Making Benchmarks Work For You

Matt Moran Head of Global Benchmark Indexes Advancement, Cboe The information in these materials is provided solely for general education and 1-312-786-7249 information purposes. No statement within this material should be construed as a recommendation to buy or sell a security or to provide investment advice. 4 December 2019 U.S. Over 91 Years

2 Sector Weightings for S&P 500 and MSCI Israel Indexes More than 76% of MSCI Israel Index is in two sectors – IT and Financials

Three Key Sectors as of 31 Oct. 2019  Is there added risk for stock S&P 500 Index Sector MSCI Israel Index indexes that are concentrated in a 22.3% Information Technology 40.82% few sectors?  Cboe offers cash-settled index 13% Financials 35.43% options on Select Sector Indexes 14% Health Care 10.97% www.cboe.com/sectors 49.3% Total 87.2%

3 Volatility for MSCI Israel Index and Other Indexes Since Jan. 2000, average historical volatility was 18.4 for MSCI Israel, and 16.5 for MSCI EM and S&P 500 indexes

The maximum drawdowns were -64.59% for MSCI Israel and -59.07% for MSCI World Index (source: MSCI).

Historical Volatility for Indexes (3-Jan-2000 - 26-Nov-2019) Maximum Minimum Avg. Median MSCI Israel Index (Local) 64.0 5.8 18.4 16.0

S&P 500 Index 82.1 3.4 16.5 13.7

Maximum Minimum Avg. Median S&P GSCI 65.4 6.3 21.8 21.0

MSCI Emerging Markets (USD) 88.5 6.1 16.5 14.2

MSCI EAFE Index (USD) 77.9 4.4 15.3 13.1

Sources: Bloomberg and Cboe Exchange, Inc. Daily values for 30-trading-day historical volatility. 4 Volatility Skew and Term Structure for SPX Options

5 Risk Premium

The implied volatility of SPX options often has exceeded the subsequent realized volatility for the SPX Index. The IVRP has facilitated strong risk-adjusted returns by certain options-selling benchmark indexes over more than 33 years.

6 Benchmark Indexes That Use Index Options or VIX Futures

Cboe Options Exchange launched in 1973, and BXM Index (the 1st options-based benchmark) was introduced in 2002.

Used by Benchmark Index Sampling of Many Benchmark Indexes

• Cboe VIX Tail Hedge Index (VXTHSM) VIX® Options • Cboe Low Volatility Index (LOVOLSM)

• Cboe VIX Premium Strategy Index (VPNSM) VIX Futures • S&P 500 VIX Short-Term Futures Index (SPVIXMTRSM)

MSCI EAFE® (MXEASM) & • Cboe MSCI Emerging Markets BuyWrite Index (BXEFSM) MSCI EM (MXEFSM) Options • Cboe MSCI EAFE 2% OTM BuyWrite Index (BYEASM)

SM • Cboe Russell 2000 One-Week PutWrite Index (WPTRSM) Data history for BXM Index Russell 2000® (RUT begins in mid-1986, while the • Cboe Russell 2000 30-Delta BuyWrite Index (BXRDSM) Options (Small-cap) data histories for other indexes on this page begin after the • Cboe S&P 500 BuyWrite Index (BXMSM) year 2000. S&P 500® (SPX) Options • Cboe S&P 500 Buffer Protect Index (SPROSM)

See Appendix 1 and www.cboe.com/benchmarks for lists with dozens of benchmark indexes. 7 Six SPX-Options-Based Benchmark Indexes

Highlights Ticker Description Webpage

Sells A-T-M 1-mo. BXM - Cboe S&P 500 BuyWrite Index - tracks the performance of a hypothetical BXMSM trading strategy that purchases stocks in the S&P 500 index, and each month sell at- www.cboe.com/BXM calls the-money (ATM) SPX index call options

BXMD - Cboe S&P 500 30-Delta BuyWrite Index - tracks the performance of a Sells O-T-M 1-mo. hypothetical strategy that holds a long position indexed to the S&P 500 BXMDSM Index and sells a monthly out-of-the-money (OTM) S&P 500 Index (SPX) . www.cboe.com/BXMD calls The call option written is the strike nearest to the 30 Delta at 10:00 a.m. CT on the Roll Date.

