Cboe Global Markets

Benchmark Index Roll Information

CBOE PWT Index Roll Information - November 20, 2020

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 3572.27 3570 70.758 0.550456474

1M 0.08

3M 0.07

CBOE PUT Index Roll Information - November 20, 2020

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 3572.27 3570 70.510124 0.55866972

1M 0.08

3M 0.07

CBOE BXRT Index Roll Information - November 20, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
BXRT CBOE Russel 2000 30-Delta BuyWrite v2 Index 1775.257 1840 24.9 1M 0.08

CBOE PUTR Index Roll Information - November 20, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
PUTR CBOE Russell 2000 PUTR Index 1775.257 1775 48.2 1M 0.08

CBOE BuyWrite Index Roll Information - November 20, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price Underlying Index VWAP
BXM Cboe S&P 500 BuyWrite Index 3572.27 3575 68.948798076923 3572.87525240384
BXD Cboe Dow Jones BuyWrite Index 293.31 294 5.35 293.52
BXN Cboe Nasdaq-100 BuyWrite Index 11997.16 12000 281.498511904761 11986.3317559523
BXY Cboe S&P 500 2% OTM BuyWrite Index 3572.27 3645 34.1 3572.26
BXR Cboe Russell 2000 BuyWrite Index 1775.257 1780 51.1392156862745 1780.82027058823
BXNH Cboe NASDAQ-100 Half BuyWrite V2 Index 11997.16 12000 281.498511904761 11986.3317559523
BXMH Cboe S&P 500 Half BuyWrite Index 3572.27 3575 68.948798076923 3572.87525240384

CBOE S&P 500 Iron Condor Index Roll Information - November 20, 2020

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 3080 3380 3705 3840

CBOE PUT Index Roll Information - October 16, 2020

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 3507.84 3505 102.197633 0.557760467

1M 0.1

3M 0.11

CBOE BXRT Index Roll Information - October 16, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
BXRT CBOE Russel 2000 30-Delta BuyWrite v2 Index 1641.5912 1720 22.6 1M 0.1

CBOE BuyWrite Index Roll Information - October 16, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price Underlying Index VWAP
BXM Cboe S&P 500 BuyWrite Index 3507.84 3510 90.3274390243902 3500.0706504065
BXD Cboe Dow Jones BuyWrite Index 287.78 290 6.2 287.53
BXN Cboe Nasdaq-100 BuyWrite Index 11981.16 12000 417.80422077922 11917.8438961038
BXY Cboe S&P 500 2% OTM BuyWrite Index 3507.84 3580 55 3503.39
BXR Cboe Russell 2000 BuyWrite Index 1641.5912 1650 53.9576923076923 1644.86908846153
BXNH Cboe NASDAQ-100 Half BuyWrite V2 Index 11981.16 12000 417.80422077922 11917.8438961038
BXMH Cboe S&P 500 Half BuyWrite Index 3507.84 3510 90.3274390243902 3500.0706504065

CBOE S&P 500 Iron Condor Index Roll Information - October 16, 2020

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 2920 3260 3680 3840

CBOE BXRT Index Roll Information - October 16, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
BXRT CBOE Russel 2000 30-Delta BuyWrite v2 Index 1641.5912 1720   1M 0.1

CBOE BuyWrite Index Roll Information - October 16, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price Underlying Index VWAP
BXM Cboe S&P 500 BuyWrite Index 3507.84 3510    
BXD Cboe Dow Jones BuyWrite Index 287.78 290    
BXN Cboe Nasdaq-100 BuyWrite Index 11981.16 12000    
BXY Cboe S&P 500 2% OTM BuyWrite Index 3507.84 3580    
BXR Cboe Russell 2000 BuyWrite Index 1641.5912 1650    
BXNH Cboe NASDAQ-100 Half BuyWrite V2 Index 11981.16 12000    
BXMH Cboe S&P 500 Half BuyWrite Index 3507.84 3510    

