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"
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.
Bibliography on Options and on Buy-Write Strategies.