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

BuyWrite Indexes

Delayed Quotes
Sym Last Pt. Change
BXM 1385.58 0.72
BXD 323.98 0.14
BXMC 1450.67 7.30
BXMD 2532.45 1.40
BXMW 165.71 0.29
BXN 602.12 0.26
BXR 262.50 -0.23
BXRC 234.90 0.93
BXRD 326.54 0.00
BXY 2032.82 1.34

PutWrite Indexes

Delayed Quotes
Sym Last Pt. Change
PUT 1860.56 0.25
PUTR 387.94 0.07
WPUT 207.75 0.90
WPTR 138.35 1.14

Combo Index

Delayed Quotes
Sym Last Pt. Change
CMBO 1861.26 0.75

Butterfly and Condor Indexes

Delayed Quotes
Sym Last Pt. Change
BFLY 509.63 -7.97
CNDR 728.74 -2.49

Collar Indexes

Delayed Quotes
Sym Last Pt. Change
CLL 823.27 7.18
CLLR 245.46 0.89
CLLZ 954.90 0.64

Put Protection Index

Delayed Quotes
Sym Last Pt. Change
PPUT 879.20 8.16

Risk Reversal Index

Delayed Quotes
Sym Last Pt. Change
RXM 1017.82 9.38

Volatility-related Benchmark Indexes

Delayed Quotes
Sym Last Pt. Change
VPD 387.98 -3.18
VPN 360.25 -3.12
VXTH 247.49 2.30
LOVOL 224.52 1.31
VSTG 172.99 0.72

Key Papers on BuyWrite, PutWrite, and Other Option-Based Strategies

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.


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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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