Cboe's Strategy Benchmark Indexes www.cboe.com/Benchmarks

BuyWrite Indexes

Delayed Quotes
Sym Last Pt. Change
BXM 1458.48 4.11
BXD 354.66 0.44
BXMC 1542.74 4.37
BXMD 2766.55 8.22
BXMW 166.87 0.44
BXN 659.36 3.72
BXR 274.78 -0.18
BXRC 232.97 -0.31
BXRD 331.14 -0.40
BXY 2204.24 6.61

PutWrite Indexes

Delayed Quotes
Sym Last Pt. Change
PUT 1907.44 5.12
PUTR 388.86 0.19
WPUT 192.64 0.61
WPTR 113.78 0.12

Combo Index

Delayed Quotes
Sym Last Pt. Change
CMBO 1999.11 5.65

Butterfly and Condor Indexes

Delayed Quotes
Sym Last Pt. Change
BFLY 466.26 1.31
CNDR 735.48 1.53

Collar Indexes

Delayed Quotes
Sym Last Pt. Change
CLL 953.81 1.54
CLLR 248.42 -0.36
CLLZ 1054.50 2.53

Put Protection Index

Delayed Quotes
Sym Last Pt. Change
PPUT 947.86 1.61

Risk Reversal Index

Delayed Quotes
Sym Last Pt. Change
RXM 1065.40 1.89

VIX-related Benchmark Indexes

Delayed Quotes
Sym Last Pt. Change
VPD 425.57 3.07
VPN 381.87 2.75
VXTH 246.86 0.15
LOVOL 233.99 0.40
VSTG 151.56 0.40

Updated Price Charts

VXTH:



Target Outcome Indexes

Delayed Quotes
Sym Last Pt. Change
SPRO 2324.58 5.81
SPEN 3469.69 14.73
SPRI 4993.15 2.25
SPAI 399.15 -0.76
SPATI 400.75 -0.79
SUPDN 5913.58 20.97
SPEB01 2223.81 1.00
SPEB04 2130.49 6.21
SPEB07 2328.09 6.82
SPEB10 2208.58 7.22
SPEG01 3286.94 4.76
SPEG04 3298.01 14.59
SPEG07 3298.23 14.86
SPEG10 2873.53 16.81
SPRF01 2070.61 0.86
SPRF04 1909.68 5.60
SPRF07 2159.56 5.55
SPRF10 2016.07 4.73
SPRS01 2010.57 0.65
SPRS04 1985.07 5.55
SPRS07 2075.75 4.80
SPRS10 1764.67 5.18

Excerpts from News Clips

Options for Nervous Investors

"...Research suggests investors who use covered calls can turn the risk-reward trade-off in their favor by using a strategy based on stock indexes rather than individual stocks...Over 10 years through November, the BXM returned 4.2% a year, versus 2.9% for the S&P 500. Over 20 years, which counts the go-go 1990s, its lead is narrower: 8.4% versus 8.3%. During both periods its volatility was significantly lower than that of the S&P 500...

Wall Street Journal December 10, 2011

 

Buy Writing Makes Comeback as Way to Hedge Risk

"Pension executives are once again beginning to consider a long-standing but long-dormant derivatives strategy - covered call writing, or buy writing - to hedge their downside equity risk and add incremental alpha ... While options industry executives said the strategy is not new, two developments have given it more credibility. First, in 2002, the Cboe Options Exchange created a buy-write index based on the S&P 500, the Cboe S&P 500 BuyWrite Index, or BXM. ... Second, and possibly more important for institutional investors, Ibbotson Associates, Chicago, released a report...

Pensions & Investments. May 16, 2005.

Charts

Microsite chart
Microsite chart

The BXM, BXD, BXN, BXY, CLL and PUT indexes (the "Indexes") are designed to represent proposed hypothetical options strategies. The actual performance of investment vehicles such as mutual funds or managed accounts can have significant differences from the performance of the Indexes. Investors attempting to replicate the Indexes should discuss with their advisors possible timing and liquidity issues. Like many passive benchmarks, the Indexes do not take into account significant factors such as transaction costs and taxes. Transaction costs and taxes for strategies such as the Indexes could be significantly higher than transaction costs for a passive strategy of buying-and-holding stocks. Investors should consult their tax advisor as to how taxes affect the outcome of contemplated options transactions. Past performance does not guarantee future results. This web page contains index performance data based on back-testing, i.e., calculations of how the index might have performed prior to launch. Backtested performance information is purely hypothetical and is provided in this web page solely for informational purposes. Back-tested performance does not represent actual performance and should not be interpreted as an indication of actual performance. It is not possible to invest directly in an index. Cboe calculates and disseminates the Indexes. Supporting documentation for any claims, comparisons, statistics or other technical data is available from Cboe upon request. The methodologies of the Indexes are the property of Cboe Options Exchange, Incorporated (Cboe).

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