Cboe S&P 500 Dispersion Index
Methodology

August 2024
S&P Dow Jones Indices: Index Methodology

Table of Contents
Introduction

2
Index Objective

2

Data Source

2

Collaboration2

Supporting Documents

2

Eligibility Criteria

3

Index Universe

3

Multiple Share Classes and Dual Listed Companies

3

Index Construction
Individual Stock Variance Calculation

Index Maintenance

4
6

9

Rebalancing

9Additions and Deletions

9

Corporate Actions

9

Base Date and History Availability

9

Index GovernanceIndex Committee

Index Policy

10
10

11
Announcements

11

Holiday Schedule

11

Unexpected Exchange Closures

11

Recalculation Policy

11Real-Time Calculation

11

Contact Information

11

Index Dissemination

12

Tickers

12

Index Data

12

Web Site

12Disclaimer

13
Performance Disclosure/Back-Tested Data

13Intellectual Property Notices/Disclaimer

14

ESG Indices Disclaimer

16

S&P Dow Jones Indices: Cboe S&P 500 Dispersion Index Methodology

1Introduction
Index Objective
The Cboe S&P 500 Dispersion Index, also called the Dispersion Index or DSPXSM, measures the
expected dispersion in the S&P 500® over the next 30 calendar days, as derived from the prices of
options on the S&P 500 and selected S&P 500 constituents using a modified VIX® methodology.
Data Source
Equity options data are sourced from the Options Price Reporting Authority (OPRA). The level of VIX issourced from Cboe, Exchange, Inc. (“Cboe”).
Collaboration
The Cboe S&P 500 Dispersion Index is generated and published under agreements between Cboe andS&P Dow Jones Indices. Eligible constituents are selected, and index level is calculated by Cboe
according to the rules in this methodology. S&P Dow Jones Indices thanks Cboe for its contributions to
the development and the calculation of the Cboe S&P 500 Dispersion Index.
Supporting Documents
This methodology is meant to be read in conjunction with supporting documents providing greater detailwith respect to the policies, procedures and calculations described herein. References throughout themethodology direct the reader to the relevant supporting document for further information on a specifictopic. The list of the main supplemental documents for this methodology and the hyperlinks to those
documents is as follows:
Supporting Document
S&P Dow Jones Indices’ Equity Indices Policies &Practices Methodology
S&P Dow Jones Indices’ Index Mathematics
Methodology
S&P Dow Jones Indices’ Float Adjustment
Methodology
S&P Dow Jones Indices’ Options Indices
Policies & Practices Methodology

URL
Equity Indices Policies & Practices
Index Mathematics Methodology
Float Adjustment Methodology
Options Indices Policies & Practices Methodology

This methodology was created by S&P Dow Jones Indices and Cboe to achieve the aforementioned
objective of measuring the underlying interest of each index governed by this methodology document.
Any changes to or deviations from this methodology are made in the sole judgment and discretion of S&P
Dow Jones Indices so that the index continues to achieve its objective.
DSPX and DSPBX are trademarks of Standard and Poor’s Financial Services LLC.
Cboe, Cboe Volatility Index and VIX are registered trademarks of Cboe Exchange, Inc. and have been
licensed for use by S&P Dow Jones Indices.

S&P Dow Jones Indices: Cboe S&P 500 Dispersion Index Methodology

2Eligibility Criteria
The Cboe S&P 500 Dispersion Basket Index
The Cboe S&P 500 Dispersion Basket Index, also called the Dispersion Basket Index or DSPBX,
measures the performance of a subset of S&P 500 (the Underlying Index) constituents that have a wide
range of quoted call and put options with expiry dates between 10 and 120 calendar days. The index
provides a representative universe of large-cap U.S. equities conducive to the calculation of the 30-day
implied dispersion of the S&P 500.
For more details, see the Cboe S&P 500 Dispersion Basket Index Methodology, available here.
Index Universe
The index universe consists of listed options on the S&P 500 (in particular, those used to calculate the
VIX index levels) and listed options on all constituents of the Basket Index, subject to further eligibility
criteria as described in the following sections and adjusted for any composition changes due to thecurrent rebalancing.
Multiple Share Classes and Dual Listed Companies
Options on all publicly listed multiple share class lines are eligible for index inclusion, subject to meetingthe eligibility criteria. For more information regarding the treatment of multiple share classes, please refer
to Approach A within the Multiple Share Classes section of the S&P Dow Jones Indices’ Equity Indices
Policies & Practices Methodology.

