information - September 8, 2021

IndexNameRebalance Date 1Rebalance Date 2VWAP NDX Rebalance 1Old Call VWAP Rebalance 1
T-BXNTT-BXNT Index Daily Calculation9/8/20219/17/202115620.75588.2

Cboe T-BXNH Index Roll Information - September 8, 2021

IndexNameRebalance Date 1Rebalance Date 2VWAP NDX Rebalance 1Old Call VWAP Rebalance 1
T-BXNHT-BXNH Index Daily Calculation9/8/20219/17/202115620.75588.2

Cboe PWT Index Roll Information - August 20, 2021

Index Name Ref Price New Option Strike Price New Option VWAP Price Number of Puts Sold TBill Discount Rates
PWT Cboe S&P 500 PWT Index 4429.65 4425 1M 0.04 3M 0.06

Cboe PUTR Index Roll Information - August 20, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceTBill Discount Rates
PUTRCboe Russell 2000 PUTR Index2146.0729214049.31M 0.04

Cboe PUT Index Roll Information - August 20, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceNumber of Puts SoldTBill Discount Rates
PUTCboe S&P 500 PUT Index4429.6544251M 0.04 3M 0.06

Cboe CLL1M Index Roll Information - August 20, 2021

IndexNameReference PriceNew Put Strike PriceNew Call Strike PriceNew Put VWAP PriceNew Call VWAP PriceUnderlying Index VWAP
CLL1M1-Month Collar Index Calculation4429.654210443025.166.38550781254435.2422109375

Cboe BXY Index Roll Information - August 20, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXYCboe S&P 500 2% OTM BuyWrite Index4429.65452019.44431.56

Cboe BXRT Index Roll Information - August 20, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceTBill Discount Rates
BXRTCboe Russell 2000 30-Delta BuyWrite V2 Index4429.65221025.81M 0.04

Cboe BXR Index Roll Information - August 20, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXRCboe Russell 2000 BuyWrite Index2146.0729215055.0588312541037442153.1053207485224

Cboe BXNTU Index Roll Information - August 20, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXNTUCboe NASDAQ-100 BuyWrite V2 UCITS Index15071.9815075248.6507579859231215030.229426096372

Cboe BXNT Index Roll Information - August 20, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXNTCboe NASDAQ-100 BuyWrite V2 Index15071.9815075248.6507579859231215030.229426096372

Cboe BXNH Index Roll Information - August 20, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXNHCboe NASDAQ-100 Half BuyWrite V2 Index15071.9815075248.6507579859231215030.229426096372

Cboe BXN Index Roll Information - August 20, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXNCboe NASDAQ-100 BuyWrite Index15071.9815075248.6507579859231215030.229426096372

Cboe BXMU Index Roll Information - August 20, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXMUCboe S&P 500 BuyWrite UCITS Index4429.65443066.38550781254435.2422109375

Cboe BXMH Index Roll Information - August 20, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXMHCboe S&P 500 Half BuyWrite Index4429.65443065.177513513513524430.649697297297

Cboe BXM Index Roll Information - August 20, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXMCboe S&P 500 BuyWrite Index4429.65443066.38550781254435.2422109375

Cboe BXD Index Roll Information - August 20, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXDCboe Dow Jones BuyWrite Index350.273553.1350.98

Cboe BXRT Index Roll Information - August 19, 2021

IndexNameRebalance Date 1Rebalance Date 2VWAP RUT Rebalance 1Old Call VWAP Rebalance 1
BXRTCboe Russell 2000 30-Delta BuyWrite V2 Index8/19/20218/20/20212131.83770.8

Cboe BXNTU Index Roll Information - August 19, 2021

IndexNameRebalance Date 1Rebalance Date 2VWAP NDX Rebalance 1Old Call VWAP Rebalance 1
BXNTUCboe NASDAQ-100 BuyWrite V2 UCITS Index8/19/20218/20/202114932.56176.5

