The Investable Volatility Index (VOL)

VXMAR 28.37 -1.12 VXJUN 21.38 -3.51 VXSEP 25.69 -2.30 VXDEC 27.29 -1.57 VOL 121.36 -5.20

The Investable Volatility Index (VOL)

The Investable Volatility Index^TM uses the S&P 500^® volatility term structure, calculated by CBOE^® using the VIX^® methodology, to estimate the future volatility of the US equity markets as reflected by options on the S&P 500^®. The Investable Volatility Index is designed to measure the return of an investment in the forward implied volatility of the S&P 500^® Index. The return of the Index reflects changes in the level of forward implied volatility of the S&P 500^® Index by using market prices of listed S&P 500^® Index options plus a return on the previous Index level at the prevailing one-month U.S. Treasury bill yield. The Index measures the forward implied volatility of the S&P 500^® Index for a three-month window centered approximately five months in the future. The Index level is published on Bloomberg under the symbol "VOL Index" and on Reuters under the symbol ".VOL".

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