CBOE's Strategy Benchmark Indexes


Key Papers on BuyWrite, PutWrite, and Other Option-Based 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

Ticker Index Delayed Quotes
Sym Last Pt. Change
BXM CBOE S&P 500 BuyWrite Index�
BXM 1077.89 3.67
BXY CBOE S&P 500 2% OTM BuyWrite Index
BXY 1498.64 5.45
BXR CBOE Russell 2000 BuyWrite Index
BXR 200.90 0.00
BXD CBOE DJIA BuyWrite Index
BXD 263.38 0.33
BXN CBOE Nasdaq BuyWrite Index
BXN 441.74 1.92
CLL CBOE S&P 500 95-110 Collar Index
CLL 677.61 1.93
PUT CBOE S&P 500 PutWrite Index
PUT 1456.61 3.36

Volatility-related Benchmark Indexes

Ticker Index Delayed Quotes
Sym Last Pt. Change
VPD CBOE VIX Premium Strategy Index
VPD 255.63 1.61
VPN CBOE Capped VIX Premium Strategy Index
VPN 248.64 1.55
VXTH CBOE VIX Tail Hedge Index
VXTH 203.71 0.79
LOVOL CBOE Low Volatility Index
LOVOL 182.28 0.67

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.


20-Year Annualized Returns

Standard Deviation

Index Levels

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 2014 Chicago Board Options Exchange, All Rights Reserved

  VIX Snapshot

*Third Party Advertisement