Cboe BXNT Index Roll Information - August 19, 2021

IndexNameRebalance Date 1Rebalance Date 2VWAP NDX Rebalance 1Old Call VWAP Rebalance 1
BXNTCboe NASDAQ-100 BuyWrite V2 Index8/19/20218/20/202114932.56176.5

Cboe BXNH Index Roll Information - August 19, 2021

IndexNameRebalance Date 1Rebalance Date 2VWAP NDX Rebalance 1Old Call VWAP Rebalance 1
BXNHCboe NASDAQ-100 Half BuyWrite V2 Index8/19/20218/20/202114932.56176.5

Cboe S-CLL1M Index Roll Information - August 17, 2021

IndexNameReference PriceNew Put Strike PriceNew Call Strike PriceNew Put VWAP PriceNew Call VWAP PriceUnderlying Index VWAP
S-CLL1MSimulator CLL1M roll4452.624230445531.851.94430.12

Cboe PPUT3M Index Roll Information - August 6, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
PPUT3MPutProtection Quarterly4183.46376550.74181.48

Cboe PWT Index Roll Information - July 16, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceNumber of Puts SoldTBill Discount Rates
PWTCboe S&P 500 PWT Index4351.34435071.915388888888860.52025915437608281M 0.05 3M 0.01

Cboe PUTR Index Roll Information - July 16, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceTBill Discount Rates
PUTRCboe Russell 2000 PUTR Index2190.4654219057.51M 0.05

Cboe PUT Index Roll Information - July 16, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceNumber of Puts SoldTBill Discount Rates
PUTCboe S&P 500 PUT Index4351.34435072.421823204419880.52857401521727691M 0.05 3M 0.01

Cboe S&P 500 Iron Condor Index Roll Information - July 16, 2021

IndexNameStrike Price PUT_5dStrike Price PUT_20dStrike Price CALL_20dStrike Price CALL_5d
CNDRCboe S&P 500 Iron Condor Index3790415044704560

Cboe BXY Index Roll Information - July 16, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXYCboe S&P 500 2% OTM BuyWrite Index4351.34444021.44349.31

Cboe BXRT Index Roll Information - July 16, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceTBill Discount Rates
BXRTCboe Russell 2000 30-Delta BuyWrite V2 Index4351.34227026.71M 0.05

Cboe BXR Index Roll Information - July 16, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXRCboe Russell 2000 BuyWrite Index2190.4654220057.816260162601622195.9258639566397

Cboe BXNTU Index Roll Information - July 16, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXNTUCboe NASDAQ-100 BuyWrite V2 UCITS Index14770.1714775297.6482402912621414734.556692961165

Cboe BXNT Index Roll Information - July 16, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXNTBXNT-CBOE NASDAQ-100 BuyWrite V2 Index14770.1714775297.6482402912621414734.556692961165

Cboe BXNH Index Roll Information - July 16, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXNHCboe NASDAQ-100 Half BuyWrite V2 Index14770.1714775297.6482402912621414734.556692961165

Cboe BXN Index Roll Information - July 16, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXNCboe Nasdaq-100 BuyWrite Index14770.1714775297.6482402912621414734.556692961165

Cboe BXMH Index Roll Information - July 16, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXMHCboe S&P 500 Half BuyWrite Index4351.34436058.997777777777784346.609444444444

Cboe BXM Index Roll Information - July 16, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXMCboe S&P 500 BuyWrite Index4351.34436060.4253564786112854350.388853068816

Cboe BXD Index Roll Information - July 16, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXDCboe Dow Jones BuyWrite Index348.883504.35349.05

Cboe BXRT Index Roll Information - July 15, 2021

IndexNameRebalance Date 1Rebalance Date 2VWAP RUT Rebalance 1Old Call VWAP Rebalance 1
BXRTCboe S&P 500 Iron Condor Index7/15/20217/16/20212190.31614.8

Cboe BXNTU Index Roll Information - July 15, 2021

IndexNameRebalance Date 1Rebalance Date 2VWAP NDX Rebalance 1Old Call VWAP Rebalance 1
BXNTUCboe NASDAQ-100 BuyWrite V2 UCITS Index7/15/20217/16/202114789.01123966942697.3735537190083

