S&P 500 15% Buffered Index August Series

The S&P 500® 15% Buffered Index August Series combines a long position in a zero-strike call option with three PM-settled S&P 500 (SPX) option positions with one-year terms; i.e., a long at-the-market put option, a short out-of-the-money (OTM) 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 combination of put positions achieves downside protection up to 15%, and their net cost is offset by writing a variable OTM call option. The index calculation uses theoretically priced options in order to achieve exact downside protection.