Benchmark Indexes

Cboe offers dozens of benchmark indexes that show the performance of hypothetical strategies using index options or VIX® Futures, including:

VIX-Related Benchmark Indexes BuyWrite Indexes VPDSM – Cboe VIX Premium Strategy Index SM BXM – Cboe S&P 500 BuyWrite Index® VPNSM – Cboe Capped VIX Premium Strategy Index SM BXD – Cboe DJIA BuyWrite Index VXTHSM – Cboe VIX Tail Hedge Index SM BXMD – Cboe S&P 500 30-Delta BuyWrite Index LOVOLSM – Cboe Low Volatility Index SM BXR – Cboe Russell 2000 BuyWrite Index VSTGSM – Cboe VIX Strangle Index BXRDSM – Cboe Russell 2000 30-Delta BuyWrite Index BXYSM – Cboe S&P 500 2% OTM BuyWrite Index Target Outcome Indexes BYEASM - Cboe MSCI EAFE 2% OTM BuyWrite Index SPROSM – Cboe S&P 500 Buffer Protect Index Balanced Series BYEFSM - Cboe MSCI Emerging Markets 2% OTM BuyWrite Index SPENSM – Cboe S&P 500 Enhanced Growth Index Balanced Series SPRISM – Cboe S&P 500 Range Bound Premium Income Index Series PutWrite Indexes SM SPAI – Cboe S&P 500 Dividend Aristocrats Target Income Index PDEASM - Cboe MSCI EAFE 20-Delta PutWrite Index SUPDNSM – Cboe S&P 500 Enhance & Buffer Index PDEFSM - Cboe MSCI Emerging Markets 20-Delta PutWrite Index SM Other Cboe Benchmark Indexes PUT – Cboe S&P 500 PutWrite Index PUTRSM – Cboe Russell 2000 PutWrite Index CMBOSM – Cboe S&P 500 Covered Combo Index WPUTSM – Cboe S&P 500 One-Week PutWrite Index BFLYSM – Cboe S&P 500 Iron Butterfly Index WPTRSM – Cboe Russell 2000 One-Week PutWrite Index CNDRSM – Cboe S&P 500 Iron Condor Index CLLSM – Cboe S&P 500 95-110 Collar Index Put Protection Index CLLRSM – Cboe Russell 2000 Zero-Cost Put Spread Collar Index CLLZSM – Cboe S&P 500 Zero-Cost Put Spread Collar SM PPUT – Cboe S&P 500 5% Put Protection Index RXMSM – Cboe S&P 500 Risk Reversal Index

Mutual Funds – Visit www.cboe.com/funds for testimonials and links to a study on the use of options by mutual funds. Hedge Funds – For information on the four indexes designed to show the performance of select hedge funds that invest in volatility– based strategies, please visit www.cboe.com/EH. Cboe Eurekahedge Short Volatility Index Cboe Eurekahedge Long Volatility Index Cboe Eurekahedge Relative Value Volatility Index Cboe Eurekahedge Tail Risk Index

Annualied Returns tandard eviations une 0, 19 - ec. 1, 2019 une 0, 19 - ec. 1, 2019 6 of the 7 top indexes below use SPX options The 6 indexes with lowest volatility below use SPX options BXM - Cboe P 00 0-elta BuyWrite Index 10.6% PT - Cboe P 00 PutWrite Index 9.9%

P 00 Index 10.4% BXM - Cboe P 00 BuyWrite Index 10.5%

PT - Cboe P 00 PutWrite Index 9.7% CMBO - Cboe P 00 Covered Combo Index 10.9%

CMBO - Cboe P 00 Covered Combo Index 9.5% C - Cboe P 00 ero-Cost Put pread Collar 11.4%

BXM - Cboe P 00 BuyWrite Index 8.7% PPT - Cboe P 00 Put Protection Index 12.1%

C - Cboe P 00 ero-Cost Put pread Collar 7.5% BXM - Cboe P 00 0-elta BuyWrite Index 12.8%

PPT - Cboe P 00 Put Protection Index 7.2% P 00 Index 14.9%

MCI EAFE 6.4% MCI EAFE 16.9%

P CI 3.6% P CI 20.2%

Total return indexes pre-tax. Past performance is not predictive of future returns. Total return indexes pre-tax. Past performance is not predictive of future returns. ources Bloomberg and Cboe Options Exchange. ources Bloomberg and Cboe Options Exchange. Please read disclosures at www.cboe.com/benchmarks Please read disclosures at www.cboe.com/benchmarks