Cboe BXNT Index Roll Information - July 15, 2021

IndexNameRebalance Date 1Rebalance Date 2VWAP NDX Rebalance 1Old Call VWAP Rebalance 1
BXNTBXNT-CBOE NASDAQ-100 BuyWrite V2 Index7/15/20217/16/202114789.01123966942697.3735537190083

Cboe BXNH Index Roll Information - July 15, 2021

IndexNameRebalance Date 1Rebalance Date 2VWAP NDX Rebalance 1Old Call VWAP Rebalance 1
BXNHCboe NASDAQ-100 Half BuyWrite V2 Index7/15/20217/16/202114789.01123966942697.3735537190083

TEST 2 Cboe S&P 500 Iron Condor Index Roll Information - June 23, 2021

Index Name Strike Price PUT_5d Strike Price PUT_20d Strike Price CALL_20d Strike Price CALL_5d
CNDR Cboe S&P 500 Iron Condor Index 3630 3990 4290 4380

TEST - July 13, 2021

Index Name Strike Price PUT_5d Strike Price PUT_20d Strike Price CALL_20d Strike Price CALL_5d
CNDR Cboe S&P 500 Iron Condor Index 3630 3990 4290 4380

TEST Cboe S&P 500 Iron Condor Index Roll Information - June 23, 2021

Index Name Strike Price PUT_5d Strike Price PUT_20d Strike Price CALL_20d Strike Price CALL_5d
CNDR Cboe S&P 500 Iron Condor Index 3630 3990 4290 4380

TEST Cboe BuyWrite Index Roll Information - June 23, 2021

Index Name New Option Strike Price New Option VWAP Price Underlying Index VWAP
BXM Cboe S&P 500 BuyWrite Index 1275 $15.14 1271.99
BXD Cboe Dow Jones BuyWrite Index 110 $0.87 109.12
BXN Cboe Nasdaq-100 BuyWrite Index 1700 $28.87 1699.24

Cboe PWT Index Roll Information - June 18, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceNumber of Puts SoldTBill Discount Rates
PWTRollDay PutWrite calculation4178.094175.00000064.674388888888810.53309904838266621M 0.05 3M 0.04

Cboe PUTR Index Roll Information - June 18, 2021

PUTR
IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceTBill Discount Rates
Daily PutWriteOneMonth calculation2253.46162250521M 0.05

Cboe PUT Index Roll Information - June 18, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceNumber of Puts SoldTBill Discount Rates
PUTRollDay PutWrite calculation4178.094175.0000001M 0.05 3M 0.04

Cboe S&P 500 Iron Condor Index Roll Information - June 18, 2021

IndexNameStrike Price PUT_5dStrike Price PUT_20dStrike Price CALL_20dStrike Price CALL_5d
CNDRCNDR Index3630399042904380

Cboe BXY-N Index Roll Information - June 18, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXY-NCboe S&P 500 2%%%%%%%% OTM BuyWrite Index4178.09427019.74183.46

Cboe BXY Index Roll Information - June 18, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXYCboe S&P 500 2% OTM BuyWrite Index4178.09427019.74183.46

Cboe BXRT Index Roll Information - June 18, 2021

BXRT
IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceTBill Discount Rates
BXRT-CBOE Russel-2000 BuyWrite V2 Index2253.4616232025.41M 0.05

Cboe BXR-N Index Roll Information - June 18, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXR-NCboe Russell 2000 BuyWrite Index2253.4616226052.237903225806452257.703864717742

Cboe BXR Index Roll Information - June 18, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXRCboe Russell 2000 BuyWrite Index2253.46162260

Cboe BXNX-N Index Roll Information - June 18, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXNX-NCboe Nasdaq-100 BuyWrite Index14088.8814100250.1586477987421214056.246666666666

Cboe BXNTU Index Roll Information - June 18, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXNTUBXNTU Index Daily Calculation14088.8814100250.1586477987421214056.246666666666

Cboe BXNT Index Roll Information - June 18, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXNTBXNT-CBOE NASDAQ-100 BuyWrite V2 Index14088.8814100250.1586477987421214056.246666666666

