The Cboe S&P 500 Multi-Week BuyWrite Index is designed to track the performance of a hypothetical weekly covered call strategy with staggered short positions in call options expiring in consecutive four week options.
The BXMW Index is constructed as a combined portfolio of four mini BuyWrite indexes. Expirations are staggered so that the BXMW Index sells four-week options on a rolling weekly basis. As a written option expires, a new ATM option position is written approximately four weeks out to expiration.
The BXMW Index rolls on a weekly basis, typically every Friday.