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BXMC
 Cboe S&P 500 Conditional BuyWrite Index
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1462.00

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1462.00

Cboe S&P 500 Conditional BuyWrite Index
  • Overview
  • Performance
     

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 tracks  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. 

  
    
Critical Periods
    
The performance quoted represents past performance and does not guarantee future results.