An Introduction to The CBOE S&P 500 PutWrite Index - CBOE.com

DisclosuresExchange-traded notes based on the PUT Index ( " Securities " ) are not sponsored, endorsed, sold or promoted byStandard & Poor's ("S&P") or Chicago Board Options Exchange, Incorporated ("CBOE") and S&P and CBOEmake no representation regarding the advisability of investing in the Securities.Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receivea copy of Characteristics and Risks of Standardized Options (the " ODD " ). The ODD and supportingdocumentation for any claims, comparisons, recommendations, statistics or other technical data in these materialsare is available by calling 1-888-OPTIONS, or contacting CBOE at www.cboe.com/Contact. The PUT logo is aservice mark of CBOE. The methodology of the CBOE S&P 500 PutWrite Index is owned by CBOE and may becovered by one or more patents or pending patent applications. The CBOE S&P 500 PutWrite Index is designed torepresent a proposed hypothetical short put strategy. Like many passive indexes, the PUT Index does not take intoaccount significant factors such as transaction costs and taxes and, because of factors such as these, many or mostinvestors should be expected to underperform passive indexes. In the construction of the hypothetical PUT index,the SPX puts are assumed to be written at a certain price on the third Friday of the month. However, there is noguarantee that all investors will be able to sell at this price, and investors attempting to replicate the PUT Indexshould discuss with their brokers possible timing and liquidity issues. Transaction costs for a put writing strategysuch as the PUT could be significantly higher than transaction costs for a passive strategy of investing in TreasuryBills. Past performance does not guarantee future results. This website presentation contains comparisons,assertions, and conclusions regarding the performance of an index based on backtesting, i.e., calculations of how theindex might have performed in the past if it had existed. Backtested performance information is purely hypotheticaland is provided in this website presentation solely for informational purposes. Backtested performance does notrepresent actual performance, and should not be interpreted as an indication of actual performance. Historical PUTdaily data is provided for reference purposes only. Supporting documentation for claims, comparisons,recommendations, statistics or other technical data is available by calling 1-888-OPTIONS, sending an e-mail tohelp@cboe.com, or by visiting www.cboe.com/put. CBOE® and Chicago Board Options Exchange> ® areregistered trademarks of CBOE and BXM, BXD, BXN the PUT logo and BXY SPX are servicemarks of CBOE.Standard & Poor's, S&P and S&P 500 are registered trademarks of the McGraw-Hill Companies, Inc. and arelicensed for use by CBOE. Copyright © 2008 Chicago Board Options Exchange, Incorporated. All RightsReserved.21