Cboe Benchmark Indexes Archives - Cboe Blogs

  • Cboe Benchmark Indexes | Jul 12, 2016, 4:31 PM

    CNDR Index and Portfolio Management - Blog #8 on 30-Year Price History

    CNDR Index and Portfolio Management - Blog #8 on 30-Year Price History

    CBOE S&P 500 Iron Condor (CNDR) has a data history of more than 30 years, and it engages in call and put options positions in order to gather premium income and manage downside risk. The histogram with the S&P 500 and CNDR indexes shows that the S&P 500 had 26 months with declines of worse than six percent, while the CNDR Index had 10 such months. Certain index options strategies can be used to help manage left tail risk. The CNDR Index tracks the performance of a hypothetical option[...]

  • Cboe Benchmark Indexes | Jul 11, 2016, 1:19 PM

    BXM Index – Leading Benchmark for Capturing the Volatility Risk Premium - Blog #7 on 30-Year Price History

    BXM Index – Leading Benchmark for Capturing the Volatility Risk Premium - Blog #7 on 30-Year Price History

    On April 29, 2016, Morningstar added a new Option Writing category to its U.S Retail Category system, and the Category Index is the CBOE S&P 500 BuyWrite Index (BXM). In the May 7, 2016, Striking Price column in Barron’s, Steve Sears wrote -- "...THE OPTIONS INDUSTRY has taken a major step onto Main Street. Morningstar, which millions of individuals rely upon to evaluate mutual funds, has created a category for options-trading funds. The significance of this can’t be overstated.[...]

  • Market News | Cboe Benchmark Indexes | Jul 9, 2016, 9:49 AM

    CMBO Index and Selling of SPX Calls and Puts – Blog #6 on 30-Year Price History

    CMBO Index and Selling of SPX Calls and Puts – Blog #6 on 30-Year Price History

    A 2011 paper by the consulting firm Cambridge Associates - Highlights from the Benefits of Selling Volatility – noted that -- “Over the past 20 years, a strategy of systematically selling out of the money puts and calls on the S&P 500 Index (a short strangle portfolio) would not only have soundly beaten equity returns with lower volatility, but also offered similar returns to the median hedge fund manager tracked by Cambridge Associates, albeit with slightly higher volatility …” In[...]

  • Cboe Benchmark Indexes | Jul 8, 2016, 11:32 AM

    Managing Risk and Return with CLLZ and Zero-Cost Put Spread Collar - Blog #5 on 30-Year Price History

    Managing Risk and Return with CLLZ and Zero-Cost Put Spread Collar - Blog #5 on 30-Year Price History

    [This is the fifth in a series of nine blogs to be published in early July at the CBOE Options Hub on nine CBOE benchmark indexes which have price histories that begin on June 30, 1986.] In recent years I have heard from some money managers that the put-spread collar strategy is becoming more popular, and in 2015 CBOE introduced the CBOE S&P 500 Zero-Cost Put Spread Collar Index (CLLZ). The CLLZ Index now has more than 30 years of price history. FEWER BIG DOWNSIDE MOVES FOR CLLZ The histogram[...]

  • Cboe Benchmark Indexes | Jul 7, 2016, 4:00 PM

    Enhanced Risk-Adjusted Returns with BXMD Index - Blog #4 on 30-Year Price History

    Enhanced Risk-Adjusted Returns with BXMD Index - Blog #4 on 30-Year Price History

    [This is the fourth in a series of nine blogs that are being published in early July at the CBOE Options Hub on nine CBOE benchmark indexes which have price histories that begin on June 30, 1986, more than three decades ago.] Over the past thirty-year time period (ending June 30) the CBOE S&P 500 30-Delta BuyWrite Index (BXMD) rose 1955%, with higher returns and lower volatility than the S&P 500®, MSCI EAFE®, and S&P GSCI indexes. Note in the line chart below that the BXMD index[...]

  • Cboe Benchmark Indexes | Jul 6, 2016, 12:05 PM

    In Today’s Market with Lower Yields on “Traditional” Investments -- Explore CBOE Benchmark Indexes

    In Today’s Market with Lower Yields on “Traditional” Investments -- Explore CBOE Benchmark Indexes

    A recent piece in the Wall Street Journal noted that – “The yield on the benchmark 10-year U.S. Treasury note fell to its lowest level ever Tuesday, a new milestone in a three-decade downward run that even veteran traders never thought would go so far or last so long. The yield closed below 1.4% for the first time … according to data going back to 1977. The question now is how low can they go. Investors buying Treasurys now are taking big risks, as prices of longer-term debt can[...]

  • Cboe Benchmark Indexes | Jul 5, 2016, 11:31 AM

    Managing Downside Exposure with PPUT Index - Blog #3 on 30-Year Price History

    Managing Downside Exposure with PPUT Index - Blog #3 on 30-Year Price History

    [This is the third in a series of nine blogs to be published in early July at the CBOE Options Hub on nine CBOE benchmark indexes which have price histories that begin on June 30, 1986, more than three decades ago.] When a novice investor asks me to describe an options strategy, I often use an insurance analogy – millions of people buy insurance policies and pay premiums to insure their autos and homes against disasters, and equity options investors pay premiums to mitigate downside equity[...]

  • Market News | Strategy | Cboe Benchmark Indexes | Jul 1, 2016, 3:02 PM

    Less Left-Tail Risk for BFLY Index - Blog #2 on 30-Year Price History

    Less Left-Tail Risk for BFLY Index - Blog #2 on 30-Year Price History

    This is the second in a series of nine blogs to be published in early July at the CBOE Options Hub on nine CBOE benchmark indexes which have price histories that begin on June 30, 1986, three decades ago.] Over the past three decades the CBOE S&P 500 Iron Butterfly Index (BFLY) demonstrated the ability to help manage drawdowns and left tail risk. The BFLY Index is designed to track the performance of a hypothetical option trading strategy that 1) sells a rolling monthly at-the-money (ATM) S&P[...]

  • Market News | Cboe Benchmark Indexes | Jul 1, 2016, 12:58 PM

    Strong Risk-Adjusted Returns for PUT Index – Blog #1 on 30-Year Price History

    Strong Risk-Adjusted Returns for PUT Index – Blog #1 on 30-Year Price History

    [This is the first in a series of nine blogs to be published in early July at the CBOE Options Hub on nine CBOE benchmark indexes which have price histories that begin on June 30, 1986, three decades ago.] The CBOE S&P 500 PutWrite Index (PUT) – is an award-winning benchmark index for a strategy that has grown in popularity over the past decade; arguably is the world’s best-known and leading gauge of the cash-secured put-writing strategy; has facilitated increased use of cash-secured[...]