CBOE PUTR Index Roll Information - October 16, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
PUTR CBOE Russell 2000 PUTR Index 1641.5912 1640   1M 0.1

CBOE PWT Index Roll Information - October 16, 2020

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 3507.84 3505    

1M 0.1

3M 0.11

CBOE PUTR Index Roll Information - October 16, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
PUTR CBOE Russell 2000 PUTR Index 1641.5912 1640 55.1 1M 0.1

CBOE PWT Index Roll Information - October 16, 2020

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 3507.84 3505 101.589778 0.54952166

1M 0.1

3M 0.11

CBOE PUT Index Roll Information - October 16, 2020

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 3507.84 3505    

1M 0.1

3M 0.11

CBOE BXRT Index Roll Information - September 18, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
BXRT CBOE Russel 2000 30-Delta BuyWrite v2 Index 1549.9952 1610 15.6 1M 0.09

CBOE PUTR Index Roll Information - September 18, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
PUTR CBOE Russell 2000 PUTR Index 1549.9952 1540 43.8 1M 0.09

CBOE BuyWrite Index Roll Information - September 18, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price Underlying Index VWAP
BXM Cboe S&P 500 BuyWrite Index 3339.6 3340 71.7969135802469 3328.09004115226
BXD Cboe Dow Jones BuyWrite Index 278.36 280 5.35 278.77
BXN Cboe Nasdaq-100 BuyWrite Index 10979.25 11000 371.383823529411 10968.2438235294
BXY Cboe S&P 500 2% OTM BuyWrite Index 3339.6 3410 41.5 3341.69
BXR Cboe Russell 2000 BuyWrite Index 1549.9952 1550 41.0074380165289 1545.04252396694
BXNH Cboe NASDAQ-100 Half BuyWrite V2 Index 10979.25 11000 371.383823529411 10968.2438235294
BXMH Cboe S&P 500 Half BuyWrite Index 3339.6 3340 71.7969135802469 3328.09004115226

CBOE S&P 500 Iron Condor Index Roll Information - September 18, 2020

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 2835 3135 3485 3635

CBOE BXRT Index Roll Information - September 18, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
BXRT CBOE Russel 2000 30-Delta BuyWrite v2 Index 1549.9952 1610   1M 0.09

CBOE BuyWrite Index Roll Information - September 18, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price Underlying Index VWAP
BXM CBOE S&P 500 BuyWrite Index 3339.6 3340    
BXD CBOE Dow Jones BuyWrite Index 278.36 280    
BXN CBOE Nasdaq-100 BuyWrite Index 10979.25 11000    
BXY CBOE S&P 500 2% OTM BuyWrite Index 3339.6 3410    
BXR CBOE Russell 2000 BuyWrite Index 1549.9952 1550    
BXNH CBOE Nasdaq-100 Half BuyWrite V2 Index 10979.25 11000    
BXMH CBOE S&P 500 Half BuyWrite Index 3339.6 3340    

CBOE PUTR Index Roll Information - September 18, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
PUTR CBOE Russell 2000 PUTR Index 1549.9952 1540   1M 0.09

CBOE PWT Index Roll Information - September 18, 2020

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 3339.6 3335    

1M 0.09

3M 0.11

CBOE PWT Index Roll Information - September 18, 2020

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 3339.6 3335 78.727222 0.560732416

1M 0.09

3M 0.11

CBOE PUT Index Roll Information - September 18, 2020

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 3339.6 3335 79.72965 0.569037644

1M 0.09

3M 0.11

CBOE PUT Index Roll Information - September 18, 2020

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 3339.6 3335    

1M 0.09

3M 0.11

CBOE PUTR Index Roll Information - August 21, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
PUTR CBOE Russell 2000 PUTR Index 1551.758 1550 41.7 1M 0.08

CBOE BXRT Index Roll Information - August 21, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
BXRT CBOE Russel 2000 30-Delta BuyWrite v2 Index 1551.758 1600 18.4 1M 0.08

