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After a volatile start to the month, October turned out generally positive for equities investors. The S&P 500® Index finished the month up 2.27% at 6,840.20 and the Russell 2000® Index gained 1.76% to finish above 2,479. Both benchmarks were just shy of all-time closing highs in the final week of the month. Volatility increased early in the month during a sharp selloff on October 10 and remained elevated compared to September. The Cboe Volatility Index (the VIX Index) finished at 17.44, two points above the September average level but well off the 25-level highs touched earlier in the month. Higher premium levels combined with positive underlying performance led to gains in both Put-write and Call-write indices, including gains of more than 2% for the Cboe S&P 500 Buy-Write Index (BXM) and the Cboe S&P 500 Half Buy-Write Index (BXMH). Standout results were noted in the Cboe® MSCI Emerging Markets BuyWrite Index (BXEF) and Cboe Russell 2000 PutWrite Index (PUTR), both up nearly 3.5%. Unlike equities, crypto assets failed to regain favor with investors following the earlier weakness. The Cboe Bitcoin U.S. ETF Index (CBTX) dropped nearly 12% from early October highs, finishing down 4% on the month.
Source: Cboe Global Markets
The Cboe S&P 500 Index option contract, known by its symbol SPX, is designed to track the underlying S&P 500 Index and help investors achieve broad market protection. SPX® options offer the potential opportunity to manage large-cap U.S. equity exposure and execute risk management, hedging, asset allocation, and income generation strategies. The Cboe S&P 500 Equal Weight Index (SPEQX) option contract is the equal-weight version of the widely-used S&P 500 divided by 10.0. The index includes the same constituents as the capitalization weighted S&P 500, but each company in the Cboe S&P 500 Equal Weight Index is allocated a fixed weight - or 0.2% of the index total at each quarterly rebalance. The Russell 2000 Index (RUT) measures the performance of small-cap segment of the U.S. equity universe. It is a subset of the Russell 3000® Index and includes approximately 2000 securities based on a combination of their market cap and current index membership. RUT options are valuable tools for increasing yields and managing risk.
Source: Cboe Global Markets
The VIX® Index is based on real-time prices of options on the S&P 500 Index (SPX) and is designed to reflect investors' consensus view of future (30-day) expected stock market volatility. Cboe 1-Day Volatility Index® (VIX1D) estimates expected volatility by aggregating the weighted prices of P.M.-settled S&P 500 Index (SPX) puts and calls over a wide range of strike prices. The Cboe 3-Month Volatility IndexSM (VIX3M) is designed to be a constant measure of 3-month implied volatility of the S&P 500 (SPX) Index options.
Source: Cboe Global Markets
The Cboe S&P 500 Dispersion Index (DSPX) measures the expected dispersion in the S&P 500 Index over the next 30 calendar days, as calculated from the prices of S&P 500 Index options and the prices of single stock options of selected S&P 500 Index constituents, using a modified version of the VIX® index methodology. The Cboe S&P 500 Implied Correlation Indices, including COR1M and COR6M, are the first widely disseminated market estimates of the average correlation of the stocks that comprise the S&P 500. The Cboe S&P 500 Implied Correlation Indices offers insight into the relative cost of SPX options compared to the price of options on individual stocks that comprise the S&P 500.
Source: Cboe Global Markets
The Cboe MSCI Emerging Markets BuyWrite Index (BXEF) is a benchmark index designed to track the performance of a hypothetical buy-write strategy on the MXEF index. The Cboe S&P 500 BuyWrite IndexSM (BXM) is a benchmark index designed to track the performance of a hypothetical buy-write strategy on the S&P 500 Index. The Cboe S&P 500 Half BuyWrite IndexSM (BXMH) is a benchmark index designed to track the performance of a hypothetical covered call strategy. The BXMH Index is similar in design to the Cboe S&P 500 BuyWrite Index (BXM). However, the difference in methodology is as follows: the strategy only writes half a unit of an ATM monthly SPX call option while the long SPX Index position remains unchanged. The Cboe Validus S&P 500 Dynamic Call BuyWrite Index (CALD) tracks the value of a hypothetical rules-based investment strategy which consists of overlaying a basket of S&P 500 a.m.-settled standard expiry short call options over a long position invested in the S&P 500 with dividends reinvested (total return).
Source: Cboe Global Markets
The Cboe S&P 500 PutWrite Index (PUT) tracks the value of a hypothetical portfolio of securities (PUT portfolio) that yields a buffered exposure to S&P 500 stock returns. The PUT portfolio is composed of one- and three-month Treasury bills and of a short position in at-the-money put options on the S&P 500 Index (SPX puts). The number of puts sold is selected to ensure that the value of the portfolio does not become negative when the portfolio is rebalanced. The Cboe Validus S&P 500 Dynamic PutWrite Index (PUTD) is designed to track the value of a rule-based investment strategy which consists of overlaying a basket of S&P 500 (SPX) a.m. settled standard-expiry short put options over a money market account invested at the 4-week daily Treasury Bill rate. The Cboe Russell 2000 PutWrite Index (PUTR) tracks the value of a hypothetical portfolio of securities (PUTR portfolio) that yields a buffered exposure to Russell 2000 Index stock returns. The PUTR portfolio is composed of an investment of $K in one-month Treasury bills and of a short position in an at-the-money puts on the Russell 2000 Index (RUT put), where K is the strike price of the put option.
Source: Cboe Global Markets
The Cboe HYG BuyWrite Index (BXHB) is designed to track the performance of a covered call strategy with a short iShares® iBoxx® $ High Yield Corporate Bond ETF (HYG) call option expiring monthly. The Cboe LQD BuyWrite Index (BXLB) is designed to track the performance of a covered call strategy with a short iShares iBoxx $ Investment Grade Corporate Bond ETF (LQD) Call option expiring monthly. The Cboe TLT 2% OTM BuyWrite Index (BXTB) is designed to track the performance of a covered call strategy with a short iShares 20+ Year Treasury Bond ETF (TLT) Call option expiring monthly.
Source: Cboe Global Markets
The Cboe S&P 500 Enhanced Growth Index Series (SPEN) and Cboe S&P 500 Buffer Protect Index Balanced SeriesSM (SPRO) are part of a family of Target Outcome Indices. The Indices are designed to provide target outcome returns linked to the U.S. domestic stock market. The indices measure the performance of a portfolio of hypothetical exchange traded Flexible Exchange® Options (FLEX Options) that are based on the S&P 500 Index.
Source: Cboe Global Markets
The Cboe VIX Tail Hedge IndexSM (VXTH) tracks the performance of a hypothetical portfolio that:
Source: Cboe Global Markets
Cboe Bitcoin U.S. ETF Index (CBTX) options and Cboe Mini Bitcoin U.S. ETF Index (MBTX) options offer tools to hedge, capitalize on price movements, or express directional views on the world’s largest cryptocurrency without holding the asset.
The information herein is provided solely for informational purposes. Past performance of an index or financial product is not indicative of future results. Indices are not financial products that can be invested in directly, but they can be used as the basis for financial products (for example, without limitation, options, futures, mutual funds or exchange-traded funds) or to help manage portfolios. Nothing herein should be construed as investment advice
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