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Cboe Global Markets

Benchmark Index Roll Information

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