CBOE's Strategy Benchmark Indexes


PUT BXM

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 1079.11 0.00
BXY CBOE S&P 500 2% OTM BuyWrite Index
BXY 1490.64 0.00
BXR CBOE Russell 2000 BuyWrite Index
BXR 204.95 0.00
BXD CBOE DJIA BuyWrite Index
BXD 263.98 0.00
BXN CBOE Nasdaq BuyWrite Index
BXN 439.76 0.00
CLL CBOE S&P 500 95-110 Collar Index
CLL 670.86 0.00
PUT CBOE S&P 500 PutWrite Index
PUT 1446.40 0.00

Volatility-related Benchmark Indexes

Ticker Index Delayed Quotes
Sym Last Pt. Change
VPD CBOE VIX Premium Strategy Index
VPD 252.27 0.00
VPN CBOE Capped VIX Premium Strategy Index
VPN 244.96 0.00
VXTH CBOE VIX Tail Hedge Index
VXTH 200.79 0.00
LOVOL CBOE Low Volatility Index
LOVOL 180.79 0.00

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

The BXM, BXD, BXN, BXY, CLL and PUT indices (the "Indexes") are designed to represent proposed hypothetical options strategies. The actual performance of investment vehicles such as mutual funds or managed accounts can have significant differences from the performance of the Indexes. Investors attempting to replicate the Indexes should discuss with their advisors possible timing and liquidity issues. Like many passive benchmarks, the Indexes do not take into account significant factors such as transaction costs and taxes. Transaction costs and taxes for strategies such as the Indexes could be significantly higher than transaction costs for a passive strategy of buying-and-holding stocks. Investors should consult their tax advisor as to how taxes affect the outcome of contemplated options transactions. Past performance does not guarantee future results. This webpage contains index performance data based on back-testing, i.e., calculations of how the index might have performed prior to launch. Backtested performance information is purely hypothetical and is provided in this webpage solely for informational purposes. Back-tested performance does not represent actual performance and should not be interpreted as an indication of actual performance. It is not possible to invest directly in an index. CBOE calculates and disseminates the Indexes. Supporting documentation for any claims, comparisons, statistics or other technical data is available from CBOE upon request. The methodologies of the Indexes are the property of Chicago Board Options Exchange, Incorporated (CBOE).

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