Cboe's Strategy Benchmark Indexes www.cboe.com/Benchmarks

BuyWrite Indexes

Delayed Quotes
Sym Last Pt. Change
BXM 1401.86 -20.28
BXD 336.27 -4.28
BXMC 1462.00 -21.18
BXMD 2570.29 -37.21
BXMW 162.28 -1.97
BXN 627.26 -14.49
BXR 266.10 -5.61
BXRC 235.65 -4.73
BXRD 333.97 -7.24
BXY 2062.99 -29.91

PutWrite Indexes

Delayed Quotes
Sym Last Pt. Change
PUT 1874.38 -26.69
PUTR 382.30 -7.46
WPUT 194.46 -0.32
WPTR 124.27 -0.08

Combo Index

Delayed Quotes
Sym Last Pt. Change
CMBO 1882.37 -27.02

Butterfly and Condor Indexes

Delayed Quotes
Sym Last Pt. Change
BFLY 494.64 -10.12
CNDR 733.49 -19.14

Collar Indexes

Delayed Quotes
Sym Last Pt. Change
CLL 819.55 -5.48
CLLR 251.81 -4.86
CLLZ 968.14 -4.70

Put Protection Index

Delayed Quotes
Sym Last Pt. Change
PPUT 863.37 -8.43

Risk Reversal Index

Delayed Quotes
Sym Last Pt. Change
RXM 1023.71 -14.66

VIX-related Benchmark Indexes

Delayed Quotes
Sym Last Pt. Change
VPD 388.69 -5.11
VPN 353.80 -4.42
VXTH 238.57 -2.70
LOVOL 220.69 -2.78
VSTG 157.94 -2.26

Updated Price Charts

VXTH:



Target Outcome Indexes

Delayed Quotes
Sym Last Pt. Change
SPRO 2164.08 -20.42
SPEN 3121.77 -45.30
SPRI 4734.76 -18.72
SPAI 358.51 -2.76
SPATI 360.66 -2.87
SUPDN 5700.79 -106.31
SPEB01 2063.70 -13.84
SPEB04 1944.08 -12.84
SPEB07 2153.20 -13.81
SPEB10 2049.58 -19.28
SPEG01 3143.19 -41.76
SPEG04 2881.86 -32.72
SPEG07 2927.94 -33.40
SPEG10 2570.27 -41.12
SPRF01 1929.36 -13.35
SPRF04 1778.78 -13.19
SPRF07 2025.49 -13.64
SPRF10 1911.47 -15.09
SPRS01 1985.20 -17.65
SPRS04 1844.75 -12.76
SPRS07 1943.51 -12.10
SPRS10 1684.13 -11.90

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 Cboe 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

Microsite chart
Microsite chart

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 web page 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 web page 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 Cboe Options Exchange, Incorporated (Cboe).

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