Tail Risk, Histograms, and P&L Diagrams www.cboe.com/histograms

Benchmark Indexes

Cboe provides more than 30 strategy benchmark indexes that can help investors compare and contrast the hypothetical performance of different options strategies in different market scenarios.


The table below provides the names, ticker symbols and recent values for five Cboe benchmark indexes that have interesting results when used in histogram analyses.

Delayed Quotes
Sym Last Pt. Change
BFLY 540.86 -2.78
CNDR 746.42 -1.50
CLL 792.89 3.99
CLLR 240.17 1.92
CLLZ 939.40 3.66

Links to more than 30 Cboe strategy benchmark indexes are at www.cboe.com/benchmarks.


Histograms and Profit-and-Loss Diagrams

Tools that can be helpful to investors who are attempting to assess the utility of various options-based strategies include (1) histograms with analyses of monthly returns for several Cboe benchmark indexes, and (2) profit-and-loss diagrams.


Compare the Cboe BFLY Index histogram above with the Iron Butterfly profit-and-loss diagram below. It appears that certain iron butterfly strategies could have the potential to lessen the probability of huge upside and downside moves.





In the profit-and-loss diagram below, the grey line represents a stock position, and the blue line represents a sample collar (stock and long put and short call) position.































With the at-the-money (A-T-M) buy-write strategy, an investor often takes in more options premium, but has no participation in stocks' upside moves, when compared with the out-of-the-money (O-T-M) buywrite strategy. Compare right and left tails for the BXM and BXR indexes above, versus the BXMD and BXRD indexes below.










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Cboe's benchmark indexes (such as the BFLY, BXM, BXMD, BXRD, BXR, CLL, CLLR, CLLZ, CMBO, CNDR, PPUT, PUT, PUTR, RXM, and VXTH indexes) (the "Indexes") are designed to represent proposed hypothetical options-based 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. Back-tested 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. Index performance returns do not reflect management fees, transactions costs or expenses. No representation is being made that any investment will or is likely to achieve a performance record similar to that shown. 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 (Cboe).

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