3rd Party Research


This portion of the site is intended for research papers and market commentaries of interest to institutional options investors.

Note: Your use of 3rd Party Research is subject to the Terms and Conditions of CBOE Websites.

Reports

Active Trader
"The VIX Reality Check" (May 2010)


Artemis Capital Management
"Volatility at World's End - Research Paper" (April 2012)
"Volatility at World's End - Volatility Visualization Video" (April 2012)


Asset Consulting Group
"An Analysis of Index Option Writing for Liquid Enhanced Risk-Adjusted Returns" (January 2012)
"Key Tools for Hedging and Tail Risk Management" (February 2012)


Callan Associates
"An Historical Evaluation of the CBOE S&P 500 BuyWrite Index Strategy" (Oct 2006)


Cambridge Associates, LLC.
"Highlights from the Benefits of Selling Volatility" (2011)


Credit Agricole Asset Management
"Volatility Exposure for Strategic Asset Allocation" (Nov 2008)


Feldman, Barry, and Dhruv Roy
"Passive Options-Based Investment Strategies: The Case of the CBOE S&P 500 BuyWrite Index." (Summer 2005)


Fund Evaluation Group
"Evaluation of BuyWrite and Volatility Indexes: Using the CBOE DJIA BuyWrite Index (BXD) and the CBOE DJIA Volatility Index (VXD) for Asset Allocation and Diversification Purposes" (Jan 2007)


Hewitt EnnisKnupp
"Evaluating the Performance Characteristics of the CBOE S&P 500 PutWrite Index" (Dec 2008)
"The CBOE S&P 500 BuyWrite Index (BXM) - A Review of Performance" (2012)


Ibbotson Associates
"Highlights from Case Study on BXM Buy-Write Options Strategy" (Aug 2004)


JP Morgan
"Cross-Asset Hedging with VIX" (Jan 2012)
"Rise of Cross-Asset Correlations" (May 2011)
"Why We Have a Correlation Bubble" (Oct 2010)


Lehman Brothers
"Listed Binary Options" (July 2008)


Russell Investments
"Capturing the Volatility Premium through Call Overwriting." (December 2010)


Schneeweis, Thomas, and Richard Spurgin
"The Benefits of Index Option-Based Strategies for Institutional Portfolios" The Journal of Alternative Investments, (Spring 2001), pp. 44-52.


SG Americas Securities
"VIX 2008 - 2009: What Happened, What's Changed, and What to Expect" (Jan 2009)


SIGLO Capital Advisors
NEW! - "Rebalancing Using Options" (Mar 2014)


Standard & Poor's
"Capturing the Index Effect via Options" (June 2008)


University of Massachusetts
"VIX Futures and Options—A Case Study of Portfolio Diversification During the 2008 Financial Crisis" (Full version)" and 2-page summary


Whaley, Robert
"Risk and Return of the CBOE BuyWrite Monthly Index" The Journal of Derivatives (Winter 2002), pp. 35�42.


Links for More Information and Reports

Benchmark Indexes (BXM, PUT, etc.) and Key Papers
Bibliography of Articles on BuyWrites and Other Options Strategies
Bibliography of Articles on VIX, and Volatility and Variance Swaps
  VIX Snapshot

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