CBOE BuyWrite Index Roll Information - August 21, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price Underlying Index VWAP
BXM CBOE S&P 500 BuyWrite Index 3389.66 3390 59.532720232333 3388.7132429816
BXD CBOE Dow Jones BuyWrite Index 278.05 279 4.6 277.71
BXN CBOE Nasdaq-100 BuyWrite Index 11551.38 11575 268.231550802139 11516.08
BXY CBOE S&P 500 2% OTM BuyWrite Index 3389.66 3460 24.8772151898734 3386.25158227848
BXR CBOE Russell 2000 BuyWrite Index 1551.758 1560 36.7115044247787 1552.48682831858

CBOE S&P 500 Iron Condor Index Roll Information - August 21, 2020

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 2895 3210 3500 3610

CBOE BXRT Index Roll Information - August 21, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
BXRT CBOE Russel 2000 30-Delta BuyWrite v2 Index 1551.758 1600   1M 0.08

CBOE PUTR Index Roll Information - August 21, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
PUTR CBOE Russell 2000 PUTR Index 1551.758 1550   1M 0.08

CBOE PWT Index Roll Information - August 21, 2020

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 3389.66 3385    

1M 0.08

3M 0.11

CBOE PUT Index Roll Information - August 21, 2020

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 3389.66 3385    

1M 0.08

3M 0.11

CBOE PWT Index Roll Information - August 21, 2020

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 3389.66 3385 64.381222 0.544411492

1M 0.08

3M 0.11

CBOE PUT Index Roll Information - August 21, 2020

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 3389.66 3385 64.699656 0.552304896

1M 0.08

3M 0.11

CBOE BuyWrite Index Roll Information - August 21, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price Underlying Index VWAP
BXM CBOE S&P 500 BuyWrite Index 3389.66 3390    
BXD CBOE Dow Jones BuyWrite Index 278.05 279    
BXN CBOE Nasdaq-100 BuyWrite Index 11551.38 11575    
BXY CBOE S&P 500 2% OTM BuyWrite Index 3389.66 3460    
BXR CBOE Russell 2000 BuyWrite Index 1551.758 1560    

CBOE PUT Index Roll Information - July 17, 2020

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 3217.83 3215 86.351262 0.570344688

1M 0.12

3M 0.12

CBOE BXRT Index Roll Information - July 17, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
BXRT CBOE Russel 2000 30-Delta BuyWrite v2 Index 1473.5166 1550 28.2 1M 0.12

CBOE BuyWrite Index Roll Information - July 17, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price Underlying Index VWAP
BXM CBOE S&P 500 BuyWrite Index 3217.83 3220 83.2723183391003 3220.55825836216
BXD CBOE Dow Jones BuyWrite Index 267.15 270 6.2 267.03
BXN CBOE Nasdaq-100 BuyWrite Index 10608.09 10625 355.840682414698 10623.405695538
BXY CBOE S&P 500 2% OTM BuyWrite Index 3217.83 3285 47.9350453172205 3218.46634441087
BXR CBOE Russell 2000 BuyWrite Index 1473.5166 1480 58.6522935779816 1477.08168623853

CBOE S&P 500 Iron Condor Index Roll Information - July 17, 2020

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 2665 2995 3370 3530

CBOE BXRT Index Roll Information - July 17, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
BXRT CBOE Russel 2000 30-Delta BuyWrite v2 Index 1473.5166 1550   1M 0.12

CBOE PUTR Index Roll Information - July 17, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
PUTR CBOE Russell 2000 PUTR Index 1473.5166 1470   1M 0.12

CBOE PWT Index Roll Information - July 17, 2020

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 3217.83 3215    

1M 0.12

3M 0.12

CBOE PUT Index Roll Information - July 17, 2020

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 3217.83 3215    

1M 0.12

3M 0.12

CBOE PUTR Index Roll Information - July 17, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
PUTR CBOE Russell 2000 PUTR Index 1473.5166 1470 56.1 1M 0.12

