S&P 500 5% Buffered Dual Direction Index Quarterly Series

The S&P 500^® 5% Dual Direction Quarterly Buffered Index combines a long position in a zero-strike call option with four PM-settled S&P 500 (SPX) option positions of a three-month 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 on the last business day of each quarter 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 5% downside level, while allowing for upside participation up to a variable level on a quarterly basis. The index calculation uses theoretically priced options in order to achieve the desired payoff in both directions.