Cboe NASDAQ-100 Half BuyWrite V2 Index

Index Description

The Cboe Nasdaq-100 Half BuyWrite V2 Index (BXNH) measures the total rate of return of a Nasdaq-100 covered call strategy. This strategy (“BXNH covered call strategy”) consists of holding a portfolio indexed to the Nasdaq-100 and selling a succession of one-month at-the-money Nasdaq-100 (NDX) call options listed on the PHLX exchange. The BXNH Index is similar in design to the Cboe Nasdaq-100 BuyWrite V2 Index (BXNT). However, the difference in methodology is as follows: on the Roll Day, the strategy only writes half a unit of an ATM monthly NDX Call option while the long NDX Index position remains unchanged. The BXNH index is based on the cumulative gross rate of return of this strategy since the inception of the index. The BXNH Index does not use contributed input data, and all input data is readily available via public sources. The BXNH Index is non-significant, as defined by EU Regulation 2016/1011 (“EU Benchmark Regulation” or “EU BMR”).