CBOE PWT Index Roll Information - July 17, 2020

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 3217.83 3215 86.194222 0.562247385

1M 0.12

3M 0.12

CBOE BuyWrite Index Roll Information - July 17, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price Underlying Index VWAP
BXM CBOE S&P 500 BuyWrite Index 3217.83 3220    
BXD CBOE Dow Jones BuyWrite Index 267.15 270    
BXN CBOE Nasdaq-100 BuyWrite Index 10608.09 10625    
BXY CBOE S&P 500 2% OTM BuyWrite Index 3217.83 3285    
BXR CBOE Russell 2000 BuyWrite Index 1473.5166 1480    

CBOE PUT Index Roll Information - June 19, 2020

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 3133.45 3130 88.789526 0.570030109

1M 0.13

3M 0.12

CBOE BXRT Index Roll Information - June 19, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
BXRT CBOE Russel 2000 30-Delta BuyWrite v2 Index 1439.6586 1525 23 1M 0.13

CBOE PUTR Index Roll Information - June 19, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
PUTR CBOE Russell 2000 PUTR Index 1439.6586 1435 65.3 1M 0.13

CBOE BuyWrite Index Roll Information - June 19, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price Underlying Index VWAP
BXM CBOE S&P 500 BuyWrite Index 3133.45 3135 77.9102564102564 3114.55084249084
BXD CBOE Dow Jones BuyWrite Index 262.18 265 6.45 261.83
BXN CBOE Nasdaq-100 BuyWrite Index 10087.35 10100 276.843287037037 10083.2272453703
BXY CBOE S&P 500 2% OTM BuyWrite Index 3133.45 3200 48.6170846394984 3130.05567398119
BXR CBOE Russell 2000 BuyWrite Index 1439.6586 1440 62.7088235294117 1437.78999313725

CBOE BXRT Index Roll Information - June 19, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
BXRT CBOE Russel 2000 30-Delta BuyWrite v2 Index 1439.6586 1525   1M 0.13

CBOE PUTR Index Roll Information - June 19, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
PUTR CBOE Russell 2000 PUTR Index 1439.6586 1435   1M 0.13

CBOE PWT Index Roll Information - June 19, 2020

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 3133.45 3130    

1M 0.13

3M 0.12

CBOE PUT Index Roll Information - June 19, 2020

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 3133.45 3130    

1M 0.13

3M 0.12

CBOE S&P 500 Iron Condor Index Roll Information - June 19, 2020

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 2575 2905 3290 3440

CBOE PWT Index Roll Information - June 19, 2020

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 3133.45 3130 88.823111 0.561965482

1M 0.13

3M 0.12

CBOE BuyWrite Index Roll Information - June 19, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price Underlying Index VWAP
BXM CBOE S&P 500 BuyWrite Index 3133.45 3135    
BXD CBOE Dow Jones BuyWrite Index 262.18 265    
BXN CBOE Nasdaq-100 BuyWrite Index 10087.35 10100    
BXY CBOE S&P 500 2% OTM BuyWrite Index 3133.45 3200    
BXR CBOE Russell 2000 BuyWrite Index 1439.6586 1440    

CBOE PUT Index Roll Information - May 15, 2020

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 2831.62 2830 105.020968 0.612513994

1M 0.09

3M 0.12

CBOE PUTR Index Roll Information - May 15, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
PUTR CBOE Russell 2000 PUTR Index 1242.3103 1240 66.9 1M 0.09

CBOE BuyWrite Index Roll Information - May 15, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price Underlying Index VWAP
BXM CBOE S&P 500 BuyWrite Index 2831.62 2835 99.4638075313807 2840.11532078103
BXD CBOE Dow Jones BuyWrite Index 234.74 235 8.2 234.34
BXN CBOE Nasdaq-100 BuyWrite Index 8984.75 9000 338.29720670391 8995.91731843575
BXY CBOE S&P 500 2% OTM BuyWrite Index 2831.62 2890 64.3415714285714 2830.36238571428
BXR CBOE Russell 2000 BuyWrite Index 1242.3103 1245 68.6288659793814 1245.95331340206

