CBOE's Strategy Benchmark Indexes

Bibliography of Articles on BuyWrites and Other Options Strategies

  • Black, Fischer and Scholes, Myron, "The Pricing of Options and Corporate Liabilities", Journal of Political Economy, (1973) 81:637-654.
  • Blake, Rich. "Investors Are Dusting Off an Old Strategy, Options Overlay; When It Works, It Offers Both Yield Enhancement and Risk Management." Institutional Investor, Sept. 2002, pp. 173 - 174.
  • Brill, Maria. "Options for Generating Income." Financial Advisor. (July 2006) pp. 85-86.
  • Calio, Vince. Covered Calls Become Another Alpha Source." Pensions & Investments. (May 1, 2006).
  • Callan Associates. "An Historical Evaluation of the CBOE S&P 500 BuyWrite Index Strategy."(October 2006).
  • Corbin, David; Villegas, Melissa. "For Less Market Risk, Consider Covered Calls." Fort Worth Business Press, July 30, 2004.
  • "Covered Call Strategy Could Have Helped, Study Shows" Pensions & Investments, Sept. 20, 2004, p. 38 "Institutional investors could have notched a 12.4% return and simultaneously reduced risk over the past 16 years if they had added a covered call strategy overlay to their portfolios, according to a study by Ibbotson Associates in Chicago... "
  • Cox, John C., Ross, Stephen A., and Rubenstein, Mark, "Option Pricing: A Simplified Approach", Journal of Financial Economics, (1979) pp. 229-263.
  • Crawford, Gregory. "Buy Writing Makes Comeback as Way to Hedge Risk." Pensions&Investments. May 16, 2005. "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 possible more important for institutional investors, Ibbotson Associates, Chicago, released a report..."
  • Demby, Elayne Robertson. "Maintaining Speed -- In a Sideways or Falling Market, Writing Covered Call Options Is One Way To Give Your Clients Some Traction." Bloomberg Wealth Manager, February 2005.
  • Ennis Knupp & Associates. "Evaluating the Performance Characteristics of the CBOE S&P 500 PutWrite Index." (December 2008).
  • "Exchange of the year, North America - Chicago Board Options Exchange." Structured Products (April 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).
  • Ferry, John. "An Array of Options - A Buy-write Strategy Can Add Some Octane to Portfolios When the Markets Lack Direction." Worth Magazine, April 2005, pp. 102 - 104.
  • Ferry, John. "CBOE's BXM Index Forms Basis for Structured Products." Structured Products, January 2005, pg. 8.
  • Frankel, Doris. "Buy-writes Catch on in Sideways U.S. Stock Market." Reuters. (Jun 17, 2005).
  • Fulton, Benjamin T., and Matthew T. Moran. "BuyWrite Benchmark Indexes and the First Options-Based ETFs" Institutional Investor—A Guide to ETFs and Indexing Innovations (Fall 2008), pp. 101–110.
  • Hadi, Mohammed. "Buy-Write Strategy Could Help in Sideways Market." Wall Street Journal. (April 29, 2006) pg. B5.
  • Hill, Joanne, Venkatesh Balasubramanian, Krag (Buzz) Gregory, and Ingrid Tierens. "Finding Alpha via Covered Index Writing." Financial Analysts Journal. (Sept.-Oct. 2006). pp. 29-46. Covered S&P 500 Index call strategies have, on average, outperformed the S&P 500 Index over the past 15+ years while realizing lower standard deviations of returns. This analysis dissects the strategy underlying the BXM Index, the most broadly quoted benchmark for index call-selling strategies. Also discussed are alternative structured S&P 500 option-overwriting strategies, which have even more attractive risk-return trade-offs than the BXM because they take advantage of the implicit positive risk premium of equities and potentially adjust the strike price of the call sold on the basis of the volatility environment.
  • Hoenig, Jonathan. "Take Cover!" Trader Monthly (February/March 2006), Page 56. "...According to a 2004 study by Ibbotson Associates, the BXM index outperformed the long-only S&P 500 over a 16-year period, achieving a compound annual return of 12.39 percent versus 12.20 percent for the S&P 500..."
  • Ibbotson Associates. "Highlights from Case Study on BXM Buy-Write Options Strategy." (2004).
  • Keenan, Charles. "Mass Appeal It's Still a Niche Market, But More Assets Are Flowing Into Mutual Funds That Use Hedge Fund Techniques." Institutional Investor, July 2004. "It's not just a rich man's game. Although only high-net-worth U.S. investors can buy stakes in hedge funds, any individual with as little as $1,000 can buy shares in mutual funds that use two basic hedge fund maneuvers: shorting stocks and buying and selling options."
  • Kimelman, John. "Milking Stocks for Extra Cream." Barron's Online. (Aug. 8, 2006).
  • Lauricella, Tom. "'Buy Write' Funds May Well Be The Right Strategy." Wall Street Journal. (Sep 8, 2008). pg. R1.
  • Mintz, S.L. "Enjoying the High Wire -- and the Safety Net - Covered call options can protect against a tumble."
    Barron's (June 8, 2013) pg. S24.
  • Moran, Matt. "Index Buy-Write Strategies Explained." Derivatives Week. (Aug. 7, 2006).
