Cboe S&P 500 Multi-Week BuyWrite Index (BXMW)
The Cboe S&P 500 Multi-Week BuyWrite IndexSM is a variation of the Cboe BuyWrite index (BXM) that buffers the impact of negative S&P 500® returns by selling calls on a weekly basis instead of once a month. The BXMW tracks the value of a portfolio (BXMW) composed of an investment in S&P 500 stocks overlaid by short positions in 1/4 each of weekly SPX options that expire over the next four consecutive weeks.
The BXMW portfolio is rebalanced every Friday, after one the SPX options expires, at the open of the third Friday of the month, and the close on the other Fridays. That option is replaced by a quarter of a new SPX option expiring approximately four weeks later.