CBOE S&P 500 Iron Condor Index Roll Information - May 15, 2020

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 2240 2575 3000 3135

CBOE BXRT Index Roll Information - May 15, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
BXRT CBOE Russel 2000 30-Delta BuyWrite v2 Index 1242.3103 1335   1M 0.09

CBOE PUTR Index Roll Information - May 15, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
PUTR CBOE Russell 2000 PUTR Index 1242.3103 1240   1M 0.09

CBOE PWT Index Roll Information - May 15, 2020

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 2831.62 2830    

1M 0.09

3M 0.12

CBOE PUT Index Roll Information - May 15, 2020

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 2831.62 2830    

1M 0.09

3M 0.12

CBOE BXRT Index Roll Information - May 15, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
BXRT CBOE Russel 2000 30-Delta BuyWrite v2 Index 1242.3103 1335 26.9 1M 0.09

CBOE PWT Index Roll Information - May 15, 2020

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 2831.62 2830 104.339833 0.603841648

1M 0.09

3M 0.12

CBOE BuyWrite Index Roll Information - May 15, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price Underlying Index VWAP
BXM CBOE S&P 500 BuyWrite Index 2831.62 2835    
BXD CBOE Dow Jones BuyWrite Index 234.74 235    
BXN CBOE Nasdaq-100 BuyWrite Index 8984.75 9000    
BXY CBOE S&P 500 2% OTM BuyWrite Index 2831.62 2890    
BXR CBOE Russell 2000 BuyWrite Index 1242.3103 1245    

CBOE BXRT Index Roll Information - April 17, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
BXRT CBOE Russel 2000 30-Delta BuyWrite v2 Index 1214.4226 1305 29.4 1M 0.14

CBOE PUTR Index Roll Information - April 17, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
PUTR CBOE Russell 2000 PUTR Index 1214.4226 1210 67.3 1M 0.14

CBOE BuyWrite Index Roll Information - April 17, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price Underlying Index VWAP
BXM CBOE S&P 500 BuyWrite Index 2840.1 2845 102.632345132743 2842.87731858407
BXD CBOE Dow Jones BuyWrite Index 239.03 240 9.675 239.345
BXN CBOE Nasdaq-100 BuyWrite Index 8778.78 8800 316.042452830188 8760.92317610062
BXY CBOE S&P 500 2% OTM BuyWrite Index 2840.1 2900 72.0488146551724 2840.91195043103
BXR CBOE Russell 2000 BuyWrite Index 1214.4226 1215 72.1821052631579 1218.45601473684

CBOE BXRT Index Roll Information - April 17, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
BXRT CBOE Russel 2000 30-Delta BuyWrite v2 Index 1214.4226 1305   1M 0.14

CBOE S&P 500 Iron Condor Index Roll Information - April 17, 2020

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 2230 2575 3030 3175

CBOE PUTR Index Roll Information - April 17, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
PUTR CBOE Russell 2000 PUTR Index 1214.4226 1210   1M 0.14

CBOE PUT Index Roll Information - April 17, 2020

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 2840.1 2840    

1M 0.14

3M 1.55

CBOE PWT Index Roll Information - April 17, 2020

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 2840.1 2840    

1M 0.14

3M 1.55

CBOE PWT Index Roll Information - April 17, 2020

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 2840.1 2840 109.321 0.582018072

1M 0.14

3M 1.55

CBOE PUT Index Roll Information - April 17, 2020

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 2840.1 2840 109.877738 0.590229438

1M 0.14

3M 1.55

CBOE BuyWrite Index Roll Information - April 17, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price Underlying Index VWAP
BXM CBOE S&P 500 BuyWrite Index 2840.1 2845    
BXD CBOE Dow Jones BuyWrite Index 239.03 240    
BXN CBOE Nasdaq-100 BuyWrite Index 8778.78 8800    
BXY CBOE S&P 500 2% OTM BuyWrite Index 2840.1 2900    
BXR CBOE Russell 2000 BuyWrite Index 1214.4226 1215    

