CBOE BuyWrite Indexes—"Roll" Information re: Monthly Options Premiums
CBOE Benchmark Indexes (2-page PDF)
Sources of Returns for CBOE's BuyWrite Indexes
Key Papers on BuyWrite, PutWrite, and Other Option-Based Strategies
- 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)
- 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,"Passive Options-Based Investment Strategies: The Case of the CBOE S&P 500 BuyWrite Index." The Journal of Investing. (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).
- 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).
- 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.
- 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.
- Bibliography on Options and on Buy-Write Strategies.
Options-based Benchmark Indexes
Would you like extra income for your portfolio?
Do you need a cushion against downside moves in the market?
Are you willing to limit upside potential in return for potentially less volatility in your portfolio?
If so, explore these indexes—
CBOE Benchmark Indexes
Volatility-related Benchmark Indexes
Excerpts from News Clips
Options for Nervous Investors
"...Research suggests investors who use covered calls can turn the risk-reward trade-off in their favor by using a strategy based on stock indexes rather than individual stocks...Over 10 years through November, the BXM returned 4.2% a year, versus 2.9% for the S&P 500. Over 20 years, which counts the go-go 1990s, its lead is narrower: 8.4% versus 8.3%. During both periods its volatility was significantly lower than that of the S&P 500...
Wall Street Journal December 10, 2011
Buy Writing Makes Comeback as Way to Hedge Risk
"Pension executives are once again beginning to consider a long-standing but long-dormant derivatives strategy - covered call writing, or buy writing - to hedge their downside equity risk and add incremental alpha ... While options industry executives said the strategy is not new, two developments have given it more credibility. First, in 2002, the Chicago Board Options Exchange created a buy-write index based on the S&P 500, the CBOE S&P 500 BuyWrite Index, or BXM. ... Second, and possibly more important for institutional investors, Ibbotson Associates, Chicago, released a report...
Pensions & Investments. May 16, 2005.
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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 (the "ODD"). The ODD and supporting documentation for claims, comparisons, recommendations, statistics or other technical data are available by calling 1-888-OPTIONS, contacting CBOE at www.cboe.com/Contact, or by visiting www.cboe.com. The CBOE S&P 500 BuyWrite Index (BXMSM), CBOE DJIA BuyWrite Index (BXD), and the CBOE NASDAQ-100 BuyWrite Index (BXN) (the "Indexes") are designed to represent proposed hypothetical buy-write strategies. Like many passive benchmarks, the Indexes do not take into account significant factors such as transaction costs and taxes. Transaction costs and taxes for a buy-write strategy could be significantly higher than transaction costs for a passive strategy of buying-and-holding stocks. Investors attempting to replicate the Indexes should discuss with their brokers possible timing and liquidity issues. Past performance does not guarantee future results. The methodology of the Indexes is owned by CBOE may be covered by one or more patents or pending patent applications. Standard & Poor's®, S&P®, and S&P 500® are registered trademarks of The McGraw-Hill Companies, Inc. and are licensed for use by the Chicago Board Options Exchange, Incorporated (CBOE). "Dow Jones", "The Dow", "DJIA" and "Dow Jones Industrial Average" are registered trademarks of Dow Jones & Company, Inc. CBOE's Options on the Dow based on the Dow Jones Industrial Average and financial products based on the CBOE DJIA BuyWrite Index are not sponsored, endorsed, marketed or promoted by Dow Jones. 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 CBOE. 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 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 . Copyright © Chicago Board Options Exchange 2005. All Rights Reserved.
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