Cboe BXNH Index Roll Information - June 18, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXNHCboe NASDAQ-100 Half BuyWrite V2 Index14088.8814100250.1586477987421214056.246666666666

Cboe BXN Index Roll Information - June 18, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXNCboe Nasdaq-100 BuyWrite Index14088.8814100250.1586477987421214056.246666666666

Cboe BXMH Index Roll Information - June 18, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXMHCboe S&P 500 Half BuyWrite Index4178.09418066.211728738187894183.5332295719845

Cboe BXM-N Index Roll Information - June 18, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXM-NCboe S&P 500 BuyWrite Index4178.09418066.211728738187894183.5332295719845

Cboe BXM Index Roll Information - June 18, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXMCboe S&P 500 BuyWrite Index4178.09418066.211728738187894183.5332295719845

Cboe BXD-N Index Roll Information - June 18, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXD-NCboe DJIA BuyWrite Index333.093355.13334.09

Cboe BXD Index Roll Information - June 18, 2021 (Updated)

Index Name Reference Price New Option Strike Price New Option VWAP Price Underlying Index VWAP
BXD Cboe DJIA BuyWrite Index 333.09 335

This is a test -- June 18, 2021

This is manually entered data.

Cboe BXRT Index Roll Information - June 17, 2021

IndexNameRebalance Date 1Rebalance Date 2VWAP RUT Rebalance 1Old Call VWAP Rebalance 1
BXRTBXRT-CBOE Russel-2000 BuyWrite V2 Index6/17/20216/18/20212287.44923.5

Cboe BXNTU Index Roll Information - June 17, 2021

IndexNameRebalance Date 1Rebalance Date 2VWAP NDX Rebalance 1Old Call VWAP Rebalance 1
BXNTUBXNTU Index Daily Calculation6/17/20216/18/202114189.718108766234694.5229707792207

Cboe BXNT Index Roll Information - June 17, 2021

IndexNameRebalance Date 1Rebalance Date 2VWAP NDX Rebalance 1Old Call VWAP Rebalance 1
BXNTBXNT-CBOE NASDAQ-100 BuyWrite V2 Index6/17/20216/18/202114189.718108766234694.5229707792207

Cboe BXNH Index Roll Information - June 17, 2021

IndexNameRebalance Date 1Rebalance Date 2VWAP NDX Rebalance 1Old Call VWAP Rebalance 1
BXNHCboe NASDAQ-100 Half BuyWrite V2 Index6/17/20216/18/202114189.718108766234694.5229707792207

Cboe PWT Index Roll Information - April 27, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP Price Number of Puts Sold TBill Discount Rates
PWTCboe S&P 500 PWT Index4178.75417567.4641670.5156779681M 0.02 3M 0.03

Cboe PUT Index Roll Information - April 26, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP Price Number of Puts Sold TBill Discount Rates
PUTCboe S&P 500 PUT Index4178.75417567.7772640.5237452341M 0.02 3M 0.03

CBOE PWT Index Roll Information - April 16, 2021

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceNumber of Puts SoldTBill Discount Rates
PWTCBOE S&P 500 PWT Index4178.75417567.4641670.5156779681M 0.02 3M 0.03

Test Roll Data 2 -- March 23, 2021

Index Name New Option Strike Price New Option PUTR Price Underlying Index PUTR
BXM Cboe S&P 500 PUTR Index 1275 $15.14 1271.99
BXD Cboe PUTR Index 110 $0.87 109.12
BXN Cboe Nasdaq-100 BuyWrite Index 1700 $28.87 1699.24

Test Roll Data -- March 23, 2021

Index Name New Option Strike Price New Option PUTR Price Underlying Index PUTR
BXM Cboe S&P 500 PUTR Index 1275 $15.14 1271.99
BXD Cboe PUTR Index 110 $0.87 109.12
BXN Cboe Nasdaq-100 BuyWrite Index 1700 $28.87 1699.24

