Cboe Russell 2000 BuyWrite Index (BXR)
The Cboe Russell 2000 BuyWrite IndexSM BXR Index applies the buywrite strategy to the Russell 2000® Index (RUI). The objective of a buywrite strategy is to buffer downside returns by selling a slice of upside returns. The BXR tracks the value of hypothetical portfolio that overlays a short at-the-money call option on the Russell 2000 Index (RUT call). The premium harvested from the call buffers possible losses from an investment in Russell 2000 stocks.
The BXR Index is calculated every 15 seconds and is rebalanced monthly after the expiration of the RUT call, typically at 11 am ET every third Friday. A new RUT call is then sold.