Six CBOE strategy benchmark indexes all hit all-time record daily closing highs today (June 22) –
- 1559.33 BXY - CBOE S&P 500 2% OTM BuyWrite
- 1527.39 PUT - CBOE S&P 500 PutWrite Index
- 1140.06 BXM - CBOE S&P 500 BuyWrite Index
- 459.22 BXN - CBOE Nasdaq BuyWrite Index
- 218.42 BXR - CBOE Russell 2000 BuyWrite Index
- 185.16 LOVOL- CBOE Low Volatility Index
All six of these benchmark indexes engage in the systematic selling of index options to collect options premium on a regular basis.
The CBOE Low Volatility Index (LOVOL) is a benchmark index that is a 40% / 60% blend of the popular CBOE S&P 500 BuyWrite Index (BXMSM) and CBOE VIX Tail Hedge IndexSM (VXTH). The resulting portfolio overlays long VIX calls and short S&P 500 calls over an investment in S&P 500 stocks. The LOVOL mix of VIX and SPX options reduces the chance of shortfalls below -10% but still preserves the bulk of market gains. By construction, the LOVOL delivers returns between the BXM and VXTH, or a risk profile between a cushion and a tail hedge.
These benchmark indexes could appeal to investors who are concerned about low interest rates for bonds and high price/earnings ratios for stocks. To learn more about CBOE’s strategy benchmark indexes and see related research papers, please visit www.cboe.com/benchmarks