CBOE S&P 500 BuyWrite Index (BXM)

		BXM
		SPX 1085.19 4.90 BXM 754.07 1.62 BXY 889.10 3.13 PUT 980.13 2.61 CLL 459.31 1.05

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BXM Methodology (updated in June 2008)
Historical Data Since June 30, 1986

The CBOE S&P 500 BuyWrite Index (BXM^SM)

The CBOE S&P 500 BuyWrite Index (BXM) is a benchmark index designed to track the performance of a hypothetical buy-write strategy on the S&P 500 Index. Announced in April 2002, the BXM Index was developed by the CBOE in cooperation with Standard & Poor's. To help in the development of the BXM Index, the CBOE commissioned Professor Robert Whaley to compile and analyze relevant data from the time period from June 1988 through December 2001. Data on daily BXM prices now is available from June 30, 1986, to the present time (see below). The BXM is a passive total return index based on (1) buying an S&P 500 stock index portfolio, and (2) "writing" (or selling) the near-term S&P 500 Index (SPX^SM) "covered" call option, generally on the third Friday of each month. The SPX call written will have about one month remaining to expiration, with an exercise price just above the prevailing index level (i.e., slightly out of the money). The SPX call is held until expiration and cash settled, at which time a new one-month, near-the-money call is written. Please visit the BXM FAQ for more information about the construction of the index.

Experienced investors can ask their brokers about the possibility of engaging in an S&P 500 buy-write strategy by investing in stocks and SPX options.

BXM Study by Callan Associates

In 2006 Callan Associates, an investment services consulting firm, published a new study on the CBOE S&P 500 BuyWrite Index, with an analysis of performance from June 1988 through August 2006. Their study builds upon the earlier studies done by Professor Robert Whaley (now at Vanderbilt University) and by Ibbotson Associates. The new Callan Associates study had several key findings, including:

• BXM generated superior risk-adjusted returns over the last 18 years, generating a return comparable to that of the S&P 500 with approximately two-thirds of the risk. (The compound annual return of the BXM was 11.77% compared to 11.67% for the S&P 500, and BXM returns were generated with a standard deviation of 9.29%, two-thirds of the 13.89% volatility of the S&P 500.)
• The risk-adjusted performance, as measured by the monthly Stutzer Index over the 18-year period, was 0.20 for the BXM vs. 0.15 for the S&P 500. A comparison using the monthly Sharpe Ratio yielded similar results (0.22 vs. 0.16, respectively), confirming the relative efficiency of the BXM over the 219-month study period.
• The BXM underperformed the S&P 500 during most rising equity markets and consistently outperformed the S&P 500 in all periods of declining equity markets, demonstrating the return cushion provided by income from writing the calls.
• The BXM generates a return pattern different from that of the S&P 500, offering a source of potential diversification. The addition of the BXM to a diversified investor portfolio would have generated significant improvement in risk-adjusted performance over the past 18 years.

Click here for the study by Callan Associates.

Ibbotson Case Study on BXM Index

In September 2004 the Ibbotson Associates consulting firm issued a case study on the investment strategy represented by the CBOE S&P 500 BuyWrite Index (BXM^SM). The study was three-fold: 1) assess risk-adjusted performance of the BXM; 2) evaluate the role of this covered-call strategy in a portfolio; and 3) establish if an investor can implement the strategy. Please visit these links to see a 4-page paper with a summary of highlights, and the 35-page study.

Introduction to Buy-Write Strategies

A "Buy-Write" strategy generally is considered to be an investment strategy in which an investor buys a stock or a basket of stocks, and also writes covered call options that correspond to the stock or basket of stocks.

Buy-Write strategies provide option premium income that can help cushion downside moves in an equity portfolio, but Buy-Writes often under perform stocks in rising markets. Thus, some Buy-Write strategies significantly outperformed stocks in 2000 when stock prices fell, but Buy-Writes tended to under perform stocks in the years 1995 - 1998 when the S&P 500 rose by more than 20% per year.

Buy-Write strategies have an added attraction to some investors in that Buy-Writes can help lessen the overall volatility in many portfolios.

Historical Data Since June 30, 1986

The CBOE S&P 500 BuyWrite Index^SM (ticker symbol BXM) is a benchmark index designed to reflect the return on a portfolio that consists of a long position in the stocks in the S&P 500 index and a short position in an S&P 500 (SPX) call option. The historical return series for the BXM Index begins June 30, 1986.

BXM data for 2004 through the present (Updated Daily)
BXM data for June 30 1986—Dec. 2004

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

Links to More Information

Please click on any of the following for more information:

BXM Methodology (updated in June 2008)

BXM News Releases in:
April 2002
March 2003
June 2004
December 2004
September 8, 2006
September 28, 2006
May 23, 2007

"Most Innovative" Award
BuyWrite Indexes - Quick Reference Guide
S&P 500 (SPX) Index Options
Covered Call Strategy with Equity Options
Volatility Indexes
Volatility Concepts
BXM Monthly Roll Information, including VWAP and New Strike Prices