S&P 500 100% Buffered Index January 2-Year Series II

The S&P 500® 100% Buffered Index January 2-Year Series I combines a long position in a zero-strike call option with two PM-settled S&P 500 (SPX) option positions of a two-year term, i.e., a long at-the-money (ATM) put option and a short out-of-the-money (OTM) call option, which are initiated every two years on the last business day of December and are held to maturity. The Series I indices are initiated on even years. The index aims to offer 100% downside protection and variable upside participation on a two-year basis.