CLL Index and the Collaring of Stock Portfolio Risk – Blog #9 on 30-Year Price History

The CBOE S&P500 95-100 Collar Index (CLL) invests in short S&P 500® (SPX) calls, long SPX puts and long stocks in order to gather premium income and manage downside risk. 

The histogram with the S&P 500 and CLL indexes shows that the S&P 500 had 13 months with declines of worse than 8 percent, while the CLL Index had only 1 such month. Certain index options strategies can be used to help manage left tail risk.


The SPX puts at 95 moneyness did help mitigate the downside moves of the CLL Index (see also the “Biggest Moves” table below).

The CLL Index engages in these 3 positions: (1) Holding the stocks in the S&P 500 index; (2) Buying 3-month SPX put options to protect this S&P 500 portfolio from market decreases; and (3) Selling 1-month SPX call options to help finance the cost of the put options.

The table below shows that, for the 5 months in which the S&P 500 Index fell by more than 10%, the CLL fell but not as much as the stock index did.



In the next 2 charts below, the CLL Index had higher returns than 2 of the other 4 indexes, and lower volatility than all 4 of the other indexes (including the Treasury Bond index).




When constructing a collar or any other options trade, an important factor to keep in mind is – what are the levels of implied volatility at various strike prices and maturities? The table below provides Bloomberg’s estimates on July 12 to help answer that question. Note that there are two numbers in the table (at 95 and 110 moneyness) that are highlighted; these 2 implied volatility numbers could be near to the numbers used to implement the CLL Index – a three-month long SPX PUT at 95 moneyness, and a one-month short SPX call at 110 moneyness. Please be aware that implied volatility estimates can change quickly.



[This is the ninth in a series of nine blogs that are being published in early July at the CBOE Options Hub on 9 CBOE benchmark indexes which have price histories that begin on June 30, 1986.] 

The microsite for the CLL Index is

For more information on dozens of CBOE benchmark indexes, please visit for research papers and price charts.

If you would like to hear expert speakers discuss options and volatility, please visit to learn more about these upcoming CBOE Risk Management Conferences

  • RMC EUROPE 2016, Sept. 26 – 28, 2016, Powerscourt Hotel, County Wicklow, Ireland
  • RMC ASIA 2016, Nov 30 – Dec 1, 2016, Conrad Hong Kong Admiralty, Hong Kong
  • RMC US 2017, March 8 – 10, 2017, St. Regis Monarch Beach, Dana Point, California

(The author thanks Paige Stodden for her assistance in creating charts for this Blog).