Market Timing with Volatility Indices®Cboe Applied Academics TYVIX / VIX - based Asset Rotation StrategyResearch Note
ESMA UCITS Guidelines Supplemental Information for the Cboe Volatility Index (VIX®)VIX Index - UCITS Information
If you would like to receive a PDF version of any of these three Cboe White Papers created in 2001:Corporate Stock Repurchase Programs & Listed Options Hedge Funds & Listed Options High-net-worth Investors & Listed OptionsPlease click here to send your request.
* Please note the risk disclosures and dates for the various publications above. For updated advice on legal or tax consequences, please speak with your tax and legal counselors.
Aon Hewitt. Harvesting the Equity Insurance Risk Premium: Know Your Options (December 2014) Asset Consulting Group. An Analysis of Index Option Writing for Liquid Enhanced Risk-Adjusted Returns (January 2012) Asset Consulting Group. Key Tools for Hedging and Tail Risk Management (February 2012) BlackRock. VIX Your Portfolio - Selling Volatility to Improve Performance (June 2013) Black, Keith and Edward Szado. Performance Analysis of Options-Based Equity Mutual Funds, CEFs, and ETFs: An Update (2018). Slide Presentation (28-page PDF). Black, Keith, and Edward Szado. Performance Analysis of Cboe S&P 500 Options-Selling Indices. (2016) Bondarenko, Oleg. An Analysis of Index Option Writing with Monthly and Weekly Rollover. (2016) Callan Associates. "An Historical Evaluation of the Cboe S&P 500 BuyWrite Index Strategy." (October 2006) Cambridge Associates, LLC. Highlights from the Benefits of Selling Volatility (2011) Ennis Knupp & Associates. "Evaluating the Performance Characteristics of the Cboe S&P 500 PutWrite Index"(December 2008) Feldman, Barry, and Dhruv Roy, . (Summer 2005) Fund Evaluation Group. "Evaluation of BuyWrite and Volatility Indexes: Using the Cboe DJIA BuyWrite Index (BXD) and the Cboe DJIA Volatility Index (VXD) for Asset Allocation and Diversification Purposes." (2007) Fund Evaluation Group (FEG). "Evaluating Options For Enhanced Risk-Adjusted Returns: Cboe Russell 2000 Option Benchmark Suite and Case Studies on Fund Use of Options" (2016) Hewitt EnnisKnupp. "The Cboe S&P 500 BuyWrite Index (BXM) - A Review of Performance" (2012) Ibbotson Associates. "Highlights from Case Study on BXM Buy-Write Options Strategy." (2004) Nu Paradigm: Differentiating and Benchmarking Volatility-Based Investment Strategies Utilizing the Cboe Eurekahedge Volatility Indexes (2016) Parametric Portfolio Associates. "Volatility Risk Premium and Financial Distress" (August 2016) Russell Investments. Capturing the Volatility Premium through Call Overwriting. (July 2012) Schneeweis, Thomas, and Richard Spurgin. "The Benefits of Index Option-Based Strategies for Institutional Portfolios" The Journal of Alternative Investments, (Spring 2001), pp. 44-52. Shore, Mark. Analyzing Russell 2000 Options-Based Benchmark Indexes Designed to Provide Enhanced Yields and Risk-Adjusted Returns. (2016) 32-Page PDF Paper SIGLO Capital Advisors. "Rebalancing Using Options" (March 2014) University of Massachusetts. "VIX Futures and Options - A Case Study of Portfolio Diversification During the 2008 Financial Crisis" (July 2009) Two-page version; 43-page version. Whaley, Robert. "Risk and Return of the Cboe BuyWrite Monthly Index" The Journal of Derivatives (Winter 2002), pp. 35-42. Wilshire. "Three Decades of Options-Based Benchmark Indices with Premium Selling or Buying: A Performance Analysis" (2016) Bibliography on Options and on Buy-Write Strategies.