CMBO Archives - Cboe Blogs

  • Market News | Cboe Benchmark Indexes | Jul 9, 2016, 9:49 AM

    CMBO Index and Selling of SPX Calls and Puts – Blog #6 on 30-Year Price History

    CMBO Index and Selling of SPX Calls and Puts – Blog #6 on 30-Year Price History

    A 2011 paper by the consulting firm Cambridge Associates - Highlights from the Benefits of Selling Volatility – noted that -- “Over the past 20 years, a strategy of systematically selling out of the money puts and calls on the S&P 500 Index (a short strangle portfolio) would not only have soundly beaten equity returns with lower volatility, but also offered similar returns to the median hedge fund manager tracked by Cambridge Associates, albeit with slightly higher volatility …” In[...]

  • Market News | Mar 14, 2016, 2:38 PM

    Bracketology – Strong Returns for BXMD and CMBO Indexes Since Mid-1986

    Bracketology – Strong Returns for BXMD and CMBO Indexes Since Mid-1986

    While much of this month’s bracketology focus is on basketball tournaments, the chart below shows investment returns for eight benchmark indexes since mid-1986. The chart includes four benchmark indexes (introduced in 2015) that invest in S&P 500® (SPX) options.  In the chart the top two indexes in terms of annualized returns were the CBOE S&P 500 30-Delta BuyWrite Index (BXMD) and the CBOE S&P 500 Covered Combo Index (CMBO). DECCRIPTIONS FOR FOUR BENCHMARK INDEXES THAT[...]

  • 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 | Jul 29, 2015, 3:44 PM

    Ten New CBOE Benchmark Indexes - Risk Management and Yield-enhancing Investment Tools

    Ten New CBOE Benchmark Indexes - Risk Management and Yield-enhancing Investment Tools

    Today CBOE announced in a press release that it has created 10 new options-based strategy performance benchmark indexes that are designed to highlight the long-term utility of options as risk management and yield- enhancing investment tools. CBOE will disseminate intra-day values for the new benchmarks beginning August 3, 2015 at the page www.cboe.com/benchmarks. The new benchmark indexes use popular S&P 500® Index (SPX) Weeklys options to create new versions of two of CBOE’s flagship[...]