CBOE BXRT Index Roll Information - March 20, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
BXRT CBOE Russel 2000 30-Delta BuyWrite v2 Index 1086.7674 1175 18.3 1M 0.04

CBOE PUTR Index Roll Information - March 20, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
PUTR CBOE Russell 2000 PUTR Index 1086.7674 1085 83 1M 0.04

CBOE BuyWrite Index Roll Information - March 20, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price Underlying Index VWAP
BXM CBOE S&P 500 BuyWrite Index 2450.76 2455 108.764285714285 2385.56155279503
BXD CBOE Dow Jones BuyWrite Index 204.88 205 11.6 201.38
BXN CBOE Nasdaq-100 BuyWrite Index 7482.82 7500 356.805882352941 7358.64279411764
BXY CBOE S&P 500 2% OTM BuyWrite Index 2450.76 2500 93.5960698689956 2400.65887918486
BXR CBOE Russell 2000 BuyWrite Index 1086.7674 1090 52.1291666666666 1062.87772083333

CBOE S&P 500 Iron Condor Index Roll Information - March 20, 2020

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 1775 2140 2710 2935

CBOE BXRT Index Roll Information - March 20, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
BXRT CBOE Russel 2000 30-Delta BuyWrite v2 Index 1086.7674 1175   1M 0.04

CBOE PUTR Index Roll Information - March 20, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
PUTR CBOE Russell 2000 PUTR Index 1086.7674 1085   1M 0.04

CBOE PWT Index Roll Information - March 20, 2020

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 2450.76 2450    

1M 0.04

3M 1.55

CBOE PUT Index Roll Information - March 20, 2020

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 2450.76 2450    

1M 0.04

3M 1.55

CBOE PWT Index Roll Information - March 20, 2020

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 2450.76 2450 170.70889 0.647959391

1M 0.04

3M 1.55

CBOE PUT Index Roll Information - March 20, 2020

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 2450.76 2450 168.5476 0.656966464

1M 0.04

3M 1.55

CBOE BuyWrite Index Roll Information - March 20, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price Underlying Index VWAP
BXM CBOE S&P 500 BuyWrite Index 2450.76 2455    
BXD CBOE Dow Jones BuyWrite Index 204.88 205    
BXN CBOE Nasdaq-100 BuyWrite Index 7482.82 7500    
BXY CBOE S&P 500 2% OTM BuyWrite Index 2450.76 2500    
BXR CBOE Russell 2000 BuyWrite Index 1086.7674 1090    

CBOE S&P 500 Iron Condor Index Roll Information - February 21, 2020

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 2970 3195 3430 3490

CBOE PUT Index Roll Information - February 21, 2020

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 3340.54 3340 48.796012 0.614043137

1M 1.58

3M 1.55

CBOE BXRT Index Roll Information - February 21, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
BXRT CBOE Russel 2000 30-Delta BuyWrite v2 Index 1677.651 1715 13.4 1M 1.58

CBOE PUTR Index Roll Information - February 21, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
PUTR CBOE Russell 2000 PUTR Index 1677.651 1675 25.8 1M 1.58

CBOE BuyWrite Index Roll Information - February 21, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price Underlying Index VWAP
BXM CBOE S&P 500 BuyWrite Index 3340.54 3345 50.4336593317033 3343.40458027709
BXD CBOE Dow Jones BuyWrite Index 289.65 290 4.85 290.29
BXN CBOE Nasdaq-100 BuyWrite Index 9498.59 9500 216.788339222614 9512.72660777385
BXY CBOE S&P 500 2% OTM BuyWrite Index 3340.54 3410 17.0314185228604 3346.51923798358
BXR CBOE Russell 2000 BuyWrite Index 1677.651 1680 31.027027027027 1682.9448

