CHICAGO, July 29, 2011 /PRNewswire/ -- The Chicago Board Options Exchange (CBOE) today began publishing values for the CBOE VIX Tail Hedge Index(SM) (ticker symbol: VXTH(SM)), the latest addition to a suite of CBOE strategy indexes designed to manage equity risk.

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VXTH, which tracks the performance of a hypothetical S&P 500 investment portfolio protected against tail risk by using VIX calls, provides investors with a benchmark for VIX-based "tail risk" hedge strategies. Tail risk is the risk of a sudden and steep drop in the S&P index.

"CBOE continues to leverage its research and development expertise to further develop the volatility frontier," CBOE Chairman and CEO William J. Brodsky said. "The CBOE VIX Tail Hedge Index was created by our research team in order to help investors control portfolio risk when unusual, high-impact events are on the horizon.  The index also can be used by CBOE and/or licensed to others to create tradable products aimed at hedging tail risk."

The number of VIX calls hypothetically purchased each month as part of the CBOE VIX Tail Hedge Index strategy will depend on the level of forward volatility. If forward volatility is very low or very high – outside of the range of 15 to 50 – no VIX calls will be purchased when the VIX options expire and VXTH "rolls" to the next month. Purchasing the optimal number of VIX calls when VXTH rolls can reduce hedging costs and monetize VIX option profits when extreme volatility levels are reached.

VXTH is the second CBOE index created by CBOE in 2011 to help investors specifically cope with tail risk in the U.S. equity market.  In February, CBOE began publishing values for the CBOE S&P 500 Skew Index(SM) (ticker symbol: SKEW). While both the Skew Index and VXTH address tail risk, Skew is calculated from the price of S&P 500 out-of-the money put options and measures the cost of extreme negative moves in the U.S. equity market. VXTH is a strategy index that helps to manage portfolio risk using out-of-the-money call options overlaid on a hypothetical S&P500 stock portfolio.

For more information on the CBOE VIX Tail Hedge Index, see www.cboe.com/VXTH.

With the addition of the new CBOE VIX Tail Hedge Index, CBOE publishes data on 11 benchmark indexes designed to reflect the investment performance of an option-related strategy. Some of these include the CBOE S&P 500 BuyWrite Index (BXM), CBOE S&P 500 PutWrite Index (PUT), CBOE S&P 500 95-110 Collar Index (CLL) and CBOE VIX Premium Strategy Index (VPD).

CBOE, the largest U.S. options exchange and creator of listed options, continues to set the bar for options trading through product innovation, trading technology and investor education. CBOE offers equity, index and ETF options, including proprietary products, such as S&P 500 options (SPX), the most active U.S. index option, and options on the CBOE Volatility Index (VIX). Other products engineered by CBOE include equity options, security index options, LEAPS options, FLEX options, and benchmark products such as the CBOE S&P 500 BuyWrite Index (BXM). CBOE's Hybrid Trading System incorporates electronic and open-outcry trading and is powered by CBOEdirect, a proprietary, state-of-the-art electronic platform that also supports the CBOE Futures Exchange (CFE), C2 Options Exchange (C2), CBOE Stock Exchange (CBSX) and OneChicago. CBOE is home to the world-renowned Options Institute and www.cboe.com, named "Best of the Web" for options information and education.

CBOE is regulated by the Securities and Exchange Commission (SEC), with all trades cleared by the AAA-rated OCC.

CBOE®, Chicago Board Options Exchange®, CBSX®, CBOE Stock Exchange®, CFE®, CBOEdirect®, FLEX®, Hybrid®, LEAPS®, CBOE Volatility Index® and VIX® are registered trademarks, and BuyWrite, BXM, C2 Options Exchange, C2, CBOE Futures Exchange, CLL, PUT, PutWrite, SKEW, SPX, The Options Institute, VPD, and VXTH are servicemarks of Chicago Board Options Exchange, Incorporated (CBOE). Standard & Poor's®, S&P® and S&P 500® are registered trademarks of Standard & Poor's Financial Services, LLC and have been licensed for use by CBOE.

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SOURCE Chicago Board Options Exchange