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

BuyWrite Indexes

Delayed Quotes
Sym Last Pt. Change
BXM 1459.02 1.20
BXD 347.38 0.47
BXMC 1514.27 2.22
BXMD 2677.12 3.31
BXMW 166.77 0.08
BXN 648.85 1.17
BXR 287.70 0.97
BXRC 256.89 1.90
BXRD 361.96 2.03
BXY 2143.87 3.32

PutWrite Indexes

Delayed Quotes
Sym Last Pt. Change
PUT 1947.09 1.24
PUTR 410.64 1.37
WPUT 200.47 0.12
WPTR 134.18 0.20

Combo Index

Delayed Quotes
Sym Last Pt. Change
CMBO 1957.27 2.15

Butterfly and Condor Indexes

Delayed Quotes
Sym Last Pt. Change
BFLY 545.79 -0.74
CNDR 779.63 -0.36

Collar Indexes

Delayed Quotes
Sym Last Pt. Change
CLL 829.91 1.72
CLLR 267.06 1.61
CLLZ 982.82 1.40

Put Protection Index

Delayed Quotes
Sym Last Pt. Change
PPUT 887.65 1.81

Risk Reversal Index

Delayed Quotes
Sym Last Pt. Change
RXM 1042.85 1.09

VIX-related Benchmark Indexes

Delayed Quotes
Sym Last Pt. Change
VPD 391.73 -0.37
VPN 357.88 -0.34
VXTH 245.71 0.51
LOVOL 228.24 0.36
VSTG 179.43 0.50

Updated Price Charts

VXTH:



Target Outcome Indexes

Delayed Quotes
Sym Last Pt. Change
SPRO 2198.92 1.60
SPEN 3203.46 5.41
SPRI 4689.37 0.27
SPAI 373.01 0.53
SUPDN 5899.84 20.90
SPEB01 2077.79 1.90
SPEB04 1960.94 -1.57
SPEB07 2176.84 2.18
SPEB10 2092.08 -0.98
SPEG01 3198.39 5.70
SPEG04 2934.14 0.70
SPEG07 2992.23 6.37
SPEG10 2673.02 -1.12
SPRF01 1947.62 1.84
SPRF04 1799.87 -0.62
SPRF07 2050.85 2.11
SPRF10 1936.36 -0.79
SPRS01 2013.35 2.70
SPRS04 1866.07 0.07
SPRS07 1968.04 2.58
SPRS10 1702.03 -0.61

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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