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

BuyWrite Indexes

Delayed Quotes
Sym Last Pt. Change
BXM 1469.16 -3.46
BXD 350.67 -0.16
BXMC 1538.75 -1.89
BXMD 2706.60 -7.17
BXMW 168.60 -0.01
BXN 654.51 -4.02
BXR 289.01 -1.20
BXRC 257.22 -1.09
BXRD 365.39 -1.34
BXY 2177.17 -6.59

PutWrite Indexes

Delayed Quotes
Sym Last Pt. Change
PUT 1962.32 -2.43
PUTR 413.43 -0.51
WPUT 202.16 -0.29
WPTR 134.12 -0.36

Combo Index

Delayed Quotes
Sym Last Pt. Change
CMBO 1978.57 -5.72

Butterfly and Condor Indexes

Delayed Quotes
Sym Last Pt. Change
BFLY 531.08 -3.13
CNDR 770.14 -3.30

Collar Indexes

Delayed Quotes
Sym Last Pt. Change
CLL 850.18 0.38
CLLR 268.82 -1.11
CLLZ 997.56 -2.89

Put Protection Index

Delayed Quotes
Sym Last Pt. Change
PPUT 908.17 -0.09

Risk Reversal Index

Delayed Quotes
Sym Last Pt. Change
RXM 1060.78 1.63

VIX-related Benchmark Indexes

Delayed Quotes
Sym Last Pt. Change
VPD 403.52 -0.38
VPN 367.67 -0.35
VXTH 251.86 -0.08
LOVOL 232.30 -0.26
VSTG 181.23 -0.49

Updated Price Charts

VXTH:



Target Outcome Indexes

Delayed Quotes
Sym Last Pt. Change
SPRO 2228.04 0.60
SPEN 3262.09 0.89
SPRI 4734.89 1.44
SPAI 383.14 0.52
SUPDN 6076.12 -3.91
SPEB01 2095.40 -0.29
SPEB04 1982.71 0.74
SPEB07 2195.26 1.52
SPEB10 2100.29 0.85
SPEG01 3244.36 -1.00
SPEG04 2982.04 0.51
SPEG07 3035.03 2.40
SPEG10 2687.93 1.37
SPRF01 1965.12 -0.34
SPRF04 1821.55 0.93
SPRF07 2070.42 1.57
SPRF10 1944.44 0.77
SPRS01 2034.54 -0.58
SPRS04 1887.09 0.52
SPRS07 1986.06 2.36
SPRS10 1710.42 0.71

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 indices (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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