S&P 500 10% Buffered Index March Series

The S&P 500 10% Buffered Index March Series measures the performance of a strategy that targets fixed downside protection while allowing for upside participation up to a variable level on an annual basis. The index combines a long position in the S&P 500 with three S&P 500 (SPX) monthly option positions of a one-year term; i.e., a long at-the-money (ATM) put option, a short out-of-the-money (OTM) put option, and a short OTM call option, which are initiated once a year on the third Friday of March.