Cboe, CBSX, & CFE Press Releases



Chicago and Miami Beach, FL - May 5, 2006 - The Chicago Board Options Exchange (CBOE) today announced that it plans to publish two new benchmark indexes, under an agreement with the Russell Investment Group, based on the Russell 2000 Index: the CBOE Russell 2000 BuyWrite Index (BXR) and the CBOE Russell 2000 Volatility Index (RVX), beginning today. Both will be based on prices of the Russell 2000 Index options (RUT) traded at CBOE.

"The Russell 2000 is one of the most important measures of today's stock market, and CBOE's BuyWrite and Volatility Indexes are two of the most important tools for today's investors. With $3.8 trillion in assets benchmarked to the Russell Indexes and the explosive increase in volume in Russell Index options such as RUT and IWM, it is only natural to expand CBOE's line-up of BuyWrite and Volatility Indexes to the Russell 2000," said CBOE Chairman and CEO William J. Brodsky. "CBOE has essentially created two new asset classes by developing the BuyWrite Index and Volatility products, and we are pleased that, through our partnership with Russell, we are able to broaden the marketplace for these important benchmarks."

CBOE Russell 2000 BuyWrite Index (BXR)
The new CBOE Russell 2000 BuyWrite Index (BXR) is a benchmark index that measures the performance of a theoretical portfolio that sells Russell 2000 Index (RUT) call options, against a portfolio of the stocks included in the Russell 2000 Index. A "buy-write," also called a covered call, generally is considered to be an investment strategy in which an investor buys a stock or a basket of stocks, and also sells call options that correspond to the stock or basket of stocks. This strategy can be used to enhance portfolio returns and reduce volatility.

CBOE Russell 2000 Volatility Index (RVX)
The new CBOE Russell 2000 Volatility Index (RVX) will track the volatility of the Russell 2000 Index, by measuring implied volatility of near-term RUT options. The RVX is designed to reflect investors' consensus view of future (30-day) expected market volatility in the Russell 2000, and as such, can be used as a benchmark of investor sentiment.

Historical daily values for the BXR are available dating back to January 2001, and for RVX dating back to 2004. For more data and information about BXR and its use as a portfolio management tool, please visit http://www.cboe.com/BXR and for information on the Volatility Index visit http://www.cboe.com/RVX.

CBOE calculates and disseminates the following BuyWrite and Volatility Indexes and lists the corresponding products as indicated.

Underlying Index
Volatility Index
BuyWrite Index
S&P 500 Index(SPX)
Yes on VIX
Yes on VIX
Dow Jones Industrial Average (DJX)
Yes on VXD
Nasdaq-100 Index(NDX)
Russell 2000 Index (RUT)

About Russell
Russell Investment Group, a global leader in multi-manager investment services, provides investment products and services in more than 40 countries. Russell manages more than $167 billion in assets and advises clients worldwide representing more than $2.4 trillion. Founded in 1936, Russell is a subsidiary of Northwestern Mutual and is headquartered in Tacoma, Wash., with additional offices in New York, Toronto, London, Paris, Singapore, Sydney, Auckland and Tokyo.

About CBOE
CBOE, the world's largest options exchange and creator of listed options, is regulated by the Securities and Exchange Commission (SEC). For additional information about the CBOE and its products, access the CBOE website at: http://www.cboe.com/.

Lynne Howard-Reed
(312) 786-7123

Gary Compton
(312) 786-7612

CBOE®, Chicago Board Options Exchange®, CBOE Volatility Index®, and VIX® are registered trademarks of Chicago Board Options Exchange, Incorporated (CBOE). BXM, BXD, BXN, BXR, BXY, VXD, VXN, RVX and SPX are service marks of CBOE. CFESM is a service mark of CBOE Futures Exchange, LLC. Dow Jones®, DJIA®, and Dow Jones Industrial AverageSM are trademarks of Dow Jones & Company, Inc. and have been licensed for use for certain purposes by CBOE. CBOE's Options on the Dow based on the Dow Jones indexes and financial products based on the CBOE DJIA BuyWrite Index and the CBOE DJIA Volatility Index are not sponsored, endorsed, marketed or promoted by Dow Jones and Dow Jones makes no representations regarding the advisability of investing in such products. S&P®and S&P 500® are registered trademarks of the McGraw-Hill Companies, Inc. and are licensed for use by CBOE. The Russell 2000® Index is a registered trademark of The Frank Russell Company, used under license. Nasdaq®, Nasdaq-100® and Nasdaq-100 Index are trademarks of The Nasdaq Stock Market, Inc. (with which its affiliates are the "Corporations"). The CBOE Nasdaq-100 BuyWrite Index, and the CBOE Nasdaq-100 Volatility Index ("Indexes") are not derived, maintained, published, calculated or disseminated by the Corporations. Neither the Indexes nor any Derivative Product based on the Indexes has been passed on by the Corporations as to its legality or suitability. Such Derivative Products are not issued, endorsed, sold, sponsored, marketed or promoted by the Corporations. The Corporations make no warranties and bear no liability with respect to the Indexes. The methodologies of the CBOE BuyWrite Indexes and the CBOE Volatility Indexes are owned by CBOE and may be covered by one or more patents or pending patent applications. CBOE's BuyWrite Indexes are designed to represent a proposed hypothetical buy-write strategy. Like many passive indexes, the BuyWrite Indexes do not take into account significant factors such as transaction costs and taxes and, because of factors such as these, many or most investors should be expected to under perform passive indexes. Investors attempting to replicate the BuyWrite Indexes should discuss with their brokers possible timing and liquidity issues. Transaction costs and taxes for buy-write strategies could be significantly higher than transaction costs for a passive strategy of buying-and-holding stocks. Past performance does not guarantee future results.

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