CBOE PUT Index Roll Information - March 19, 2021

Index Name Reference Price New Option Strike Price New Option VWAP Price Number of Puts Sold TBill Discount Rates
PUT CBOE S&P 500 PUT Index 3913.49 3910 1M 0.01 3M 0.03

CBOE PWT Index Roll Information - February 19, 2021

 

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceNumber of Puts SoldTBill Discount Rates
PWTCBOE S&P 500 PWT Index3926.9392568.7391110.5319381761M 0.03 3M 0.03

CBOE PUT Index Roll Information - February 19, 2021

 

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceNumber of Puts SoldTBill Discount Rates
PUTCBOE S&P 500 PUT Index3926.9392569.0557350.5400426731M 0.03 3M 0.03

CBOE BuyWrite Index Roll Information - February 19, 2021

 

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXMCboe S&P 500 BuyWrite Index3926.9393062.61491002570693921.9460218509
BXDCboe Dow Jones BuyWrite Index316.193203.05316.25
BXNCboe Nasdaq-100 BuyWrite Index13680.3813700316.913699.83
BXYCboe S&P 500 2% OTM BuyWrite Index3926.9401026.13926.73
BXRCboe Russell 2000 BuyWrite Index2265.1273227071.68372093023252274.28766046511
BXNHCboe NASDAQ-100 Half BuyWrite V2 Index13680.3813700316.913699.83
BXMHCboe S&P 500 Half BuyWrite Index3926.9393062.61491002570693921.9460218509
BXNTUCboe NASDAQ-100 BuyWrite V2 UCITS Index13680.3813700316.913699.83

CBOE S&P 500 Iron Condor Index Roll Information - February 19, 2021

 

IndexNameStrike Price PUT_5dStrike Price PUT_20dStrike Price CALL_20dStrike Price CALL_5d
CBOE S&P 500 Iron Condor IndexCBOE S&P 500 Iron Condor Index3390372540504160

CBOE BXRT Index Roll Information - February 19, 2021

 

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceTBill Discount Rates
BXRTCBOE Russel 2000 30-Delta BuyWrite v2 Index2265.12732360 1M 0.03

CBOE PUTR Index Roll Information - February 19, 2021

 

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceTBill Discount Rates
PUTRCBOE Russell 2000 PUTR Index2265.12732260 1M 0.03

CBOE BuyWrite Index Roll Information - February 19, 2021

 

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceUnderlying Index VWAP
BXMCboe S&P 500 BuyWrite Index3926.93930  
BXDCboe Dow Jones BuyWrite Index316.19320  
BXNCboe Nasdaq-100 BuyWrite Index13680.3813700  
BXYCboe S&P 500 2% OTM BuyWrite Index3926.94010  
BXRCboe Russell 2000 BuyWrite Index2265.12732270  
BXNHCboe NASDAQ-100 Half BuyWrite V2 Index13680.3813700  
BXMHCboe S&P 500 Half BuyWrite Index3926.93930  
BXNTUCboe NASDAQ-100 BuyWrite V2 UCITS Index13680.3813700  

CBOE PWT Index Roll Information - February 19, 2021

 

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceNumber of Puts SoldTBill Discount Rates
PWTCBOE S&P 500 PWT Index3926.93925  1M 0.03 3M 0.03

CBOE PUTR Index Roll Information - February 19, 2021

 

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceTBill Discount Rates
PUTRCBOE Russell 2000 PUTR Index2265.12732260651M 0.03

CBOE BXRT Index Roll Information - February 19, 2021

 

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceTBill Discount Rates
BXRTCBOE Russel 2000 30-Delta BuyWrite v2 Index2265.1273236030.31M 0.03

CBOE PUT Index Roll Information - February 19, 2021

 

IndexNameReference PriceNew Option Strike PriceNew Option VWAP PriceNumber of Puts SoldTBill Discount Rates
PUTCBOE S&P 500 PUT Index3926.93925  1M 0.03 3M 0.03

CBOE PUT Index Roll Information - January 15, 2021

 

