S&P 500 10% Buffered Dual Direction Index August Series

The S&P 500® 10% Dual Direction Buffered Index August Series combines a long position in a zero-strike call option with four PM-settled S&P 500 (SPX) option positions of a one-year term, i.e., a short out-of-the-money (OTM) put option, a long OTM put option, a long at-the-money (ATM) put option and a short OTM call option. The option positions are initiated once a year on the last business day of July and are held to maturity. The net cost of the put options is offset by writing a variable OTM call option. The index measures the performance of a strategy that provides positive returns up to a 10% downside level, while allowing for upside participation up to a variable level on an annual basis. The index calculation uses theoretically priced options in order to achieve the desired payoff in both directions.