PUT - Cboe S&P 500 PutWrite Index - tracks the performance of a hypothetical Sells A-T-M 1-mo. SM PUT strategy that purchases Treasury bills and sell cash-secured at-the-money put www.cboe.com/PUT puts options on the S&P 500 index

WPUT - Cboe S&P 500 One-Week PutWrite Index - tracks the performance of a hypothetical strategy that sells an at-the-money (ATM) S&P 500 Index (SPX) put Sells A-T-M 1-week SM WPUT option on a weekly basis. The maturity of the written SPX is one week to www.cboe.com/WPUT puts expiry. The written SPX put option is collateralized by a money market account invested in Treasury bills PPUT - Cboe S&P 500 5% Put Protection Index - tracks the performance of a hypothetical strategy that holds a long position indexed to the S&P 500 Index, and SM www.cboe.com/PPUT Buys O-T-M puts PPUT buys a monthly 5% out-of-the-money (OTM) S&P 500 Index (SPX) put option as a hedge CLL - Cboe S&P 500 95-110 Index - tracks the performance of a strategy that Buys O-T-M puts, & purchases stocks in the S&P 500 Index, and each month sells SPX call options at 110% SM www.cboe.com/CLL sells O-T-M calls CLL of the index value, and each quarter purchases SPX put options at 95% of the index value

Source: Cboe Options Exchange. www.cboe.com/benchmarks 8 Benchmark Indexes Since Mid-1986

The 4 option- selling indexes (BXMD, PUT, CMBO, and BXM) had higher returns than the PPUT option- buying index.

9 Benchmark Indexes Since 1998

The Cboe BXMD Index (which held stocks and sold OTM SPX options) had higher returns than 6 of the 7 other indexes on this page, including the MSCI Israel Index

10 More Benchmark Indexes - MSCI and Russell – Since 2006

The BXEF buywrite index had higher returns than 5 of the other 6 indexes on this page

11 Returns and Volatility Since 1986

The PUT Index is in the top 3 in both charts

12 Higher Risk-Adjusted Returns and Lower Volatility

The Cboe S&P 500 Iron Condor Index (CNDR) is designed to track the performance of a hypothetical option trading strategy that 1) sells a rolling monthly out-of-the-money (OTM) S&P 500 Index (SPX) put option (delta ≈ - 0.20) and a rolling monthly out-of-the-money (OTM) SPX call option (delta ≈ 0.20); 2) buys a rolling monthly OTM SPX put option (delta ≈ - 0.05) and a rolling monthly OTM SPX call option (delta ≈ 0.05) to reduce risk; and 3) holds a money market account invested in one-month Treasury bills, which is rebalanced on option roll days and is designed to limit the downside return of the index. The CNDR Index rolls on a monthly basis, typically every third Friday of the month. www.cboe.com/CNDR 13 Heat Map – Ranked Returns Over 18 Years (from Paper by Wilshire at www.cboe.com/Wilshire)

14 Less Severe Drawdowns for indexes That Do Cash-Secured Put-Writing

PUT Index sells cash-secured SPX puts once a month.

WPUT Index sells cash-secured SPX puts once a week.

The S&P 500 had more severe drawdowns than the PUT & WPUT indexes

Excerpted from 2019 paper by Prof. Oleg Bondarenko at www.cboe.com/oleg 15 Metrics for 11 Benchmark Indexes Since Mid-1986

