Global X S&P 500 Tail Risk ETF (XTR US) – Portfolio Construction MethodologyThe underlying Cboe S&P 500 Tail Risk Index targets large-cap US equity exposure with a systematic protective-put overlay. It combines a long position in the S&P 500 Index portfolio, following the standard S&P 500 free-float market-cap weighting and constituent changes, with a long three-month SPX put option struck about 10% out-of-the-money each quarter. On the third Friday of March, June, September, and December, expiring options ...