S&P Dow Jones Indices: Cboe S&P 500 Dispersion Index Methodology

3Index Construction
Outline of the Dispersion Index Methodology
The Dispersion Index calculates as the square root of the difference between (i) the weighted average
expected variance of constituents of the Basket Index – ranging among all such constituents whose
expected variance can be calculated at that point in time – and (ii) the expected variance of the S&P 500,
as represented by the square of the current level of the Cboe Volatility Index (“VIX”). The Dispersion
Index is floored at zero.
The index calculates according to the following formula:
𝐿
2
𝐷𝑆𝑃𝑋 = 100 ∗ √max (∑ 𝑤𝑖 𝜎̂𝑖,30− 𝑉𝐼𝑋 2 , 0)𝑖=1

where, among other conditions detailed in the subsequent sections:2𝜎̂𝑖,30= A current or recent estimate of 30-day variance for each constituent i of the Basket
Index, based on a version of the VIX methodology, provided such a variance calculation
is available (see Valid Variance Condition and Pulled-Forward Variance sections).

𝑤𝑖= The FMC weight of each constituent as a proportion of the total weight of constituentsfrom the Basket Index included in the calculation at that point in time.

𝑉𝐼𝑋= The Cboe Volatility Index (VIX) index value.

Further conditions and details of the calculation are provided below and are integrated into the Calculating
the Dispersion Index section.
Terminology: Options, Classes, Strips, Valid Quotes and Valid Option Strips
Only standard monthly, standard quarterly, and Friday weekly call and put options linked to members of theBasket Index that are listed on U.S. exchanges are eligible for consideration.
For any member of the index universe on any trading day, the “option class” associated to that constituent is theset of all options sharing that underlying.
Within a specific option class, an “option strip” refers to all the options in that class sharing a particular expiry
date.
Within a specific option strip, a “valid quote” is defined as a two-sided quote in which the ask price is non-zero andis greater than or equal to the bid price.
At any point in time, a strip of options is said to be a “valid strip” if there is at least one strike in that strip for which
there is a valid quote for both the put and call.
Note: These definitions may be compared with the definition of a “valid option” as described in the Valid Options
for the Valid Variance Condition section.

S&P Dow Jones Indices: Cboe S&P 500 Dispersion Index Methodology

4Selection of Option Expiration Dates
At each point in time and for each constituent of the Basket Index, if possible, two valid option strips withstandard third Friday expiration are selected as the “Near Term” and “Next Term” maturities, respectively.
The Near Term expiration must have 10 or more days to expiry and 30 or fewer days to expiry, and the
Next Term expiration must have more than 30 days to expiry and 120 or fewer days to expiry. If there are
no standard expirations satisfying these conditions, the closest eligible weekly Friday expiration to 30
days that satisfies the condition is used. Finally, if there are no possible Near Term or no possible Next
Term expirations including weeklies that satisfy the condition, the constituent is dropped from thecalculation.
The Implied Forward
For any valid option strip, an implied forward for the underlying stock calculates using put-call parity on
the strike where the absolute difference between the call and put mid-price is minimized, provided that
option has a valid quote. If there are multiple strikes with the same difference between the call and put
mid-price, the lowest strike is selected. The implied forward for an option strip j is equal to:
𝐹𝑗 = 𝐾𝑗 + 𝑒 𝑟T ∗ (𝐶𝑗 − 𝑃𝑗 )where:
𝐹𝑗= The implied forward

𝐾𝑗 = The strike price at which the absolute difference between the call and put option mid-price isminimized
𝐶𝑗= The call midprice at strike 𝐾𝑗

𝑃𝑗= The put midprice at strike 𝐾𝑗𝑟= The same interest rate associated to the time horizon T used in the VIX calculation1

