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

BuyWrite Indexes

Delayed Quotes
Sym Last Pt. Change
BXM 1383.50 4.47
BXD 333.21 0.88
BXMC 1432.18 4.63
BXMD 2490.72 5.21
BXMW 159.26 0.48
BXN 614.97 5.81
BXR 257.24 -0.65
BXRC 225.22 -0.57
BXRD 316.01 -0.97
BXY 2000.24 4.33

PutWrite Indexes

Delayed Quotes
Sym Last Pt. Change
PUT 1840.43 6.08
PUTR 369.99 -0.81
WPUT 181.89 0.89
WPTR 116.30 0.19

Combo Index

Delayed Quotes
Sym Last Pt. Change
CMBO 1841.55 5.01

Butterfly and Condor Indexes

Delayed Quotes
Sym Last Pt. Change
BFLY 495.64 0.77
CNDR 748.35 2.82

Collar Indexes

Delayed Quotes
Sym Last Pt. Change
CLL 804.22 -0.47
CLLR 237.96 -0.44
CLLZ 936.67 1.71

Put Protection Index

Delayed Quotes
Sym Last Pt. Change
PPUT 818.13 -1.64

Risk Reversal Index

Delayed Quotes
Sym Last Pt. Change
RXM 1024.69 4.25

VIX-related Benchmark Indexes

Delayed Quotes
Sym Last Pt. Change
VPD 370.87 0.36
VPN 336.26 0.24
VXTH 224.80 -0.26
LOVOL 211.84 0.13
VSTG 146.14 0.11

Updated Price Charts

VXTH:



Target Outcome Indexes

Delayed Quotes
Sym Last Pt. Change
SPRO
SPEN 2954.73 5.86
SPRI 4832.70 19.21
SPAI 358.16 0.17
SPATI 360.58 0.18
SUPDN 5456.66 29.46
SPEB01 2014.30 0.40
SPEB04 1900.33 1.23
SPEB07 2103.80 2.27
SPEB10 1991.05 2.14
SPEG01 2976.60 3.12
SPEG04 2756.59 4.65
SPEG07 2799.99 4.70
SPEG10 2437.91 4.05
SPRF01 1881.18 -0.74
SPRF04 1738.25 0.40
SPRF07 1983.13 1.92
SPRF10 1870.47 3.67
SPRS01 1909.50 -0.91
SPRS04 1796.16 0.31
SPRS07 1899.13 1.34
SPRS10 1650.75 6.84

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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