Links to More Information on the BXD Index
News Release - Study Issued by Fund Evaluation Group on The CBOE DJIA BuyWrite Index (BXD), CBOE DJIA Volatility Index (VXD), and Impact on Risk-Adjusted Returns
News Release - CBOE To Begin Disseminating Two New Indexes Based On The Dow Jones Industrial Average: CBOE DJIA Volatility Index and CBOE DJIA BuyWrite Index
BXD Daily Price History (.csv format)
More Discussion of Buy-Write Strategies and the BXD Index
Buy-Write strategies provide option premium income that can help cushion downside moves in an equity portfolio, but Buy-Writes often under perform stocks in rising markets. Thus, some Buy-Write strategies significantly outperformed stocks in 2000 - 2002 when the DJIA year-end price fell three years in a row, but Buy-Writes tended to underperform stocks in the late 1990s when the DJIA rose by more than 15% per year. Buy-Write strategies have an added attraction to some investors in that Buy-Writes can help lessen the overall volatility in many portfolios.
In 2002 the Chicago Board Options Exchange (CBOE) commissioned Professor Robert Whaley to develop the methodology for a benchmark index designed to reflect buy-write performance
The CBOE DJIA BuyWrite Index (BXD) is a benchmark index designed to track the performance of a hypothetical buy-write strategy on the DJIA. Announced in 2005, the BXD Index was created by CBOE under an agreement with Dow Jones & Company, Inc., and is based on prices of Options on the Dow (DJX), traded at CBOE. The BXD is a passive total return index based on (1) buying a DJIA stock index portfolio, and (2) "writing" (or selling) the near-term DJX Index "covered" call option, generally on the third Friday of each month. The DJX 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 DJX call is held until expiration and cash settled, at which time a new one-month, near-the-money call is written. Data on daily BXM prices is available from October 16, 1997 to the present from options price quote vendors and at www.cboe.com/bxd (see the link Excel spreadsheet above).
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