CNDRSM Index had the least severe maximum drawdown and the lowest standard deviation, while the PUT Index has the highest risk-adjusted returns (as measured by the Sharpe and Sortino ratios) Metrics for Benchmark Indexes (June 30, 1986 - October 31, 2019) Maximum Annualized Standard Beta vs. S&P Alpha vs. S&P Sharpe Sortino Ratio Drawdown Return Deviation 500 500 Ratio (MAR = 0.00%) Skewness CNDR - Cboe S&P 500 Iron Condor Index -13.66% 6.21% 7.1% 0.17 4.57% 0.42 1.15 -1.99 PUT - Cboe S&P 500 PutWrite Index -32.66% 9.64% 9.9% 0.56 3.73% 0.65 1.32 -2.09 CLL - Cboe S&P 500 95-110 Collar Index -35.47% 7.03% 10.6% 0.65 0.28% 0.36 1.08 -0.17 BXM - Cboe S&P 500 BuyWrite Index -35.81% 8.69% 10.5% 0.63 2.10% 0.52 1.15 -1.56 PPUT - Cboe S&P 500 5% Put Protection Index -38.92% 7.00% 12.1% 0.75 -0.65% 0.31 0.9 -0.28 BFLY - Cboe S&P 500 Iron Index -41.76% 4.63% 10.7% 0.13 3.81% 0.13 0.68 -0.02 BXMD - Cboe S&P 500 30-Delta BuyWrite Index -42.73% 10.53% 12.8% 0.82 1.98% 0.57 1.21 -1.1 CLLZ - Cboe S&P 500 Zero-Cost Put Spread Collar -43.02% 7.40% 11.4% 0.74 -0.20% 0.37 0.94 -1.11 S&P 500 Index -50.95% 10.23% 14.9% 1.00 0.00% 0.47 1.03 -0.8 MSCI EAFE Index (US$) -56.68% 6.31% 16.9% 0.80 -1.17% 0.18 0.55 -0.41 S&P GSCI -80.90% 3.45% 20.2% 0.26 2.63% 0.01 0.25 -0.21 Sources: Cboe Exchange, Inc. and Zephyr StyleAdvisor

The Cboe S&P 500 Iron Condor Index (CNDR) is designed to track the performance of a hypothetical option trading strategy that 1) sells a rolling monthly out-of-the-money (OTM) S&P 500 Index (SPX) put option (delta ≈ - 0.20) and a rolling monthly out-of-the-money (OTM) SPX call option (delta ≈ 0.20); 2) buys a rolling monthly OTM SPX put option (delta ≈ - 0.05) and a rolling monthly OTM SPX call option (delta ≈ 0.05) to reduce risk; and 3) holds a money market account invested in one-month Treasury bills, which is rebalanced on option roll days and is designed to limit the downside return of the index. The CNDR Index rolls on a monthly basis, typically every third Friday of the month. www.cboe.com/CNDR 16 Monthly Gross Premiums Received – Selling ATM and OTM SPX Options

The BXM Index (which sells ATM SPX options) collected more premiums than the BXYSM Index (which sells 2% OTM SPX options).

During the bull market of the past decade, the BXY Index (1) collected options premiums and (2) participated in many of the upside moves of the S&P 500 Index, and had higher returns than the BXM Index.

17 Aggregate Gross Premiums – Writing Once a Month and Once a Week

Excerpted from 2019 paper by Prof. Oleg Bondarenko at www.cboe.com/oleg 18 Sharpe Ratios at Different Strikes and Maturities

Is there a “sweet spot” re: maturity and for the selling of SPX covered calls?

From paper by Russell. Capturing the Volatility Premium through Call Overwriting. (2012) 19 Benchmark Indexes That Use VIX Futures and/or VIX Options

The popular VIX® Index is not investable, so investors and ETP creators often look to the performance of benchmark indexes that use VIX futures or VIX options. Ticker Description LOVOLSM - Cboe Low Volatility Index - is a 40% / 60% blend of the Cboe S&P 500 BuyWrite Index (BXM) and Cboe VIX Sell SPX calls & 1 LOVOL Tail Hedge Index (VXTH); the portfolio overlays long VIX calls and short S&P 500 calls over an investment in S&P 500 buy VIX calls stocks VPDSM - Cboe VIX Premium Strategy Index - overlays a sequence of short one-month VIX futures on a money market 2 VPD account; the short VIX futures positions are held until and new VIX futures are then sold

