$BXM Archives - Cboe Blogs

  • Feb 8, 2017, 3:28 PM

    Portfolio Protection, Tail Risk and 15 Histograms

    Portfolio Protection, Tail Risk and 15 Histograms

    With U.S. stock market indexes recently hitting all-time highs, there is quite a bit investor uncertainty about the markets and there is high demand for protection from large market declines. One metric providing evidence of this high demand is the CBOE SKEW Index (SKEW). In the 27 years from 1990 through 2016, the average daily level for the SKEW Index was 118.4, and the average level of SKEW never topped 130 in any of those 27 years. In the year 2017 (through February 7) the average daily level[...]

  • Market News | 2016 Recap | Jan 4, 2017, 8:09 AM

    Higher Returns and Lower Volatility for BXMD and PUT Indexes Over 30½ Years

    Higher Returns and Lower Volatility for BXMD and PUT Indexes Over 30½ Years

    Investors now have access to price histories for several CBOE benchmark indexes that date back 30.5 years. The first two charts below show that since mid-1986 both the CBOE S&P 500 30-Delta BuyWrite Index (BXMDSM) and CBOE S&P 500 PutWrite Index (PUTSM) had higher returns than the S&P 500® Index, 30-Year Treasury Bond Index (Citi), MSCI EAFE® Index, and S&P GSCI Index. HIGHER RETURNS AND LOWER VOLATILITY The Annualized Returns and Standard Deviations bar graphs below show[...]

  • Market News | Education | Apr 27, 2016, 4:22 PM

    Morningstar Is Adding New “Option Writing” Category on April 29

    Morningstar Is Adding New “Option Writing” Category on April 29

    In my opinion, the launch of a new Option Writing category by Morningstar this week has tremendous potential to boost long-term interest in and acceptance of options-based strategies by portfolio managers, financial advisers, and consultants. On April 29, 2016, Morningstar is adding a new Option Writing category to its U.S Retail Category system, and the Category Index is the CBOE S&P 500 BuyWrite Index (BXM). BACKGROUND ON DEVELOPMENTS IN PAST YEARS Over the past decade I have spoken to numerous[...]

  • Education | Strategy | Feb 23, 2016, 4:33 PM

    New Study by Black and Szado Analyzes Six CBOE Benchmarks – BXM, PUT, BFLY, BXMD, CMBO, CNDR – Since 1986

    New Study by Black and Szado Analyzes Six CBOE Benchmarks – BXM, PUT, BFLY, BXMD, CMBO, CNDR – Since 1986

    A new study examines six benchmark indexes that write S&P 500® (SPX) index options, comparing their performances with those of traditional stock, bond and commodity benchmark indexes. The study, “Performance Analysis of CBOE S&P 500 Options-Selling Indices,” is the first comprehensive study that examines the performance of options-strategy benchmark indexes that incorporate iron condor and iron butterfly strategies. Commissioned by CBOE and co-authored by Keith Black, Ph.D.,[...]

  • Market News | Trader Talk | Trade Ideas | Nov 28, 2015, 6:40 PM

    New Barron's Article and RMC Presentation on Funds' Use of Options

    New Barron's Article and RMC Presentation on Funds' Use of Options

    Use of options by funds has grown tremendously since the 2002 introduction of the first major benchmark for options-based performance - the CBOE S&P 500 BuyWrite Index (BXM). Below are some recent developments and updates re fund use of options that will be covered at the First Annual CBOE Risk Management Asia Conference, which launches on Nov. 30 in Hong Kong. 1. BARRON'S. On page M9 of the Nov. 30 issue of Barron's, Amey Stone devotes the entire column to a review of covered call funds, and[...]

  • Market News | Sep 21, 2015, 5:08 PM

    RMC Europe Day 1 Preview

    RMC Europe Day 1 Preview

    On Monday September 28th the European version of CBOE’s Risk Management Conference gets underway in Geneva, Switzerland. The conference kicks off with Matt Moran and Bill Speth from CBOE discussing the wide variety of Benchmark Indexes calculated and disseminated by CBOE.  The theme to this discussion could be something old and something new.  CBOE was the pioneer in creating strategy benchmark indexes with the CBOE S&P 500 BuyWrite Index.  This and a handful of other established[...]

  • Market News | Strategy | Jul 30, 2015, 1:53 PM

    New Appeal for BXM Index and Buy-write Strategies in 2015

    New Appeal for BXM Index and Buy-write Strategies in 2015

    In a recent news article in Bloomberg, Callie Bost noted this year’s relatively strong performance for the CBOE S&P 500 BuyWrite Index (BXM), and she wrote -- “Traders Score With Buy-Write Options Strategy Tuned to U.S. Calm.  Traders selling calls on stock holdings are beating the S&P 500 for the first time since 2011. The torpor in U.S. equities is proving a bonanza for traders employing an options tactic designed to capitalize on dead markets. …  ‘A churning[...]

  • Education | Strategy | Feb 9, 2015, 2:34 PM

    New White Paper Explores a Leveraged Approach Applying the CBOE S&P 500 PutWrite Index

    New White Paper Explores a Leveraged Approach Applying the CBOE S&P 500 PutWrite Index

    As a follow up to a BXY white paper we produced a few months ago, Mark Sebastian, Hannah Chody, and I just completed “A Leveraged Portfolio Management Approach Applying The CBOE S&P 500 PutWrite Index”. Highlights include – An analysis of PUT returns versus the total return for the S&P 500 over the last 26 years Examinations of how leveraging PUT returns can result in superior absolute and risk adjusted returns A demonstration of how to implement a leveraged PUT strategy The[...]

  • Market News | Technical Analysis & Charts | VIX | Education | Jan 14, 2015, 2:00 PM

    New Study – Funds That Use Options (Part 3 on Related Benchmarks & SPX Options)

    New Study – Funds That Use Options (Part 3 on Related Benchmarks & SPX Options)

    A groundbreaking new study -- “Highlights of Performance Analysis of Options-Based Equity Mutual Funds, CEFs, and ETFs” authored by Keith Black and Edward Szado -- analyzed SEC-regulated investment companies that focus on use of exchange-listed options for portfolio management (options-based funds). This is my Part 3 Blog on the study. The first part of the study presented an analysis of Options-Based Funds over the past 15 years, while the second part focused on the performance of options-based[...]

  • Education | Jan 13, 2015, 6:30 PM

    New Study – Funds That Use Options (Part 2 on Lower Volatility)

    New Study – Funds That Use Options (Part 2 on Lower Volatility)

    A new study -- “Highlights of Performance Analysis of Options-Based Equity Mutual Funds, CEFs, and ETFs” -- analyzed SEC-regulated investment companies that focus on use of exchange-listed options for portfolio management (options-based funds). I still speak with novice investors who think that all options strategies are risky, but the study found that the Options-Based Funds overall have had less volatility than some key benchmark indexes over a 15-year time period. OPTIONS-BASED FUNDS[...]

  • Market News | VIX | Trader Talk | Education | Futures | Dec 1, 2014, 3:35 PM

    Free Webcast and a Cyber Monday Deal

    Free Webcast and a Cyber Monday Deal

    Tomorrow Mark Sebastian and I will be hosting a webcast at 3:30 pm Chicago time to discuss our recent paper on leveraging buywrite strategies along with a discussion of preliminary results for a leveraging SPX put selling strategies. There’s still time to register – www.cboe.com/webcasts CBOE is on the “Cyber-Monday” bandwagon offering deeply discounted online access to many of our upcoming classes. Mark Sebastian and I will be giving on of these discounted classes a week[...]