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 section of the CBOE Website.
"The VIX Reality Check"
Artemis Capital Management
"Volatility at World's End - Research Paper"
"Volatility at World's End - Volatility Visualization Video"
Asset Consulting Group
"An Analysis of Index Option Writing for Liquid Enhanced Risk-Adjusted Returns"
"Key Tools for Hedging and Tail Risk Management"
"An Historical Evaluation of the CBOE S&P 500 BuyWrite Index Strategy"
Cambridge Associates, LLC.
"Highlights from the Benefits of Selling Volatility"
Credit Agricole Asset Management
"Volatility Exposure for Strategic Asset Allocation"
Feldman, Barry, and Dhruv Roy
"Passive Options-Based Investment Strategies: The Case of the CBOE S&P 500 BuyWrite Index."
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"
"Evaluating the Performance Characteristics of the CBOE S&P 500 PutWrite Index"
"The CBOE S&P 500 BuyWrite Index (BXM) - A Review of Performance"
"Highlights from Case Study on BXM Buy-Write Options Strategy"
"Cross-Asset Hedging with VIX"
"Rise of Cross-Asset Correlations"
"Why We Have a Correlation Bubble"
"Listed Binary Options"
"Capturing the Volatility Premium through Call Overwriting."
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"
SIGLO Capital Advisors
- "Rebalancing Using Options"
Standard & Poor's
"Capturing the Index Effect via Options"
"Access to Volatility Via Listed Futures"
University of Massachusetts
"VIX Futures and Options—A Case Study of Portfolio Diversification During the 2008 Financial Crisis" (Full version)"
and 2-page summary
"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