This portion of the site is intended for research papers and market commentaries of interest to institutional options investors. Note: Your use of 3rd Party Research is subject to the Terms and Conditions of Cboe Websites.
Active Trader"The VIX Reality Check"
(May 2010) Aon Hewitt"Harvesting the Equity Insurance Risk Premium: Know Your Options"
AQR Capital Management"Covered Calls Uncovered"
(November 2015) "Still Not Cheap: Portfolio Protection in Calm Markets"
(August 2015)"Embracing Downside Risk"
(January 2017)NEW! - "Understanding the Volatility Risk Premium"
Artemis Capital Management"Dennis Rodman and the Art of Portfolio Optimization"
(April 2016)"Volatility at World's End - Research Paper"
(April 2012)"Volatility at World's End - Volatility Visualization Video"
(April 2012) Asset Consulting Group"An Analysis of Index Option Writing for Liquid Enhanced Risk-Adjusted Returns"
(January 2012)"Key Tools for Hedging and Tail Risk Management"
Berenberg Asset Management"The Rising Use of Short Volatility Strategies: Separating Fact from Fiction"
Cambridge Associates, LLC."Highlights from the Benefits of Selling Volatility"
(2011) Cboe Options Institute / Option Pit"A Leveraged Portfolio Management Approach Applying The Cboe S&P 500 2% OTM BuyWrite Index"
(March 2017) "A Leveraged Portfolio Management Approach Applying The Cboe Russell 2000 PutWrite Index"
(August 2017) DGV SolutionsNEW! - "After the Volpocalypse"
Employees Retirement System of Texas"Use of Option Strategies to Improve Risk-Adjusted Returns on a 60/40 Investment Portfolio."
(July 2016) Feldman, Barry, and Dhruv Roy"Passive Options-Based Investment Strategies: The Case of the Cboe S&P 500 BuyWrite Index."
(Summer 2005) Fund Evaluation Group"Evaluation of BuyWrite and Volatility Indexes: Using the Cboe DJIA BuyWrite Index (BXD) and the Cboe DJIA Volatility Index (VXD) for Asset Allocation and Diversification Purposes"
(Jan 2007) Gladius Capital Management LP"A Lot of VIX Noise"
(May 2017) "Low Volatility Environment"
(June 2017) "Volatility Strategy Effects on the US Implied Volatility Surface"
(July 2017) Hewitt EnnisKnupp"Evaluating the Performance Characteristics of the Cboe S&P 500 PutWrite Index"
(Dec 2008)"The Cboe S&P 500 BuyWrite Index (BXM) - A Review of Performance"
(2012) Ibbotson Associates"Highlights from Case Study on BXM Buy-Write Options Strategy"
(Aug 2004) IPS Strategic Capital"A Study in Portfolio Diversification with the use of VIX Options"o
(April, 2015) Parametric Portfolio Associates"Insights and Research"
Benchmark Indexes (BXM, PUT, etc.) and Key PapersBibliography of Articles on BuyWrites and Other Options Strategies
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