Sell VIX Futures SM VPN - Cboe Capped VIX Premium Strategy Index - tracks the performance of a strategy that systematically sells 1- 3 VPN month VIX futures and holds a money market account; the short VIX futures position is capped with long VIX calls Buy VIX calls struck about 25 points higher than the VIX futures price 4 VXTH VXTHSM - Cboe VIX Tail Hedge Index - buys and holds S&P 500 stocks, and also often buys 30-delta VIX call options S&P 500 VIX Short-Term Futures Index utilizes prices of the next two near-term VIX® futures contracts to replicate a position that rolls the nearest month VIX futures to the next month on a daily basis in equal fractional 5 Buy VIX Futures SPVIXSTR amounts. This results in a constant one-month rolling long position in first and second month VIX futures contracts. S&P 500 VIX Mid-term Futures Index buys a combination of VIX futures positions in order to reflect the 6 SPVIXMTR expectations of the VIX Index level in 5 months. Some of the VIX futures are rolled daily in order to maintain a constant average weighted five-month term. S&P 500 VIX Short-Term Futures Inverse Daily Index is designed to measure the performance of the inverse of Inverse of buy the S&P 500 VIX Short-Term Futures Index, which utilizes prices of the next two near-term VIX futures contracts 7 SPVXSPIT VIX Futures to replicate a position that rolls the nearest month VIX futures to the next month on a daily basis in equal fractional amounts. S&P 500 Dynamic VEQTOR Index dynamically allocates long-only exposure between the S&P 500, the S&P VIX® Short-Term Futures Index, and cash in order to measure broad equity market exposure with an implied 8 SPVQDTID volatility hedge. The index mitigates risk between equity and volatility and helps hedge downside protection in Dynamic volatile markets. Visit www.cboe.com/benchmarks for links and more information. 20 Cash-Secured Selling of VIX Futures

Since 2004 VIX futures usually were in (futures were priced higher than spot), and contango facilitated higher returns for the VPD and VPN indexes (that sell VIX futures).

The VPD and VPN Indexes hold T-Bills, and this feature helps mitigate the potential for huge drawdowns.

21 3 Indexes That Buy VIX Call Options

The VXTH, VPN and LOVOL indexes all buy VIX call options. Some investors explore the use of buying VIX calls with the goal of lessening downside portfolio volatility.

22 Drawdowns and Downside Volatility

In the table below, the averages for the maximum drawdowns were -38.2% for the 10 Cboe indexes, and -62.5% for the 4 stock or commodity indexes.

Key Metrics for 14 Benchmark Indexes (March 31, 2006 - Sept. 30, 2019) Max Max Beta vs. Maximum Max Drawdown Standard Sortino Ratio Drawdown Drawdown Market (S&P Skewness Drawdown Length (Mos.) Deviation (MAR = 0.00%) Begin Date End Date 500) 1 Cboe S&P 500 Iron Condor Index (CNDR) -13.7% Mar-10 Nov-14 57 0.16 7.0% 0.18 -1.89 2 Cboe S&P 500 PutWrite Index (PUT) -32.7% Jun-08 Feb-09 9 0.64 10.6% 0.77 -1.82 3 Cboe S&P 500 BuyWrite Index (BXM) -35.8% Jun-08 Feb-09 9 0.65 10.5% 0.66 -1.36 4 Cboe VIX Tail Hedge Index (VXTH) -37.4% Nov-07 Feb-09 16 0.67 12.2% 0.83 -0.48 5 Cboe Russell 2000 PutWrite Index (PUTR) -38.1% Sep-08 Feb-09 6 0.78 14.0% 0.59 -1.73 6 Cboe S&P 500 Covered Combo Index (CMBO) -38.1% Nov-07 Feb-09 16 0.71 11.1% 0.73 -1.34 7 Cboe S&P 500 5% Put Protection Index (PPUT) -38.9% Jun-07 Feb-09 21 0.7 11.3% 0.78 -0.54 8 Cboe S&P 500 30-Delta BuyWrite Index (BXMD) -42.7% Nov-07 Feb-09 16 0.83 12.5% 0.83 -1 9 Cboe Capped VIX Premium Strategy Index (VPN) -48.1% Jun-08 Nov-08 6 1 17.9% 0.59 -1.63 10 S&P 500 Index -51.0% Nov-07 Feb-09 16 1 14.4% 0.87 -0.79 11 Cboe VIX Premium Strategy Index (VPD) -56.3% Jun-08 Nov-08 6 1.08 19.9% 0.57 -2.82 12 MSCI EAFE Index (US$) -56.7% Nov-07 Feb-09 16 1.04 16.9% 0.26 -0.69 13 MSCI Emerging Markets Index (US$) -61.6% Nov-07 Feb-09 16 1.16 21.6% 0.29 -0.49 14 S&P GSCI -80.9% Jul-08 Feb-16 92 0.78 22.0% -0.41 -0.64

Sources: Zephyr StyleAdvisor, Bloomberg and Cboe Exchange, Inc. Total return (pre-tax) indexes. Past performance is not predictive of future returns.