T= The annualized time to expiry given by:𝑇=

𝑀𝑖𝑛𝑢𝑡𝑒𝑠 𝑖𝑛 𝐶𝑢𝑟𝑟𝑒𝑛𝑡 𝐷𝑎𝑦 + 𝑀𝑖𝑛𝑢𝑡𝑒𝑠 𝑖𝑛 𝑆𝑒𝑡𝑡𝑙𝑒𝑚𝑒𝑛𝑡 𝐷𝑎𝑦 + 𝑀𝑖𝑛𝑢𝑡𝑒𝑠 𝑖𝑛 𝑂𝑡ℎ𝑒𝑟 𝐷𝑎𝑦𝑠
𝑀𝑖𝑛𝑢𝑡𝑒𝑠 𝑖𝑛 𝑎 𝑌𝑒𝑎𝑟ATM Options and OTM Options
For each valid option strip, the ATM (at-the-money) call option and ATM put option, and the associatedstrike 𝐾𝑧𝑒𝑟𝑜 , are identified by taking the strike at or directly below the implied forward.
OTM (out-of-the-money) options for that strip are identified by selecting all calls with strikes greater than𝐾𝑧𝑒𝑟𝑜 and put strikes less than 𝐾𝑧𝑒𝑟𝑜 .
Valid Options for the Valid Variance Condition
At any point in time, for each valid option strip on a particular equity constituent, the options are filtered insequence by the following rules:

1•

Filter out any OTM call options with strikes higher than two consecutive OTM call options withzero bids, even if they have non-zero bids.

•

Filter out any OTM put options with strikes lower than two consecutive OTM put options with zerobids, even if they have non-zero bids.

•

Filter out any remaining options without valid quotes.

For more details, please refer to the Cboe Volatility Index Mathematics Methodology, available here.

S&P Dow Jones Indices: Cboe S&P 500 Dispersion Index Methodology

5•Filter out any remaining options with zero bids.

The remaining OTM call and put options, as well as the ATM option, are “valid options” for the purposesof calculating the Valid Variance Condition on that constituent at that point in time.
Valid Variance Condition
At any point that the Dispersion Index calculates for a given constituent in the Basket Index, that
constituent is said to have a “valid variance” at that time if there is a Near Term options strip and a Next
Term options strip which are both valid options strips, and both strips have, firstly, a valid quote for the
ATM call option and the ATM put option and, secondly, at least three OTM call options that are valid
options, and finally, at least three OTM put options that are valid options.
Individual Stock Variance Calculation
At any point that the Dispersion Index calculates, for each constituent i of the Basket Index that has avalid variance at that point in time, an expected variance 𝝈𝟐𝒊,𝟑𝟎 for that constituent calculates based on theprices of valid options in the Near Term and Next Term options strips according to the following two steps:
1) Calculate the Near Term and Next Term variance contribution for stock 𝑖:
2
𝜎𝑖,𝑁𝑒𝑎𝑟=2
𝜎𝑖,𝑁𝑒𝑥𝑡
=

2
𝑇𝑁𝑒𝑎𝑟
2

𝑀

∑[
𝑘

Δ𝐾𝑘,𝑁𝑒𝑎𝑟1
𝐹𝑁𝑒𝑎𝑟∗ 𝑒 𝑟𝑁𝑒𝑎𝑟𝑇𝑁𝑒𝑎𝑟 ∗ 𝑄(𝐾𝑘,𝑁𝑒𝑎𝑟 )] −(− 1)
2
𝑇𝑁𝑒𝑎𝑟 𝐾𝑍𝑒𝑟𝑜,𝑁𝑒𝑎𝑟
𝐾𝑘,𝑁𝑒𝑎𝑟𝑀

Δ𝐾𝑘,𝑁𝑒𝑥𝑡
1
𝐹𝑁𝑒𝑥𝑡
∑[ 2
∗ 𝑒 𝑟𝑁𝑒𝑥𝑡𝑇𝑁𝑒𝑥𝑡 ∗ 𝑄(𝐾𝑘,𝑁𝑒𝑥𝑡 )] −
(
− 1)
𝑇𝑁𝑒𝑥𝑡
𝑇
𝐾
𝐾𝑘,𝑁𝑒𝑥𝑡
𝑁𝑒𝑥𝑡
𝑍𝑒𝑟𝑜,𝑁𝑒𝑥𝑡22𝑘where:
2
2
𝜎𝑖,𝑁𝑒𝑎𝑟, 𝜎𝑖,𝑁𝑒𝑥𝑡= The near term and next term variance of stock i respectively.

