Introduction
Key Link
CBOE BuyWrite Indexes—"Roll" Information re: Monthly Options Premiums
Five BuyWrite 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 Russell 2000 BuyWrite Index (BXRSM) www.cboe.com/BXR
CBOE S&P 500 2% OTM BuyWrite Index (BXYSM) www.cboe.com/BXY
CBOE S&P 500 BuyWrite Index (BXMSM) www.cboe.com/BXM
CBOE DJIA BuyWrite Index (BXD) www.cboe.com/BXD
CBOE NASDAQ-100 BuyWrite Index (BXN) www.cboe.com/BXN
Key Papers on BuyWrite Strategies
Callan Associates. "An Historical Evaluation of the CBOE S&P 500 BuyWrite Index Strategy."(October 2006).
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).
Ibbotson Associates. "Highlights from Case Study on BXM Buy-Write Options Strategy." (2004).
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.
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.
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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