23 U.S. Pension Funds and Use of Options

Excerpts from News Clips on Use of Options by Pension Funds

“… More recently, the army of consulting firms that advise pension funds, such as Wilshire Consulting, has recommended some public-pension-fund clients write put contracts. As recently as 2013, hardly any public pension funds used this strategy, according to Wilshire Consulting President Andrew Junkin. He estimated more than 60 of the nation’s more than 6,000 pension funds now do. … “ Wall Street Journal (Feb. 14, 2018)

“ … Options strategy used by pension funds aims to work like a volatility dampener … Some pension funds are seeking to profit from others’ fear. Pension funds in Hawaii and South Carolina are plying an arcane options strategy called cash- secured put writing. … Hawaii wanted to diversify market exposure after the financial crisis hit many assets at once… Pension Consulting Alliance first suggested Hawaii use the strategy and currently advises on it, .. The CBOE S&P 500 PutWrite Index, a benchmark for the strategy, … didn’t fall as sharply as the market during the selloff of early 2016, but has lagged behind the rallies. In 2008, during the financial crisis, the put-write strategy returned minus-27% compared with the S&P 500’s return of minus-37%. CBOE’s calculations of how the index would have performed before its 2007 creation estimate that annualized returns over the 30 years through this June were 10%, narrowly topping the S&P 500. … ” Wall Street Journal (Aug. 21, 2016)

24 Options-Based Funds From: 2018 paper by Keith Black and Professor Ed Szado at www.cboe.com/funds

Growth in the number of option-based funds in sample

25 Options-Based Funds From: 2018 paper by Keith Black and Professor Ed Szado at www.cboe.com/funds

Growth in AUM of option-based funds in sample, from $8 billion in 2004 to over $54 billion in 2017

26 Options-Based Funds From: 2018 paper by Keith Black and Professor Ed Szado at www.cboe.com/funds

Annualized Standard Deviation – Option-Based Funds and Benchmark Indexes (Dec. 31, 1999- Dec. 29, 2017)

27 Capacity, Volume and

In Sept. 2019 the SPX options average daily volume was 1.35 million contracts (about $400 billion in notional value).

Volume and Open Interest for Select Index Options in Sept. 2019 Average Daily Volume at Cboe Open Interest Put Call FLEX Maximum O.I. for All Maximum O.I. for All Options Options Options Options Options FLEX Options S&P 500 (SPX) 1,346,008 891,615 445,554 8,839 20,709,519 925,757 Cboe Volatility Index (VIX) 497,769 154,149 343,620 0 9,622,031 0 Mini-SPX (XSP) 70,269 17,332 23,655 29,282 1,948,978 732,693 Russell 2000 (RUT) 41,831 23,001 17,528 1,302 770,546 125,498 MSCI EM (MXEF) 686 331 323 33 50,797 4,491 MSCI EAFE (MXEA) 614 352 230 31 20,733 6,608 Source: Cboe Exchange, Inc. www.cboe.com/index

28 More Information

• www.cboe.com/Funds Testimonials and white paper on funds

• www.cboe.com/benchmarks Links to 30 benchmark indexes and a dozen research papers

• www.cboe.com/volatility 30 volatility indexes

29 APPENDIX 1 – Cboe’s Strategy Benchmark Indexes

Cboe offers dozens of benchmark indexes that show the hypothetical performance of strategies using index options or VIX futures, including -

www.cboe.com/benchmarks 30 APPENDIX 2 – Annual Returns for 18 Indexes (1987 – 2018)