𝑇𝑁𝑒𝑎𝑟 , 𝑇𝑁𝑒𝑥𝑡
respectively.

= The annualized time to expiry for the Near Term and Next Term strips,

𝑟𝑁𝑒𝑎𝑟 , 𝑟𝑁𝑒𝑥𝑡
respectively.2= The interest rates associated to the Near Term and Next Term maturities,

𝐾𝑘,𝑗= The strike of valid option 𝑘 and for maturity 𝑗.

Δ𝐾𝑘,𝑗= The strike increment called Delta K associated to the option with maturity 𝑗 andstrike 𝐾𝑘,𝑗 . Delta K calculates by taking half of the difference between the strikeprices on either side of 𝐾𝑘,𝑗 . When a strike 𝐾𝑘,𝑗 has only one strike bordering it, asimple difference is taken to calculate Delta K.

𝑄(𝐾𝑘,𝑗 )= The option mid-price at strike 𝐾𝑘,𝑗 . If the strike is below the ATM option strike,then the put mid-price is used. If the strike is above the ATM option strike, then acall mid-price is used. If the strike is equal to the ATM strike, the midpoint of thecall and put mid-price is taken.

𝐹𝑁𝑒𝑎𝑟 , 𝐹𝑁𝑒𝑥𝑡= The implied forward for the Near Term and Next Term strips, respectively.

𝐾𝑧𝑒𝑟𝑜= The strike of the ATM option.

2

The same interest rate calculation method used in VIX is used here. For more details, please refer to the Cboe Volatility Index
Mathematics Methodology, available here.

S&P Dow Jones Indices: Cboe S&P 500 Dispersion Index Methodology

622) After the Near Term and Next Term variance contributions calculate, a 30-day variance 𝜎𝑖,30
calculates as a weighted average of the Near Term and Next Term variances, weighted by their time
to expiration and annualized as shown in the formula below:
2
2
𝜎𝑖,30
= {𝑇𝑁𝑒𝑎𝑟 𝜎𝑖,𝑁𝑒𝑎𝑟[(𝑁𝑁𝑒𝑥𝑡 − 𝑁30 )(𝑁30 − 𝑁𝑁𝑒𝑎𝑟 )𝑁365
2] + 𝑇𝑁𝑒𝑥𝑡 𝜎𝑗,𝑁𝑒𝑥𝑡[]} ×(𝑁𝑁𝑒𝑥𝑡 − 𝑁𝑁𝑒𝑎𝑟 )(𝑁𝑁𝑒𝑥𝑡 − 𝑁𝑁𝑒𝑎𝑟 )𝑁30

where:
𝑁𝑁𝑒𝑎𝑟= The number of minutes until expiration of the Near Term options

𝑁𝑁𝑒𝑥𝑡= The number of minutes until expiration of the Next Term options

𝑁30= The number of minutes in the given 30-day term

𝑁365

= The number of minutes in a calendar year (525,600)

2
Note: Providing such calculation is completed, the value 𝜎𝑖,30
is said to be the “valid variance” associatedto the constituent i at that point in time.

Pulled-Forward Variance
At each point in time, for each constituent of the Basket Index, if that constituent does not have a valid
variance (see section Valid Variance Condition), then a “pulled-forward variance” – equal to a valid
variance for that constituent calculated at an earlier point in time – may be used. The conditions underwhich a pulled forward value may be used are as follows:
Intraday Index and End of Day Index level
At any point that the Dispersion Index calculates, if there is a constituent of the Basket Index without avalid variance, then one of three calculations will be conducted:a) If a valid variance was available for that constituent earlier in that trading day3, then the mostrecently available valid variance will be used.
b) If no valid variance was available for that constituent earlier in that trading day, but a valid
variance for that constituent was used in the calculation of the End of Day Index level at the closeon the prior trading day, then that valid variance will be used.
c) Otherwise, that constituent will be excluded from the calculation at that point in time and theweight of the remaining constituents will be reweighted in the calculation.
Additionally, if either condition (a) or (b) applies, the resulting value for that constituent’s variance used in
the calculation will be called a “pulled-forward variance”. Accordingly, the maximum length of time that a
Basket Index constituent can have a pulled-forward variance is from first calculation of the index on any
trading day (when a value from the prior day’s close may be used), up to and including the close of thesame trading day.
For avoidance of doubt: In any calculation of the Index, any then-current constituent of the Basket Index
that does have a valid variance at that point in time will have that variance included in the calculation,even if that constituent had previously been excluded or had a pulled-forward variance.
Back-Tested End of Day Index level
For the calculation of Back-Tested End of Day Index Levels, rather than calculating regularly throughout
the trading day, a single hypothetical index calculation was run on the data current at 2:58pm Chicago
time (i.e., two minutes prior to the equity market close at 3pm Chicago / 4pm New York), and again at themarket close. For each day in the back-test period, any constituent of the Basket Index without a valid
3

