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

BuyWrite Indexes

Delayed Quotes
Sym Last Pt. Change
BXM 1492.94 -0.61
BXD 355.54 -0.64
BXMC 1601.84 -0.75
BXMD 2847.88 -0.98
BXMW 170.81 0.01
BXN 682.84 0.38
BXR 280.57 0.46
BXRC 237.20 0.64
BXRD 341.13 0.88
BXY 2267.67 -0.81

PutWrite Indexes

Delayed Quotes
Sym Last Pt. Change
PUT 1946.81 -0.20
PUTR 390.54 0.66
WPUT 199.65 0.08
WPTR 115.64 0.29

Combo Index

Delayed Quotes
Sym Last Pt. Change
CMBO 2051.35 -0.47

Butterfly and Condor Indexes

Delayed Quotes
Sym Last Pt. Change
BFLY 436.83 0.06
CNDR 730.01 0.34

Collar Indexes

Delayed Quotes
Sym Last Pt. Change
CLL 984.59 -0.48
CLLR 259.27 0.64
CLLZ 1096.19 -0.45

Put Protection Index

Delayed Quotes
Sym Last Pt. Change
PPUT 979.50 -0.46

Risk Reversal Index

Delayed Quotes
Sym Last Pt. Change
RXM 1107.14 -0.30

VIX-related Benchmark Indexes

Delayed Quotes
Sym Last Pt. Change
VPD 471.33 -1.80
VPN 420.40 -1.61
VXTH 250.27 -0.13
LOVOL 238.18 -0.12
VSTG 162.35 0.00

Updated Price Charts

VXTH:



Target Outcome Indexes

Delayed Quotes
Sym Last Pt. Change
SPRO 2401.21 -0.80
SPEN 3626.88 -2.13
SPRI 5126.45 12.24
SPAI 426.52 -0.98
SPATI 427.98 -0.97
SUPDN 6450.89 -5.18
SPEB01 2275.87 -0.14
SPEB04 2193.11 -0.82
SPEB07 2398.73 -2.28
SPEB10 2255.40 -1.22
SPEG01 3392.95 -0.44
SPEG04 3438.52 -2.47
SPEG07 3441.85 -4.82
SPEG10 2982.21 -2.73
SPRF01 2123.66 -0.11
SPRF04 1969.25 -1.01
SPRF07 2220.95 -1.71
SPRF10 2042.20 -0.78
SPRS01 2060.34 -0.12
SPRS04 2043.31 -1.16
SPRS07 2129.51 -1.44
SPRS10 1787.76 -0.30

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 indexes (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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