Cboe S&P 500 Covered Combo Index (CMBO)
The Cboe S&P 500 Covered Combo IndexSM is a 50/50 blend of the BXY and PUT indexes. Both BXY and PUT portfolios implement BuyWrite strategies that buffer the impact of negative returns of the S&P 500®. The CMBO tracks the value of a portfolio of securities (CMBO portfolio) composed of an investment in the S&P 500 covered by a 2% out-of-the money call (BXY) and of a short at-the money put option overlaid on one-month Treasury bills (approximately the PUT).
The CMBO portfolio is rebalanced monthly after the expiration of SPX options, typically 11 am ET every third Friday. New SPX options are then sold.