Index Name Reference Price New Option Strike Price New Option VWAP Price Number of Puts Sold TBill Discount Rates
PUT CBOE S&P 500 PUT Index 3764.76 3760 83.144211 0.553809837 1M 0.09 3M 0.07

CBOE PUTR Index Roll Information - January 15, 2021

 

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
PUTR CBOE Russell 2000 PUTR Index 2119.2387 2110 67.6 1M 0.09

CBOE BuyWrite Index Roll Information - January 15, 2021

 

Index Name Reference Price New Option Strike Price New Option VWAP Price Underlying Index VWAP
BXM Cboe S&P 500 BuyWrite Index 3764.76 3765 92.0485887096774 3776.76195564516
BXD Cboe Dow Jones BuyWrite Index 307.67 310 5.55 308.52
BXN Cboe Nasdaq-100 BuyWrite Index 12814.3 12825 417.3 12855.2766666666
BXY Cboe S&P 500 2% OTM BuyWrite Index 3764.76 3845 46 3773.99
BXR Cboe Russell 2000 BuyWrite Index 2119.2387 2120 70.463436123348 2120.13959030837
BXNH Cboe NASDAQ-100 Half BuyWrite V2 Index 12814.3 12825 417.3 12855.2766666666
BXMH Cboe S&P 500 Half BuyWrite Index 3764.76 3765 92.0485887096774 3776.76195564516
BXNTU Cboe NASDAQ-100 BuyWrite V2 UCITS Index 12814.3 12825 417.3 12855.2766666666

CBOE S&P 500 Iron Condor Index Roll Information - January 15, 2021

 

Index Name Strike Price PUT_5d Strike Price PUT_20d Strike Price CALL_20d Strike Price CALL_5d
CBOE S&P 500 Iron Condor Index CBOE S&P 500 Iron Condor Index 3140 3525 3920 4050

CBOE BXRT Index Roll Information - January 15, 2021

 

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
BXRT CBOE Russel 2000 30-Delta BuyWrite v2 Index 2119.2387 2210   1M 0.09

CBOE PUTR Index Roll Information - January 15, 2021

 

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
PUTR CBOE Russell 2000 PUTR Index 2119.2387 2110   1M 0.09

CBOE PWT Index Roll Information - January 15, 2021

 

Index Name Reference Price New Option Strike Price New Option VWAP Price Number of Puts Sold TBill Discount Rates
PWT CBOE S&P 500 PWT Index 3764.76 3760     1M 0.09 3M 0.07

CBOE PUT Index Roll Information - January 15, 2021

 

Index Name Reference Price New Option Strike Price New Option VWAP Price Number of Puts Sold TBill Discount Rates
PUT CBOE S&P 500 PUT Index 3764.76 3760     1M 0.09 3M 0.07

CBOE BXRT Index Roll Information - January 15, 2021

 

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
BXRT CBOE Russel 2000 30-Delta BuyWrite v2 Index 2119.2387 2210 29.3 1M 0.09

CBOE PWT Index Roll Information - January 15, 2021

 

Index Name Reference Price New Option Strike Price New Option VWAP Price Number of Puts Sold TBill Discount Rates
PWT CBOE S&P 500 PWT Index 3764.76 3760 82.544778 0.545543528 1M 0.09 3M 0.07

CBOE BuyWrite Index Roll Information - January 15, 2021

 

Index Name Reference Price New Option Strike Price New Option VWAP Price Underlying Index VWAP
BXM Cboe S&P 500 BuyWrite Index 3764.76 3765    
BXD Cboe Dow Jones BuyWrite Index 307.67 310    
BXN Cboe Nasdaq-100 BuyWrite Index 12814.3 12825    
BXY Cboe S&P 500 2% OTM BuyWrite Index 3764.76 3845    
BXR Cboe Russell 2000 BuyWrite Index 2119.2387 2120    
BXNH Cboe NASDAQ-100 Half BuyWrite V2 Index 12814.3 12825    
BXMH Cboe S&P 500 Half BuyWrite Index 3764.76 3765    
BXNTU Cboe NASDAQ-100 BuyWrite V2 UCITS Index 12814.3 12825