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

BuyWrite Indexes

Delayed Quotes
Sym Last Pt. Change
BXM 1451.69 -8.41
BXD 347.20 -2.19
BXMC 1543.74 -8.14
BXMD 2763.91 -18.20
BXMW 166.25 -0.43
BXN 656.61 -5.79
BXR 274.85 0.08
BXRC 231.62 -0.12
BXRD 333.49 -0.01
BXY 2194.73 -14.69

PutWrite Indexes

Delayed Quotes
Sym Last Pt. Change
PUT 1889.59 -8.15
PUTR 382.33 -1.38
WPUT 193.29 -0.68
WPTR 113.54 -0.10

Combo Index

Delayed Quotes
Sym Last Pt. Change
CMBO 1989.29 -12.44

Butterfly and Condor Indexes

Delayed Quotes
Sym Last Pt. Change
BFLY 436.11 -2.64
CNDR 730.62 -4.45

Collar Indexes

Delayed Quotes
Sym Last Pt. Change
CLL 957.18 -1.24
CLLR 254.84 0.27
CLLZ 1068.86 -5.54

Put Protection Index

Delayed Quotes
Sym Last Pt. Change
PPUT 945.33 -2.66

Risk Reversal Index

Delayed Quotes
Sym Last Pt. Change
RXM 1069.07 -1.83

VIX-related Benchmark Indexes

Delayed Quotes
Sym Last Pt. Change
VPD 437.26 -4.38
VPN 391.14 -3.80
VXTH 243.88 -0.63
LOVOL 231.84 -0.91
VSTG 155.26 -0.72

Updated Price Charts

VXTH:



Target Outcome Indexes

Delayed Quotes
Sym Last Pt. Change
SPRO 2325.56 -8.78
SPEN 3479.63 -18.36
SPRI 5082.82 0.61
SPAI 409.77 -1.39
SPATI 411.39 -1.29
SUPDN 6045.46 -27.19
SPEB01 2242.41 -3.29
SPEB04 2140.00 -5.27
SPEB07 2336.17 -7.76
SPEB10 2217.70 -17.79
SPEG01 3319.38 -8.87
SPEG04 3311.73 -14.49
SPEG07 3308.84 -17.13
SPEG10 2905.16 -36.55
SPRF01 2086.50 -3.50
SPRF04 1918.89 -4.60
SPRF07 2168.52 -6.02
SPRF10 2004.74 -10.37
SPRS01 2025.19 -3.51
SPRS04 1994.06 -3.98
SPRS07 2086.37 -3.99
SPRS10 1761.90 -10.53

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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