Benchmark Indexes ince Mid-19 Highest returns for BXMD Index that sells OTM SPX call options 29.0 - BXM - Cboe P 00

s 0-elta BuyWrite Index e $30 x e

d 2.2 - P 00 Index n i

x $25

a 21.9 - PT - Cboe P 00 t - 9

e PutWrite Index 1 r

, p 0

$20

20.9 - CMBO - Cboe P 00 n e r n u Covered Combo Index t u e

l n $15 1.2 - BXM - Cboe P 00 a o

t 1

o BuyWrite Index t

r o o t

$10 10.1 - PPT - Cboe P 00 d s e e

l Put Protection Index u a l c a s v - $5 .02 - MCI EAFE Index e d r n e

- .2 - Bloomberg Barclays h t $- Treasury Index n o n n n n n n M .1 - P CI une 0, 19 - ec. 1, 2019 ources Bloomberg and Cboe Exchange, Inc. Past performance is not predictive of future returns. Actual returns for investors may diﬀer from those of indexes. www.cboe.com/benchmarks

Most evere rawdowns ince 200 Benchmark Indexes ince March 200 From 200 through 2019 Two benchmarks that do cash-secured selling of VIX futures - VPD & VPN - had higher returns 8 Cboe indexes had the least severe maximum drawdowns on this chart

.9 - VP - Cboe VIX Premium CR - Cboe P 00 Iron Condor Index trategy Index PT - Cboe P 00 PutWrite Index 0 x 0 a 2

t BXM - Cboe P 00 BuyWrite Index , -

0 .2 - VP - Cboe Capped VIX e r PXEF - Cboe MCI Emerging Markets PutWrite Index p

e Premium trategy Index

n s u e VXTH - Cboe VIX Tail Hedge Index x .90 - P 00 Index e n d

o PTR - Cboe Russell 2000 PutWrite Index

n 1 i n

r . - MCI Emerging BXEA - Cboe MCI EAFE BuyWrite Index

o u t

t d e 2 Markets Index VP - Cboe Capped VIX Premium trategy Index r e l l a a t c P 00 Index s

o 2. - MCI EAFE Index - T e 1 r Russell 2000 Index MCI EAFE Index 0 0.1 - P CI MCI Emerging Markets Index un-0 Feb-0 Oct-11 un-1 Feb-19 P CI

une 0, 200 - ec. 1, 2019 ources Bloomberg and Cboe Exchange, Inc. Total return pre-tax indexes. Past performance is not predictive of future returns. Past performance is not predictive of future results. www.cboe.com/benchmarks ources ephyr and Cboe Options Exchange. Please read disclosures at www.cboe.com/benchmarks

Please visit cboe.com/Benchmarks for more information and links to white papers by Aon Hewitt, Callan, Cambridge, Meketa, Wilshire, and other consulting firms.

Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of Characteristics and Risks of Standardized Options. Copies are available from your broker or from The Options Clearing Corporation, One North Wacker Drive, Suite 500, Chicago, Illinois 60606. The information in this document is provided solely for general education and information purposes. No statement within this document should be construed as a recommendation to buy or sell a security or to provide investment advice. The benchmark indexes described herein (collectively, the “Indexes”) are designed to represent proposed hypothetical strategies. Like many passive benchmarks, the Indexes do not take into account significant factors such as transaction costs and taxes. Investors attempting to replicate the Indexes should discuss with their advisors possible timing and liquidity issues. Past performance does not guarantee future results. This document contains index performance data based on back-testing, i.e., calculations of how the index might have performed prior to launch. Back-tested performance information is purely hypothetical and is provided in this document solely for information purposes. Back-tested performance does not represent actual performance and should not be interpreted as an indication of actual performance. The methodologies of the Indexes are the property of Cboe Exchange, Inc. Cboe® and VIX® are registered trademarks and BuyWrite, BXRC, BXRD, PUTR, WPTR, SPRO, SPEN, CLLR, RXM, BFLY, BXD, BXM, BXMD, BXMW, BXR, BXY, CLL, CLLZ, CMBO, CNDR, LOVOL, PPUT, PUT, VPD, VPN, VSTG, VXTH and WPUT are service marks of Cboe Exchange, Inc. S&P 500® is a registered trademark of Standard & Poor’s Financial Services, LLC and has been licensed for use by Cboe Exchange, Inc. Financial products based on S&P indexes are not sponsored, endorsed, sold or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in such products. Russell® and Russell 2000® are registered trademarks of the Frank Russell Company, used under license. All other trademarks and service marks are the property of their respective owners. © 2020 Cboe Exchange, Inc. All Rights Reserved.