The dissemination of Dispersion Index levels begins at 9:45 a.m. New York time, but a valid variance, if available, may be pulledfrom earlier calculations, up to the market open, i.e., 9:30 a.m. New York time at the earliest.

S&P Dow Jones Indices: Cboe S&P 500 Dispersion Index Methodology

7variance at the market close, but with a valid variance available at 2:58pm, had that earlier variancepulled forward. Any constituent of the Basket Index without a valid variance at the close, and without avalid variance at the earlier calculation point that day, was excluded from the calculation for that day, withthe weight of the remaining constituents reweighted accordingly in the final calculation.
Calculating the Dispersion Index
At any point that the Dispersion Index is calculated, it calculates according to the formula as introduced in
the Outline of Methodology section:
𝐿
2
𝐷𝑆𝑃𝑋 = 100 ∗ √max (∑ 𝑤𝑖 𝜎̂𝑖,30− 𝑉𝐼𝑋 2 , 0)𝑖=1

where:•

𝑖 = 1, ⋯ , 𝐿 represent the constituents of the Basket Index currently included in the calculation.

•

2
2
If the constituent i has a valid variance, then 𝜎̂𝑖,30= 𝜎𝑖,30
is equal to the then-current 30-day
2variance (see Individual Stock Variance Calculation section). Otherwise 𝜎̂𝑖,30
is a pulled-forward
variance (see Pulled-Forward Variance section).

•

𝑤𝑖 = The FMC weight for stock i, calculated as a proportion of the sum of the FMC of the L
constituents of the Basket Index whose variance is included in the calculation at that point in time(including constituents with pulled-forward variance).4•

𝑉𝐼𝑋 = The Cboe Volatility Index (VIX) index value.

And additionally:•If, at any time, there is not a valid variance nor an available pulled-forward variance for any
constituent of the Basket Index, then the Dispersion Index does not calculate and further updates
to the index level is suspended until such time as a valid variance is available.

•

If the VIX has suspended publication, the Dispersion Index also suspends publication.

4

The weights of each constituent may fluctuate intraday due to the impact of intraday equity price changes on constituent FMC. Additions anddeletions from the Basket Index effective at the close on any day will not be reflected in the Dispersion Index until the first calculation on thefollowing trading day.

S&P Dow Jones Indices: Cboe S&P 500 Dispersion Index Methodology

8Index MaintenanceRebalancing
The index rebalances at each calculation time.
Additions and Deletions
Constituents added or removed from the Basket Index will have their contribution to the calculation of the
Dispersion Index adjusted at the open on the following trading day.
For details on additions and deletions to the Basket Index, see the Cboe S&P 500 Dispersion Basket
Index Methodology, available here.
Corporate Actions
The equity option classes used to calculate DSPX may be changed to reflect corporate actions, including
stock splits, special dividends, merger & acquisition, spin-offs, and delisting. Adjusted options classes will
be used to calculate DSPX until unadjusted series with same expiration date are available for trading.
For more information on Corporate Actions, please refer to the Market Capitalization Indices section of
S&P Dow Jones Indices’ Equity Indices Policies & Practices Methodology.
Base Date and History Availability
The index history availability, base date, and base value are shown in the table below.

