More than fifteen CBOE strategy benchmark indexes (including BXD, BXM, BXMC, BXMD, BXMW, BXR, BXRC, BXRD, BXY, CLL, CLLR, CLLZ, CMBO, PUT, PUTR, RXM, VPD, VPN, and WPUT) hit all-time daily closing highs on December 20.
As shown in the first graph and table below, the CBOE Russell 2000 30-Delta BuyWrite Index (BXRD) rose 9% since the November 8 U.S. election (through December 20).
The relatively strong performance of the BXRD Index over the past five weeks possibly could be attributed to a couple of factors: (1) there has been more bullish interest in the Russell 2000 Index, which is focused primarily on small-cap U.S. oriented companies (versus large-cap indexes that focus more on multi-national companies).
The next graph and table show that the CBOE S&P 500 30-Delta BuyWrite Index (BXMD) rose 3.8% since the November 8 U.S. election (through December 20). Over the past 30 years, the BXMD Index had higher returns and lower volatility than the S&P 500 Index, according to a paper by Wilshire at http://www.cboe.com/micro/buywrite/wilshire-2016-benchmarks-30-years.pdf.
CBOE OPTION-BASED BENCHMARK INDEXES
At least ten of the CBOE benchmark indexes (including BXRC, BXRD, CLLR, PPUT, PUTR, and PUT) are up more than 8% year-to-date (through December 20). Indexes that write out-of-the-money options (such as BXRD and BXMD) can benefit from the fact that they are selling index options for premium income, and that the stock market is rising.
OTHER BENCHMARK INDEXES
The next table shows recent performance statistics for five other benchmark indexes. Note that since the November 8 election, the Russell 2000 Index rose 16%, but that both the MSCI Emerging Markets Index and the Treasury Bond index both fell by more than 5%.
In the near future some “traditional” indexes may face headwinds of high price-earnings ratios or rising interest rates, and so I believe that investors may wish to explore CBOE benchmark indexes that can add option premium income or hedge some downside risk.
More information on CBOE benchmark indexes (including white papers by pension consulting firms) is at http://www.cboe.com/micro/buywrite/introduction.aspx.
Presentations by options experts will be delivered at the CBOE Risk Management Conference (RMC US) on March 8 - 10, 2017, at the Monarch Beach Resort in Dana Point, California. http://www.cboermc.com/.