CBOE Low Volatility Index

The CBOE Low Volatility Index (ticker symbol LOVOL) is a benchmark index that was designed for investors whose preferences shifted from investing in riskier assets to lower-volatility assets. The index aims to provide investors with the ability to replicate an investment strategy that is subject to less downside volatility in a portfolio of S&P 500 stocks, while still preserving the bulk of market gains.[1]

The index tracks the S&P 500, plus the returns of a covered call strategy of selling bullish options, plus buying disaster insurance options on the VIX index.[2]

The Chicago Board Options Exchange began disseminating values for the index on Nov. 30, 2012.

References

  1. CBOE To Introduce CBOE Low Volatility Index. Yahoo! Finance.
  2. CBOE, Makers of VIX, To Launch a Fearless Index. Barron's.
Last modified on 30 November 2012, at 05:42