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CBOE's Benchmark Indexes

 
BXM
PUT   BXM  
SPX 1994.34 -16.06
BXM 1096.98 -5.94
BXY 1525.57 -11.46
PUT 1485.60 -7.49
CLL 659.07 -3.69
Delayed Quotes


Key Links

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



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 Website

Delayed Quotes

Sym  Last Pt. Change
BXM CBOE S&P 500 BuyWrite Index® www.cboe.com/BXM
BXM 1096.98 -5.94
BXY CBOE S&P 500 2% OTM BuyWrite Index www.cboe.com/BXY
BXY 1525.57 -11.46
BXR CBOE Russell 2000 BuyWrite Index www.cboe.com/BXR
BXR 198.54 -4.39
BXD CBOE DJIA BuyWrite Index www.cboe.com/BXD
BXD 268.37 -1.21
BXN CBOE Nasdaq BuyWrite Index www.cboe.com/BXN
BXN 448.47 -2.67
CLL CBOE S&P 500 95-110 Collar Index www.cboe.com/CLL
CLL 659.07 -3.69
PUT CBOE S&P 500 PutWrite Index www.cboe.com/PUT
PUT 1485.60 -7.49


Volatility-related Benchmark Indexes

Ticker Index Website

Delayed Quotes

Sym  Last Pt. Change
VPD CBOE VIX Premium Strategy Index www.cboe.com/VPD
VPD 269.99 0.00
VPN CBOE Capped VIX Premium Strategy Index www.cboe.com/VPN
VPN 263.80 0.00
VXTH CBOE VIX Tail Hedge Index www.cboe.com/VXTH
VXTH 187.37 -1.51
LOVOL CBOE Low Volatility Index www.cboe.com/LOVOL
LOVOL 174.65 -1.22


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.



Charts

20-Year Annualized Returns


Standard Deviation


Index Levels



More Index Charts

Link to more Index Charts



Links to More Up-to-date Price Information

Delayed Price Quotes
Advanced Charts



Spreadsheets with Historical Price Data

Historical Daily Prices - Spreadsheet with Closing Prices for Several Indexes
Historical Month-end Prices - Spreadsheet with Closing Prices for Several Indexes
In addition, Market Data Express gives users access to more than 16 years of historical options data



Simple Options Profit-and-Loss Diagrams
Simple Options Profit-and-Loss Diagrams



Links for More Information and Reports

Bibliography of Articles on BuyWrites and Other Options Strategies
Third-party Research Reports
Bibliography of Articles on VIX, and Volatility and Variance Swaps






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.

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CBOE Volatility Index (VIX)