Index
Cboe S&P 500 Dispersion Index

Launch Date
09/27/2023

First Value
Date
06/19/2014

Base
Date
06/19/2014

The methodology for the Back-Tested End of Day index level differs in an important respect from the live
Index levels. In particular, the Intraday and End of Day Index levels may have inputs representing 30-day
variance estimates for Basket Index constituents that are “pulled forward” from various possible earlier
points in time (see Valid Variance Condition, Pulled-Forward Variance, and Calculating the Dispersion
Index sections). The Back-Tested End of Day Index level may only contain inputs that are “pulledforward” by approximately two minutes from just before to the market close, to the market close.

S&P Dow Jones Indices: Cboe S&P 500 Dispersion Index Methodology

9Index GovernanceIndex Committee
An S&P Dow Jones Indices’ Index Committee maintains the index. All committee members are full-time
professional members of S&P Dow Jones Indices’ staff or full-time professional members of Cboe’s staff.
The Index Committee meets regularly. At each meeting, the Committee reviews pending corporate
actions that may affect index constituents, statistics comparing the composition of the indices to themarket, companies that are being considered as candidates for addition to the indices, and any significant
market events. In addition, the Index Committee may revise index policy covering rules for selecting
companies, treatment of dividends, share counts or other matters.
S&P Dow Jones Indices considers information about changes to its indices and related matters to bepotentially market moving and material. Therefore, all Index Committee discussions are confidential.
S&P Dow Jones Indices’ Index Committees reserve the right to make exceptions when applying themethodology if the need arises. In any scenario where the treatment differs from the general rules statedin this document or supplemental documents, clients will receive sufficient notice, whenever possible.
In addition to the daily governance of indices and maintenance of index methodologies, at least once
within any 12-month period, the Index Committee reviews the methodology to ensure the indices continue
to achieve the stated objectives, and that the data and methodology remain effective. In certain instances,
S&P Dow Jones Indices may publish a consultation inviting comments from external parties.
For information on Quality Assurance and Internal Reviews of Methodology, please refer to S&P Dow
Jones Indices’ Options Indices Policies & Practices Methodology.

S&P Dow Jones Indices: Cboe S&P 500 Dispersion Index Methodology

10Index Policy
Announcements
S&P DJI notifies clients either via email or, in certain instances, via Index Announcements, which are alsoavailable at www.spglobal.com/spdji.
Announcement Type
Policy or methodology change
Product Enhancements
Rebalancing and Index Holiday
Calendars

Notification
At least two weeks’ notice
Five-to-seven business days

Frequency
As needed
As needed

December for the following year

AnnualFor more information, please refer to the Announcements sections of S&P Dow Jones Indices’ Equity
Indices Policies & Practices Methodology and the S&P Dow Jones Indices’ Options Indices Policies &Practices Methodology, respectively.
Holiday Schedule
The index calculates daily, throughout the calendar year, when the U.S. equity markets are open.
A complete holiday schedule for the year is available on S&P Dow Jones Indices’ Web site atwww.spglobal.com/spdji/.
Unexpected Exchange Closures
For information on Unexpected Exchange Closures, please refer to S&P Dow Jones Indices’ Equity
Indices Policies & Practices Methodology and the S&P Dow Jones Indices’ Options Indices Policies &Practices Methodology, respectively.
Recalculation Policy
For information on the recalculation policy, please refer to S&P Dow Jones Indices’ Equity Indices
Policies & Practices Methodology and the S&P Dow Jones Indices’ Options Indices Policies & Practices
Methodology.
Real-Time Calculation
An “Intraday” level for the Dispersion Index updates regularly during each U.S. equity market trading dayfrom 9:45 a.m. until 4:00 p.m. New York time. A distinct “End of Day” level for the Dispersion Index
publishes after the market close.
For information on Calculations and Pricing Disruptions, Expert Judgment and Data Hierarchy, pleaserefer to S&P Dow Jones Indices’ Equity Indices Policies & Practices Methodology.
Contact Information
For questions regarding an index, please contact: index_services@spglobal.com.