Cboe MSCI Bloomberg Cboe S&P 500 Cboe S&P 500 30- Cboe S&P 500 Cboe S&P 500 Cboe S&P 500 5% Cboe S&P 500 Iron Cboe Capped VIX Cboe Russell 2000 Cboe MSCI EAFE MSCI Emerging Bloomberg Emerging Markets MSCI EAFE Index MSCI Israel Index Barclays US BuyWrite Index Delta BuyWrite PutWrite Index Covered Combo Put Protection Condor Index Premium Strategy PutWrite Index PutWrite Index S&P 500 Index Russell 2000 Index Markets Index S&P GSCI Index Barclays US BuyWrite Index (US$) (Local) Aggregate Bond (BXM) Index (BXMD) (PUT) Index (CMBO) Index (PPUT) (CNDR) Index (VPN) (PUTR) (PXEA) (US$) Treasury Index (BXEF) Index (USD) US MSCI EAFE Emerging US BXM BXMD PUT CMBO PPUT CNDR VPN PUTR BXEF PXEA S&P 500 Russell 2000 MSCI Israel S&P GSCI Aggregate (US$) Mkts. Treasury Bond 1987 -3.0% -0.2% -2.6% -0.7% 15.6% -4.0% 5.3% -8.8% 24.6% 23.8% 2.8% 2.0% 1988 21.0% 22.8% 19.7% 22.1% 4.9% 16.4% 16.6% 25.0% 28.3% 27.9% 7.9% 7.0% 1989 25.0% 32.7% 24.6% 27.9% 26.4% 20.3% 31.7% 16.3% 10.5% 38.3% 14.5% 14.4% 1990 4.0% 3.9% 8.9% 5.8% -7.2% 9.7% -3.1% -19.5% -23.4% 29.1% 9.0% 8.5% 1991 24.4% 23.5% 21.3% 24.0% 23.3% 17.0% 30.5% 46.0% 12.1% -6.1% 16.0% 15.3% 1992 11.5% 10.8% 13.8% 12.4% 3.4% 13.4% 7.6% 18.4% -12.2% 4.4% 7.4% 7.2% 1993 14.1% 11.1% 14.1% 12.9% 7.3% 14.0% 10.1% 18.9% 32.6% -12.3% 9.7% 10.7% 1994 4.5% 5.5% 7.1% 5.6% -1.7% 14.1% 1.3% -1.8% 7.8% 5.3% -2.9% -3.4% 1995 21.0% 32.9% 16.9% 23.3% 34.7% 9.4% 37.6% 28.5% 11.2% 20.3% 18.5% 18.4% 1996 15.5% 19.2% 16.4% 17.7% 18.3% 11.3% 23.0% 16.5% 6.0% 33.9% 3.6% 2.7% 1997 26.6% 33.7% 27.7% 27.2% 21.4% 9.8% 33.4% 22.4% 1.8% -14.1% 9.7% 9.6% 1998 18.9% 22.4% 18.5% 17.9% 19.1% 1.7% 28.6% -2.5% 20.0% -35.7% 8.7% 10.0% 1999 21.2% 21.2% 21.0% 19.1% 9.5% 13.5% 21.0% 21.3% 27.0% 66.5% 59.9% 40.9% -0.8% -2.6% 2000 7.4% 0.1% 13.1% 6.0% -14.2% 20.8% -9.1% -3.0% -14.2% -30.8% 24.7% 49.7% 11.6% 13.5% 2001 -10.9% -8.9% -10.6% -10.7% -2.1% -4.9% -11.9% 2.5% -21.4% -2.6% -27.4% -31.9% 8.4% 6.7% 2002 -7.6% -13.2% -8.6% -8.8% -17.6% 0.1% -0.1% -22.1% -20.5% -15.9% -6.2% -27.9% 32.1% 10.3% 11.8% 2003 19.4% 25.9% 21.8% 22.4% 19.3% 7.5% 23.8% 28.7% 47.3% 38.6% 55.8% 47.3% 20.7% 4.1% 2.2% 2004 8.3% 10.4% 9.5% 9.5% 6.0% 10.1% 19.0% 10.9% 18.3% 20.2% 25.6% 18.4% 17.3% 4.3% 3.5% 2005 4.2% 5.0% 6.7% 4.4% 2.3% 10.0% 13.7% 8.3% 4.9% 4.6% 13.5% 34.0% 33.5% 25.6% 2.4% 2.8% 2006 13.3% 17.8% 15.2% 14.1% 12.3% 13.7% 13.6% 19.0% 15.8% 18.4% 26.3% 32.1% -12.2% -15.1% 4.3% 3.1% 2007 6.6% 6.2% 9.5% 5.5% -0.5% 4.9% 2.0% 16.1% 27.9% 8.0% 5.5% -1.6% 11.2% 39.4% 28.3% 32.7% 7.0% 9.0% 2008 -28.7% -31.3% -26.8% -30.2% -20.1% -4.0% -35.8% -28.5% -33.0% -31.3% -37.0% -33.8% -43.4% -53.3% -30.4% -46.5% 5.2% 13.7% 2009 25.9% 32.1% 31.5% 