Index Designed to Capture Premiums from U.S. Equity Volatility
“The Market Vectors US Volatility Premium Capture Index is the first investment strategy index launched by Market Vectors Index Solutions. The index benefits from the behavioral biases that result in investors paying too much to insure against future losses of their equity holdings,” said
“MVVCAP is unique because it dynamically adjusts to different volatility regimes. With all this in mind, we are very pleased to be adding the Market Vectors US Volatility Premium Capture Index to our current set of indices,” added
MVVCAP seeks to exploit the well-documented tendency of investors to overpay for the downside protection of their equity holdings by writing put-option contracts. The index implements a rules-based process to reflect out-of-the-money put-option contracts on the
MVCAP is designed to maximize the returns of the index, and thereby maximize the likelihood that the put-option contracts represented in the index will expire without value by: 1. writing put-option contracts on a diversified group of U.S.-based large-cap equities; 2. writing the put-option contracts out-of-the-money; and, 3. adjusting the put-option contracts’ strike prices based on the volatility of the underlying securities.
Key Index Features
The index is calculated with security prices in USD. A standard review is not applied. Every week, the index adjusts the underlying put-option contracts to maintain a constant level of exposure. MVVCAP is calculated end-of-day, weekdays at
Detailed information about the Market Vectors US Volatility Premium Capture Index and the full range of Market Vectors Indices, including methodology details and comprehensive data is available on marketvectorsindices.com.
*closing data as of
Note to Editors
Market Vectors Index Solutions develops, monitors and licenses the Market Vectors Indices, a selection of focused, investable and diversified benchmark indices. The indices are especially designed to underlie financial products. Market Vectors Indices cover several asset classes, including hard assets and international equity markets as well as fixed income markets and are licensed to serve as underlying indices for financial products.
Market Vectors Index Solutions
Source: Market Vectors Index Solutions