Cboe S&P 500 2% OTM BuyWrite Index (BXY)
The Cboe S&P 500 2% OTM BuyWrite IndexSM (BXY) is a variant of the S&P 500 BuyWrite Index (BXM). BXY tracks the value of a hypothetical portfolio that overlays a short 2% out-of-the-money call on an investment in S&P 500® stocks. The smaller premium of a 2% out-of-the-money call relative to an at-the-money call provides smaller buffer but also less give up on the uspside.
The BXY portfolio is rebalanced monthly after the expiration of the call, typically 11 am ET every third Friday. A new 2% out-of-the-money SPX cal is then sold.