The new CBOE NASDAQ-100 BuyWrite Index (BXN) is a benchmark index that measures the performance of a theoretical portfolio that owns a portfolio of the stocks included in the NASDAQ-100 Index®, and "writes" (or sells) NASDAQ-100 Index (NDX) covered call options.
A "buy-write," also called a covered call, generally is considered to be an investment strategy in which an investor buys a stock or a basket of stocks, and also writes (or sells) call options that correspond to the stock or basket of stocks. This strategy can be used in an attempt to enhance a portfolio's risk-adjusted returns and reduce its volatility.
Links to More Information
BXN Press Release
BXN Historical Price Data Spreadsheet
Covered Call Strategy with Equity Options (.pdf format)
BXD Roll Information
More Discussion of Buy-Write Strategies and the BXN 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 year-end price for many stock indexes fell three years in a row, but Buy-Writes tended to underperform stocks in the late 1990s bull market. 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. In 2004 the Ibbotson Associates consulting firm did a case study on buy-write strategies.
The CBOE NASDAQ-100 BuyWrite Index (BXN) is a benchmark index designed to track the performance of a hypothetical buy-write strategy on the NASDAQ-100. The BXN is a passive total return index based on (1) buying a NASDAQ-100 stock index portfolio, and (2) "writing" (or selling) the near-term NASDAQ-100 (NDX) Index "covered" call option, generally on the third Friday of each month. The NDX 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 NDX call is held until expiration and cash settled, at which time a new one-month, near-the-money call is written. Data on daily BXN prices is available from December 30, 1994, to the present from options price quote vendors and at www.cboe.com/BXN (see the link to spreadsheet above).
"Our firm uses the NASDAQ-100 (NDX) index options on behalf of institutional funds and private clients. We welcome innovations such as the CBOE NASDAQ-100 Buy-Write Index (BXN) that help investors to better understand and measure the benefits of option hedged equity portfolios".
Former Chairman and Chief Executive Officer
Gateway Investment Advisers, L.P.
Updated One-year Price Chart with Daily Closing Prices
CBOE NASDAQ-100 BuyWrite Index (BXNSM www.cboe.com/BXN
The CBOE NASDAQ-100 BuyWrite Index (BXN) is designed to represent a proposed hypothetical buy-write strategy. Like many passive indexes, the BXN Index does not take into account significant factors such as transaction costs and taxes and, because of factors such as these, many or most investors should be expected to underperform passive indexes. Investors attempting to replicate the BXN Index should discuss with their brokers possible timing and liquidity issues. Transaction costs and taxes for a buy-write strategy such as the BXN could be significantly higher than transaction costs for a passive strategy of buying-and-holding stocks. Past performance does not guarantee future results. The methodology of the CBOE NASDAQ-100 BuyWrite Index is owned by CBOE may be covered by one or more patents or pending patent applications.
Nasdaq®, Nasdaq-100®, and Nasdaq-100 Index®, are trademarks of The Nasdaq Stock Market, Inc. (which with its affiliates is referred to as the "Corporations") and are licensed for use by the Chicago Board Options Exchange, Incorporated. The CBOE Nasdaq-100 BuyWrite Index (the "BXN Index") is not derived, maintained, published, calculated or disseminated by the Corporations. Neither the BXN Index nor any Derivative Product based on the BXN Index has been passed on by the Nasdaq Corporations as to its legality or suitability. Such Derivative Products are not issued, endorsed, sold, or promoted by the Corporations. The Corporations make no warranties and bear no liability with respect to the BXN Index.
CBOE NASDAQ-100 BuyWrite Index data is compiled for the convenience of site visitors and is furnished without responsibility for accuracy and is accepted by the site visitor on the condition that transmission or omissions shall not be made the basis for any claim, demand or cause for action. The information and data was obtained from sources believed to be reliable, but accuracy is not guaranteed.
Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of Characteristics and Risks of Standardized Options. Supporting documentation for claims, comparisons, recommendations, statistics or other technical data is available by calling 1-888-OPTIONS, sending an e-mail to firstname.lastname@example.org, or by visiting www.cboe.com/BXN.