The first session that kicked off the 5th Annual European version of CBOE’s Risk Management Conference involved a discussion titled New Developments in Options and Volatility-Based Benchmarks delivered by Bill Speth and Matt Moran.

Bill kicked things off talking about some current and pending strategy based indexes created by CBOE.  The indexes discussed were:

  • CBOE Russell 2000 Conditional BuyWrite Index
  • CBOE S&P 500 Smile Index
  • CBOE S&P 500 Buffer Protect Strategy Series
  • CBOE S&P 500 Enhanced Growth Strategy Series
  • CBOE SMA Large Cap Index
  • CBOE Stabilis Index

A couple of these indexes are in the process of development and will be introduced in the next few weeks (Smile Index and Stabilis Index) so I'll hold off talking about them in this space until that time.

In discussing the Russell 2000 Conditional BuyWrite Index he noted the strong absolute and risk adjusted returns.  He noted the Buffer Protect and Enhanced Growth Series Indexes and discussed how Vest Financial is working with CBOE with respect to Target Outcome Indexes.  Finally, he spent some time discussing the development of the SMA Large Cap Index in conjunction with Social Market Analytics.

Matt Moran followed Bill with a look at several recent studies that have covered CBOE strategy indexes.  Matt started out showing a list of papers, most of which may be found at

He highlighted PutWrite indexes that CBOE currently calculates and quotes

  • CBOE S&P 500 PutWrite Index (PUT)
  • CBOE Russell 2000 PutWrite Index (PUTR)
  • CBOE S&P 500 One-Week PutWrite Index (WPUT)
  • CBOE Russell 2000 One-Week PutWrite Index (WPTR)

Matt specifically highlighted results from a study that came out just a week ago from Wilshire which took a look at BXM, BXMD, CLLZ, PPUT, and PUT indexes.

  • CBOE S&P 500 BuyWrite Index (BXM)
  • CBOE S&P 500 30-Delta BuyWrite Index (BXMD)
  • CBOE S&P 500 Zero-Cost Put Spread Collar Index (CLLZ)
  • CBOE S&P 500 5% Put Protection Index (PPUT)
  • CBOE S&P 500 PutWrite Index (PUT)


The study noted that on an absolute basis both PUT and BXMD outperform the total return of the S&P 500 over a 30-year period.  One of the most interesting findings in the Wilshire study is that all five of the indexes in the study experienced a lower peak to trough drawdown than a buy and hold portfolio.

Another study discussed by Matt was conducted by Fund Evaluation Group which focused on Russell 2000 Index Option oriented strategies.  This study noted that the CBOE Russell 2000 PutWrite Index (PUTR) has outperformed the Russell 2000 Index since 2001 with lower volatility than the Russell 2000.  He also highlighted several other aspects on this study which is scheduled to be released in the very near future.