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

BuyWrite Indexes

Delayed Quotes
Sym Last Pt. Change
BXM 1371.52 3.56
BXD 333.58 1.09
BXMC 1440.81 5.54
BXMD 2543.57 8.99
BXMW 161.19 0.20
BXN 611.12 2.25
BXR 254.63 0.85
BXRC 226.77 1.27
BXRD 324.34 1.65
BXY 2028.45 9.29

PutWrite Indexes

Delayed Quotes
Sym Last Pt. Change
PUT 1811.23 4.88
PUTR 363.27 1.19
WPUT 188.05 0.22
WPTR 118.89 0.05

Combo Index

Delayed Quotes
Sym Last Pt. Change
CMBO 1846.67 6.68

Butterfly and Condor Indexes

Delayed Quotes
Sym Last Pt. Change
BFLY 452.85 -0.30
CNDR 702.33 0.18

Collar Indexes

Delayed Quotes
Sym Last Pt. Change
CLL 892.23 4.49
CLLR 252.23 1.36
CLLZ 981.55 3.68

Put Protection Index

Delayed Quotes
Sym Last Pt. Change
PPUT 891.77 4.03

Risk Reversal Index

Delayed Quotes
Sym Last Pt. Change
RXM 1037.18 2.01

VIX-related Benchmark Indexes

Delayed Quotes
Sym Last Pt. Change
VPD 377.85 0.00
VPN 341.06 0.00
VXTH 235.22 0.87
LOVOL 218.37 0.70
VSTG 144.27 -1.63

Updated Price Charts

VXTH:



Target Outcome Indexes

Delayed Quotes
Sym Last Pt. Change
SPRO
SPEN 3139.80 0.00
SPRI 4983.30 0.00
SPAI 377.98 0.00
SPATI 381.67 1.97
SUPDN 5506.91 0.00
SPEB01 2131.42 0.00
SPEB04 1993.62 0.00
SPEB07 2194.35 0.00
SPEB10 2070.18 0.00
SPEG01 3099.97 0.00
SPEG04 2994.70 0.00
SPEG07 3000.68 0.00
SPEG10 2585.03 0.00
SPRF01 1985.02 0.00
SPRF04 1788.84 0.00
SPRF07 2043.57 0.00
SPRF10 1921.52 0.00
SPRS01 1933.68 0.00
SPRS04 1859.80 0.00
SPRS07 1952.36 0.00
SPRS10 1676.81 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 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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