CBOE BXRT Index Roll Information - February 21, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
BXRT CBOE Russel 2000 30-Delta BuyWrite v2 Index 1677.651 1715   1M 1.58

CBOE PUTR Index Roll Information - February 21, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
PUTR CBOE Russell 2000 PUTR Index 1677.651 1675   1M 1.58

CBOE PWT Index Roll Information - February 21, 2020

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 3340.54 3340    

1M 1.58

3M 1.55

CBOE PUT Index Roll Information - February 21, 2020

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 3340.54 3340    

1M 1.58

3M 1.55

CBOE PWT Index Roll Information - February 21, 2020

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 3340.54 3340 48.383444 0.605050802

1M 1.58

3M 1.55

CBOE BuyWrite Index Roll Information - February 21, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price Underlying Index VWAP
BXM CBOE S&P 500 BuyWrite Index 3340.54 3345    
BXD CBOE Dow Jones BuyWrite Index 289.65 290    
BXN CBOE Nasdaq-100 BuyWrite Index 9498.59 9500    
BXY CBOE S&P 500 2% OTM BuyWrite Index 3340.54 3410    
BXR CBOE Russell 2000 BuyWrite Index 1677.651 1680    

CBOE BuyWrite Index Roll Information - January 17, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price Underlying Index VWAP
BXM CBOE S&P 500 BuyWrite Index 3322.89 3325 39.3664716748768 3324.18030788177
BXD CBOE Dow Jones BuyWrite Index 293.44 294 3.1 293.32
BXN CBOE Nasdaq-100 BuyWrite Index 9136.3 9140 151.558839528558 9130.70159564823
BXY CBOE S&P 500 2% OTM BuyWrite Index 3322.89 3390 10.9244215938303 3322.69110539845
BXR CBOE Russell 2000 BuyWrite Index 1701.4794 1705 25.6 1702.57864

CBOE PUT Index Roll Information - January 17, 2020

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 3322.89 3320    

1M 1.51

3M 1.52

CBOE PWT Index Roll Information - January 17, 2020

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 3322.89 3320    

1M 1.51

3M 1.52

CBOE S&P 500 Iron Condor Index Roll Information - January 17, 2020

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 3025 3210 3395 3460

CBOE BXRT Index Roll Information - January 17, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
BXRT CBOE Russel 2000 30-Delta BuyWrite v2 Index 1701.4794 1735   1M 1.51

CBOE PUTR Index Roll Information - January 17, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
PUTR CBOE Russell 2000 PUTR Index 1701.4794 1700   1M 1.51

CBOE PWT Index Roll Information - January 17, 2020

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 3322.89 3320    

1M 1.51

3M 1.52

CBOE PUT Index Roll Information - January 17, 2020

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 3322.89 3320    

1M 1.51

3M 1.52

CBOE PWT Index Roll Information - January 17, 2020

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 3322.89 3320 38.95372 0.599143269

1M 1.51

3M 1.54

CBOE PUT Index Roll Information - January 17, 2020

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 3322.89 3320 39.0619 0.6079715

1M 1.51

3M 1.54

CBOE BXRT Index Roll Information - January 17, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
BXRT CBOE Russel 2000 30-Delta BuyWrite v2 Index 1701.4794 1735 12 1M 1.51

CBOE PUTR Index Roll Information - January 17, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price TBill Discount Rates
PUTR CBOE Russell 2000 PUTR Index 1701.4794 1700 23.4 1M 1.51

CBOE BuyWrite Index Roll Information - January 17, 2020

Index Name Reference Price New Option Strike Price New Option VWAP Price Underlying Index VWAP
BXM CBOE S&P 500 BuyWrite Index 3322.89 3325    
BXD CBOE Dow Jones BuyWrite Index 293.44 294    
BXN CBOE Nasdaq-100 BuyWrite Index 9136.3 9140    
BXY CBOE S&P 500 2% OTM BuyWrite Index 3322.89 3390    
BXR CBOE Russell 2000 BuyWrite Index 1701.4794 1705