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

BuyWrite Indexes

Delayed Quotes
Sym Last Pt. Change
BXM 1383.30 1.67
BXD 318.75 0.88
BXMC 1429.83 1.93
BXMD 2494.86 3.65
BXMW 161.97 0.23
BXN 615.35 2.02
BXR 267.44 0.19
BXRC 236.13 0.07
BXRD 332.51 0.15
BXY 1997.63 2.96

PutWrite Indexes

Delayed Quotes
Sym Last Pt. Change
PUT 1841.06 2.21
PUTR 383.80 0.25
WPUT 192.16 0.22
WPTR 130.93 0.19

Combo Index

Delayed Quotes
Sym Last Pt. Change
CMBO 1842.60 2.47

Butterfly and Condor Indexes

Delayed Quotes
Sym Last Pt. Change
BFLY 516.93 0.35
CNDR 741.98 0.49

Collar Indexes

Delayed Quotes
Sym Last Pt. Change
CLL 793.86 0.62
CLLR 248.30 0.05
CLLZ 932.97 1.10

Put Protection Index

Delayed Quotes
Sym Last Pt. Change
PPUT 852.13 0.67

Risk Reversal Index

Delayed Quotes
Sym Last Pt. Change
RXM 1008.30 1.04

VIX-related Benchmark Indexes

Delayed Quotes
Sym Last Pt. Change
VPD 356.35 -0.69
VPN 329.01 -0.63
VXTH 238.44 0.11
LOVOL 219.42 0.16
VSTG 165.41 0.74

Descriptions of VIX-related Benchmark Indexes

  • Cboe Low Volatility Index (LOVOL) is a 40% / 60% blend of the CBOE S&P 500 BuyWrite Index (BXM) and CBOE VIX Tail Hedge Index (VXTH); the portfolio overlays long VIX calls and short S&P 500 calls over an investment in S&P 500 stocks. www.cboe.com/LOVOL
  • Cboe VIX Premium Strategy Index (VPD) overlays a sequence of short one-month VIX futures on a money market account; the short VIX futures positions are held until expiration and new VIX futures are then sold. www.cboe.com/VPD
  • Cboe Capped VIX Premium Strategy Index (VPN) tracks the performance of a strategy that systematically sells 1-month VIX futures, capped by the purchase of a VIX call option; the short VIX futures position is capped with long VIX calls struck about 25 points higher than the VIX futures price. www.cboe.com/VPN
  • Cboe VIX Tail Hedge Index (VXTH) buys and holds S&P 500 stocks, and also often buys 30-delta call options on the CBOE Volatility Index® (VIX®). www.cboe.com/VXTH
  • Cboe VIX Strangle Index (VSTG) is a premium capture index that overlays short VIX call and put options with a capped long VIX call option position. The position is collateralized by fixing the number of strangles such that 80% of capital is reserved. www.cboe.com/VSTG

Standard Deviations for Indexes

The LOVOL and VXTH indexes had lower standard deviations over a 10-year period.

Paper on Hedging and Tail Risk Management

Key Tools for Hedging and Tail Risk Management is a paper by Asset Consulting Group (February 2012)

Key highlights from the paper include:

  • Tail Risk Over 25 Years: Since mid-1986 the worst monthly declines for select indexes include: down 28.2% for the S&P GSCI Index, down 21.5% for S&P 500, down 20.2% for MSCI EAFE, and a decline of only 8.6% for the CLL Index (Exhibit B).
  • Risk and Diversification in 2008: Changes for indexes in 2008 - S&P 500® down 37.0%; two indexes with options and stocks - CLL Index down 23.6% and VXTH Index down 19.3 (Exhibit A).
  • Lower Volatility: The CLL has incurred about 70% of the volatility of the S&P 500 over the last 26 years. Select portfolios with the VXTH had less volatility than the S&P 500 over the last 70 months (Exhibits C, F, and O).

Updated Price Charts


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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