28.5% 8.7% 12.6% 41.0% 34.3% 64.4% 22.8% 26.5% 27.2% 31.8% 78.5% 54.3% 13.5% 5.9% -3.6% 2010 5.9% 11.2% 9.0% 7.7% 11.7% -4.9% 27.1% 13.8% 20.6% 8.4% 15.1% 26.9% 7.8% 18.9% -2.5% 9.0% 6.5% 5.9% 2011 5.7% 7.3% 6.2% 6.4% -1.4% 1.7% -11.2% 6.1% 1.8% 6.5% 2.1% -4.2% -12.1% -18.4% -22.3% -1.2% 7.8% 9.8% 2012 5.2% 11.0% 8.1% 7.5% 10.0% -3.0% 34.2% 10.4% 14.9% 11.6% 16.0% 16.3% 17.3% 18.2% -7.0% 0.1% 4.2% 2.0% 2013 13.3% 19.1% 12.3% 16.4% 27.1% -0.7% 12.1% 12.0% -2.4% 7.6% 32.4% 38.8% 22.8% -2.6% 3.2% -1.2% -2.0% -2.7% 2014 5.6% 6.2% 6.4% 5.5% 11.2% -5.2% 1.9% 3.9% 3.0% -3.2% 13.7% 4.9% -4.9% -2.2% 37.6% -33.1% 6.0% 5.1% 2015 5.2% 4.0% 6.4% 4.3% -5.1% 10.4% 4.7% 4.9% -13.8% 0.8% 1.4% -4.4% -0.8% -14.9% 10.3% -32.9% 0.5% 0.8% 2016 7.1% 8.4% 7.8% 7.9% 8.3% -0.7% 23.0% 8.6% 0.4% 3.9% 12.0% 21.3% 1.0% 11.2% -25.6% 11.4% 2.6% 1.0% 2017 13.0% 16.1% 10.8% 15.4% 18.6% 0.1% 15.4% 7.7% 24.4% 11.3% 21.8% 14.6% 25.0% 37.3% -2.4% 5.8% 3.5% 2.3% 2018 -4.8% -5.4% -5.9% -4.9% -3.7% -5.3% -14.3% -10.0% -4.8% -10.7% -4.4% -11.0% -13.8% -14.6% -1.6% -13.8% 0.0% 0.9% Sources: Bloomberg and Cboe Exchange, Inc. Total return (pre-tax) indexes. Past performance is not predictive of future returns. 31 Important Disclosures

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 (ODD). Copies of the ODD are available from your broker or from The Options Clearing Corporation, 125 S. Franklin Street, Suite 1200, Chicago, IL 60606. The information in this paper is provided solely for general education and information purposes and therefore should not be considered complete, precise, or current. Many of the matters discussed are subject to detailed rules, regulations, and statutory provisions which should be referred to for additional detail and are subject to changes that may not be reflected in the website information. No statement within this publication should be construed as a recommendation to buy or sell a security or to provide investment advice. Past performance is not predictive of future returns. Benchmark indexes such as the BXM and PUT are designed to represent hypothetical options-oriented strategies, but like many passive benchmarks, the benchmark indexes do not take into account significant factors such as transaction costs and taxes, and there can be differences between the benchmark index performance and actual investment performance. Cboe® and VIX® are registered trademarks of, and BXM, BXMD, PUT and many other indexes are servicemarks of Cboe Options Exchange (Cboe). S&P® and S&P 500® are registered trademarks of Standard & Poor's Financial Services, LLC, and are licensed for use by Cboe. ©2019 Cboe Exchange, Inc. All rights reserved. 32