Cboe NASDAQ-100 BuyWrite Index (BXN)
The Cboe Nasdaq 100 BuyWrite IndexSM (BXN) applies the buywrite strategy to the Nasdaq 100® Index (NDX). The objective of a buwrite strategy is to buffer downside returns by selling a slice of upside returns. The BXN tracks the value of hypothetical portfolio that overlays a short at-the-money call option on the NDX (NDX call). The premium harvested from the NDX call buffers possible losses on an investment in Nasdaq 100 stocks.
The BXN Index portfolio is calculated every 15 seconds and is rebalanced monthly after the expiration of the NDX call, typically 11 am ET every third Friday.
More Discussion of Buy-Write Strategies and the BXN Index
The Cboe NASDAQ-100 BuyWrite Index (BXN) is a benchmark index designed to track the performance of a hypothetical buy-write strategy on the NASDAQ-100. The BXN is a passive total return index based on (1) buying a NASDAQ-100 stock index portfolio, and (2) "writing" (or selling) the near-term NASDAQ-100 (NDX) Index "covered" call option, generally on the third Friday of each month. The NDX call written will have about one month remaining to expiration, with an exercise price just above the prevailing index level (i.e., slightly out of the money). The NDX call is held until expiration and cash settled, at which time a new one-month, near-the-money call is written.