S&P Dow Jones Indices: Cboe S&P 500 Dispersion Index Methodology

11Index Dissemination
Index levels are available through Cboe’s Web site at www.cboe.com major quote vendors (see codes
below), numerous investment-oriented Web sites, and various print and electronic media.
Tickers
The table below lists headline indices covered by this document. All versions of the below indices that
may exist are also covered by this document. Please refer to the S&P DJI Methodology & Regulatory
Status Database for a complete list of indices covered by this document.
Index
Cboe S&P 500 Dispersion Index

BBG
DSPX

RIC
.DSPX

Index Data
Index levels and data are available via subscription.
For product information, please contact S&P Dow Jones Indices, www.spglobal.com/spdji/en/contact-us.
Web SiteFor further information, please refer to S&P Dow Jones Indices’ Web site at www.spglobal.com/spdji/.

S&P Dow Jones Indices: Cboe S&P 500 Dispersion Index Methodology

12Disclaimer
Performance Disclosure/Back-Tested Data
Where applicable, S&P Dow Jones Indices and its index-related affiliates (“S&P DJI”) defines various
dates to assist our clients by providing transparency. The First Value Date is the first day for which there
is a calculated value (either live or back-tested) for a given index. The Base Date is the date at which theindex is set to a fixed value for calculation purposes. The Launch Date designates the date when thevalues of an index are first considered live: index values provided for any date or time period prior to theindex’s Launch Date are considered back-tested. S&P DJI defines the Launch Date as the date by which
the values of an index are known to have been released to the public, for example via the company’s
public website or its data feed to external parties. For Dow Jones-branded indices introduced prior to May
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have been prior to the Index’s public release date.
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Information presented prior to an index’s launch date is hypothetical back-tested performance, not actual
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Typically, when S&P DJI creates back-tested index data, S&P DJI uses actual historical constituent-level
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data for the calculation of back-tested historical performance. “Backward Data Assumption” is a processthat applies the earliest actual live data point available for an index constituent company to all priorhistorical instances in the index performance. For example, Backward Data Assumption inherently
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methodology and factsheets of any index that employs backward assumption in the back-tested history
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13will explicitly state so. The methodology will include an Appendix with a table setting forth the specificdata points and relevant time period for which backward projected data was used. Index returns shown
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and calculates the index levels and performance shown or discussed but does not manage any assets.
Index returns do not reflect payment of any sales charges or fees an investor may pay to purchase thesecurities underlying the Index or investment funds that are intended to track the performance of theIndex. The imposition of these fees and charges would cause actual and back-tested performance of the
securities/fund to be lower than the Index performance shown. As a simple example, if an index returned
10% on a US $100,000 investment for a 12-month period (or US $10,000) and an actual asset-based feeof 1.5% was imposed at the end of the period on the investment plus accrued interest (or US $1,650), thenet return would be 8.35% (or US $8,350) for the year. Over a three-year period, an annual 1.5% fee
taken at year end with an assumed 10% return per year would result in a cumulative gross return of
33.10%, a total fee of US $5,375, and a cumulative net return of 27.2% (or US $27,200).
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EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF
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15thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy,completeness, merchantability, or fitness for a particular purpose with respect to any of such standard orclassification. Without limiting any of the foregoing, in no event shall MSCI, S&P DJI, any of their affiliates
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S&P DJI provides indices that seek to select, exclude, and/or weight index constituents based on, but notlimited to, certain environmental, social or governance (ESG) indicators, or a combination of thoseindicators, including the following: environmental indicators (including the efficient use of natural
resources, the production of waste, greenhouse gas emissions, or impact on biodiversity); social
indicators (such as, inequality and investment in human capital); governance indictors (such as soundmanagement structures, employee relations, remuneration of staff, tax compliance, respect for humanrights, anti-corruption and anti-bribery matters), specific sustainability or values-related company
involvement indicators (for example, production/distribution of controversial weapons, tobacco products,
or thermal coal), or controversies monitoring (including research of media outlets to identify companies
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governance’, ‘no adverse environmental, social and/or other impacts’, or other equivalently labelled
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16objectives. Furthermore, the legal and/or market position on what constitutes an ‘ESG’, ‘sustainable’,‘good governance’, ‘no adverse environmental, social and/or other impacts’, or other equivalently labelledobjectives may change over time, especially as further regulatory or industry rules and guidance areissued and the ESG sustainable finance framework becomes more sophisticated.
Prospective users of an S&P DJI ESG Index are encouraged to read the relevant index methodology andrelated disclosures carefully to determine whether the index is suitable for their potential use case orinvestment objective.

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