Cboe S&P 500 Conditional BuyWrite Index (BXMC)
The Cboe S&P 500 Conditional BuyWrite IndexSM (BXMC) is a variation of the Cboe Buywrite index that also seeks to buffer downside returns of the S&P 500 Index® by selling at-the money calls on the S&P 500 (SPX calls) over an investment in S&P 500 stocks. However, while the BXM strategy always sells a full call over the S&P 500 stock index, BXMC sells one call when the VIX greater than or equal to 20, but only half a call whent the VIX is smaller than 20. The intuition behind the strategy is that the S&P 500 is less likely to increase when volatility is low.
The hypothetical BXMC portfolio is rebalanced monthly after the expiration of the SPX call, typically at 11 am ET every third Friday. One or one half on an SPX call is then sold.