  • Moran, Matthew. "Risk-adjusted Performance for Derivatives-based Indexes - Tools to Help Stabilize Returns." The Journal of Indexes. (Fourth Quarter, 2002) pp. 34 - 40.
  • Natenberg, Sheldon: Option Volatility and Pricing, Revised Edition, Burr Ridge, Illinois, Irwin Professional Publishing, 1994.
  • Nelson, Brett, "When the Market Sleeps -- Despite A Sluggish Stock Market, Max Ansbacher Makes Money. His Risky Trick: Selling Puts And Calls On The S&P 500 Index" Forbes, Oct. 18, 2004.
  • Oyster, Mike. "Versatility of Buy-Write Strategies." Futures. (Feb. 2006) pp. 34-36.
  • Rendleman, R. "Option Investing from a Risk-return Perspective." Journal of Portfolio Management, May 1999, pp. 109 - 121.
  • Roeder, David. "New Funds Try Options to Boost Stock Income." Chicago Sun-Times. Sunday, October 10, 2004, Page 43A. "... The whole notion of using options to safeguard stock holdings got a boost from a study issued a month ago by Chicago-based Ibbotson Associates, which analyzes historical returns. [...] The so-called buy-write index (BXM) has posted a compound annual return over 16 years of 12.4 percent, slightly higher than the S&P 500 itself, but with a third less risk, Ibbotson found."
  • 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.
  • Schurr, Stephen, "Spoilt for Choice? Time to Explore Your Options." Financial Times. Oct. 11, 2004. " ... While investors have increasingly used Buy-Write strategies for individual stocks, applying this approach to index investing can reap attractive rewards with relatively little risk. A research report by Ibbotson Associates, the asset allocation experts from Chicago, has good things to say about the Buy-Write options strategy when it comes to S&P 500 index investing. ..."
  • Sears, Steven M. "'Buy-Writes' Soar in Favor." Barron's. (Dec 8, 2008) pg. M9.
  • Sears, Steve. "Making the Most of Volatility" Barron's. (May 25, 2013).
  • SIGLO Capital Advisors. "Rebalancing Using Options" (March 2014).
  • Smith, Steven. "Covered Calls for the Long Run." The Street.com March 15, 2005. "In a low-implied-volatility environment, writing covered calls is a highly effective investment strategy. [...] Covered-call writing received a huge boost last July when Chicago-based research firm Ibbotson Associates published a study on passive investment strategies. The study had a particular focus on the buy-write strategy based on the Chicago Board of Option Exchange's BuyWrite Index (BXM). "
  • Smith, Steven "More Options on Covered Calls" TheStreet.com., Oct. 13, 2004
  • Stux, Ivan, and Peter Fanelli. "Hedged Equities as an Asset Class." Morgan Stanley Research Paper (1990).
  • Tan, Kopin. "CBOE Licenses Investment Firm for BXM Product." Wall Street Journal, April 21, 2003, p. C5.
  • Tan, Kopin. "Covered Calls Grow in Popularity as Stock Indexes Remain Sluggish." Wall Street Journal, April 12, 2002.
  • Tan, Kopin. "Popular Strategy Eased the Pain of a Tough Year for Investors." Wall Street Journal. Dec. 31, 2002.
  • Tan, Kopin, "Yield Boost -- Firms Market Covered-call Writing to Up Returns." Barron's. Oct. 25, 2004. "... According to a recent Ibbotson Associates study, a covered call-writing benchmark, the Chicago Board Options Exchange Buy-Write Index, or BXM, produced a compound annual return of 12.39% over 16 years -- compared with 12.20% for the Standard&Poor's 500 stock index. The BXM also was more stable, experiencing two-thirds the volatility of the S&P 500. So far this year, the BXM is up 4.3% and the S&P 500 down 0.49%. It also outpaced the broad stock market in four of the last five years, with the lone stumble coming in 2003 as surging shares left in their wake those who capped stock gains..."
  • Tergesen, Anne. "Taking Cover with Covered Calls." Business Week, May 21, 2001, p. 132.
  • Tracy, Tennille. "'Buy-Write' Is Looking Attractive." Wall Street Journal. (Dec 1, 2008). pg. C6.
  • Tsu, Maria. "Writing Covered Calls to Enhance Returns on U.S. Stocks." Goldman Sachs Research Paper (1997).
  • Ungar, Jason, and Matthew T. Moran. "The Cash-secured PutWrite Strategy and Performance of Related Benchmark Indexes" The Journal of Alternative Investments (Spring 2009), pp. 43–56.
  • Whaley, Robert. "Derivatives on Market Volatility: Hedging Tools Long Overdue," Journal of Derivatives, 1993, pp. 71-84.
  • Whaley, Robert. "Risk and Return of the CBOE BuyWrite Monthly Index" The Journal of Derivatives (Winter 2002) pp. 35 - 42.
  • Williams, Paul C. and Matthew T. Moran. "New Options-Based Closed-End Funds Designed for Yield and Risk Management." Institutional Investor Guide to ETFs and Indexing Innovations (Fall 2005).
  • Woolley, Suzanne. "Squeeze Your Portfolio Harder," BusinessWeek, December 27, 2004. "You can bring in extra dollars by selling options... "

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.

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