Investopedia explains 'Multi Index Option'
The payoff of a multi index option does not depend on market direction, rather a change in spread. For example, consider a multi index option on the likelihood of the S&P 500 outperforming Canada's TSX Composite after a year's time by five percentage points. After a year, if the S&P 500 has declined 2% but the TSX has declined 9%, the option will still have a positive payoff because the S&P 500 has outperformed the TSX by seven percentage points. If the S&P 500 outperforms by less than five percentage points after a year, the option will expire worthless.
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