S&P 500 Accelerated Index Quarterly Series

The S&P 500® Premium Income 20% Barrier Index October Series measures the performance of a strategy that holds a long position in U.S. Treasuries and two out-of-the-money (OTM) put options that define a 20% barrier level on the downside. The option positions are initiated once a year on the last business day of September and are held to maturity. The index calculation uses theoretically priced options in order to achieve the desired payoff.

• S&P/TSX 60 Dynamic Option Income Monthly Index
• S&P/TSX 60 Dynamic Option Income Quarterly Index
• S&P/TSX 60 Put-Write ATM Monthly Index
• S&P/TSX 60 Put-Write ATM Quarterly Index
• S&P/TSX 60 Delta Hedged Straddle 0.5% Vega Index