"Standard deviation" is a statistical measure that reflects the past variability of returns. Risk-averse investors often prefer assets with relatively low standard deviations, while more aggressive investors are willing to accept higher standard deviations in their search for assets with potentially higher returns. For more information on standard deviation, please click here *.
Prior to buying or selling an option, a person must receive a copy of Characteristics and Risks of Standardized Options. Supporting documentation for claims, comparisons, recommendations, statistics or other technical data is available by sending an e-mail to [email protected], or by visiting www.cboe.com/bxm.
The BXM Index is designed to represent a proposed hypothetical buy-write strategy. Like many passive indexes, the BXM Index does not take into account significant factors such as transaction costs and taxes. Because of factors such as these, many or most investors should be expected to under perform passive indexes. Transaction costs for a buy-write strategy such as the BXM could be significantly higher than transaction costs for a passive strategy of buying-and-holding stocks. Past performance does not guarantee future results.
During the period from June 1989 through December 2001, the BXM Index had higher risk-adjusted returns than one might have expected - this phenomenon has been attributed to the fact that implied volatility often was higher than historic volatility during this time period.
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* More information on standard deviation. "Standard deviation" is a statistical description of the range of a portfolio's returns - the higher the standard deviation, the wider the range of historical returns around its average return. Although past performance is not a guarantee of future returns or risks, some assets (U.S. Treasury bills) have tended to have lower standard deviations than other assets (e.g., technology stocks) over longer periods of time. The mathematical equation for standard deviation is the square root of the average of the squared distances of the observations from the mean. About two-thirds of the time, the returns for a portfolio are expected to fall within one standard deviation of the mean; so for example, if a money market fund has had an average monthly return of 0.50% and a standard deviation of 0.15%, in past months the returns for the fund should have been between 0.35% and 0.65% about two-thirds of the time.
In March 2003 the Cboe made slight revisions to the historical return series of BXM prices from August 16, 2002 through March 7, 2003; the revised prices are reflected in the charts and tables above and on BXM historical data speadsheets.