Cboe, CBSX, & CFE Press Releases



CHICAGO, November 9, 2006 - The Chicago Board Options Exchange said today that the CBOE S&P 500 BuyWrite Index, "BXM," and two other CBOE BuyWrite Indexes reached all-time high closing prices on Wednesday, November 8, 2006:

* CBOE S&P 500 BuyWrite Index (BXM) -- 785.52
* CBOE S&P 500 2% Out-of-the-Money BuyWrite Index (BXY) -- 909.02
* CBOE DJIA BuyWrite Index (BXD) -- 183.21

All three BuyWrite Indexes have risen more than ten percent so far this year. Year-to-date returns through November 8:

* CBOE S&P 500 BuyWrite Index (BXM) -- Up 11.3%
* CBOE S&P 500 2% Out-of-the-Money BuyWrite Index (BXY) -- Up 13.4%
* CBOE DJIA BuyWrite Index (BXD) -- Up 10.5%

A "buy-write" strategy is one in which an investor buys stocks and writes, or sells, related call options for income.For example, the CBOE S&P 500 BuyWrite Index (BXM) is a broad-based benchmark index that measures the performance of a hypothetical portfolio that sells S&P 500 Index (SPX) call options, generally on the third Friday of each month, against a long portfolio of stocks in the S&P 500 Index. The BXD is based on Options on the Dow (DJX) versus a portfolio of the stocks included in the Dow Jones Industrial Average.

Studies done by both Callan Associates and Ibbotson Associates found that over the periods studied, the BXM had better returns with less volatility than the S&P 500. Investors have allocated more than $20 billion to buy-write strategies over the past two years.

CBOE also calculates and publishes the CBOE Nasdaq-100 BuyWrite Index (BXN) and the CBOE Russell 2000 BuyWrite Index (BXR). Information about the CBOE BuyWrite Indexes, including historical data, can be found at: www.cboe.com/BXM.

Key points about the BXM Index and buy-write strategies include:

* Introduction. The BXM, the first benchmark measure of the performance of an options-based strategy, was created by CBOE in 2002. Professor Robert Whaley, now with Vanderbilt University, compiled and analyzed relevant data from 1988 through 2001 to help develop the BXM.

* Performance.In the period from June 1988 through July 2006, the BXM Index had slightly higher annualized returns than the S&P 500 Index (11.8% vs. 11.5%) and the BXM had significantly less volatility than the S&P 500 Index (9.3% vs. 13.9% standard deviation).

* Consultants' Studies.Two important studies of the BXM performance have been published. One by Callan Associates, Inc., an investment services consulting firm, found that, among other things, BXM generated superior risk-adjusted returns over the last 18 years, a return comparable to that of the S&P 500 with approximately two-thirds of the risk. (The compound annual return of the BXM was 11.77% compared to 11.67 percent for the S&P 500. BXM returns were generated with a standard deviation of 9.29%, two-thirds of the 13.89% volatility of the S&P 500.) In 2004, Ibbotson Associates found that the BXM had the best risk-adjusted performance of the major U.S. and international equity-based indexes over the 16-year period studied, and that the strategy enhances the risk-return tradeoff when added to a portfolio.

* New Investments. In the past two years, investors have allocated more than $20 billion to more than 40 new investment products that utilize buy-write strategies. Many investors appreciated the fact that the hypothetical BXM Index garnered call options premiums at an average rate of about 1.6% per month over the past 18 years.

* Awards. The BXM Index was awarded the "Innovative Index of the Year" award at the Super Bowl of Indexing Conference, and the creation of the BXM Index led to CBOE receiving the 2006 "Exchange of the Year, North America" award by Structured Products magazine.

The CBOE Futures Exchange (CFE) launched futures on the BXM on October 2, 2006, as a means for investors to participate in the performance of a buy-write strategy. The BXM futures contract is 100 times the value of the BXM, and is cash-settled.

CBOE, the largest options marketplace in the U.S. and the creator of listed options, is regulated by the Securities and Exchange Commission (SEC). For additional information about the CBOE and its products, visit the CBOE website at: www.cboe.com.

Lynne Howard-Reed
(312) 786-7123

Gary Compton
(312) 786-7612

CBOE(R) and Chicago Board Options Exchange(R) are registered trademarks of Chicago Board Options Exchange, Incorporated (CBOE). BXM, BXD, BXN, BXR, BXY and SPX are service marks of CBOE. CFE is a registered trademark and CBOE Futures Exchange is a service mark of CBOE Futures Exchange, LLC. Dow Jones(R), DJIA(R), 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 Industrial Average and financial products based on the CBOE DJIA BuyWrite Index are not sponsored, endorsed, marketed or promoted by Dow Jones. S&P(R)and S&P 500(R) are registered trademarks of the McGraw-Hill Companies, Inc. and are licensed for use by CBOE. CBOE, not S&P, calculates and disseminates the BXM Index. The Russell 2000 Index is a registered trademark of The Frank Russell Company, used under license. Nasdaq(R), Nasdaq-100(R) and Nasdaq-100 Index are trademarks of The Nasdaq Stock Market, Inc. (with which its affiliates are the "Corporations") and are licensed for use by CBOE. . The CBOE Nasdaq-100 BuyWrite Index (the "BXN Index") is not derived, maintained, published, calculated or disseminated by the Corporations. Neither the BXN Index nor any Derivative Product based on the BXN Index has been passed on by the Nasdaq Corporations as to its legality or suitability. Such Derivative Products are not issued, endorsed, sold, or promoted by the Corporations. The Corporations make no warranties and bear no liability with respect to the BXN Index. The methodology of the CBOE BuyWrite Indexes is 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 underperform 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. The Callan Associates paper was prepared at the request of Chicago Board Options Exchange solely to describe the basic investment principles of the CBOE S&P 500 BuyWrite Index and was not intended to be used in connection with the offering for purchase or sale of any security. Callan Associates, Inc. makes no representation as to the appropriateness of these strategies for any investor. Before adopting any part of a Buy-Write investment strategy investors should consult with a recognized investment advisor who is familiar with their particular financial circumstances. Past performance does not guarantee future results.TM

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