Cboe Russell 2000 30-Delta BuyWrite Index (BXRD)
The Cboe Russell 2000 30-Delta BuyWrite IndexSM (BXRD) is a variant of the Russell 2000® BuyWrite Index (BXR). BXRD tracks the value of a hypothetical portfolio that overlays a short 30-delta call on the Russell 2000 (RUT call) on an investment in Russell 2000 stocks. The smaller premium of a 30-delta call relative to an at-the-money call implies a smaller buffer from Russell 2000 losses but also less give up on the upside.
The BXRD Index portfolio is rebalanced monthly after the expiration of the 30-delta RUT call, typically 11 am ET every third Friday. A new 30-delta RUT call is then sold.