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

BuyWrite Indexes

Delayed Quotes
Sym Last Pt. Change
BXM 1407.43 -5.46
BXD 326.64 -1.93
BXMC 1455.08 -7.42
BXMD 2553.49 -13.12
BXMW 162.22 -0.48
BXN 625.06 -3.06
BXR 279.26 -1.48
BXRC 250.68 -2.01
BXRD 351.95 -2.53
BXY 2049.82 -11.64

PutWrite Indexes

Delayed Quotes
Sym Last Pt. Change
PUT 1888.64 -7.69
PUTR 400.37 -1.77
WPUT 195.05 -0.99
WPTR 135.12 -0.11

Combo Index

Delayed Quotes
Sym Last Pt. Change
CMBO 1881.54 -9.17

Butterfly and Condor Indexes

Delayed Quotes
Sym Last Pt. Change
BFLY 528.28 -0.56
CNDR 765.04 -0.95

Collar Indexes

Delayed Quotes
Sym Last Pt. Change
CLL 803.68 -3.23
CLLR 263.54 -1.84
CLLZ 945.62 -4.61

Put Protection Index

Delayed Quotes
Sym Last Pt. Change
PPUT 855.86 -4.25

Risk Reversal Index

Delayed Quotes
Sym Last Pt. Change
RXM 1028.68 -3.32

VIX-related Benchmark Indexes

Delayed Quotes
Sym Last Pt. Change
VPD 376.32 -3.61
VPN 344.91 -3.11
VXTH 235.28 -1.48
LOVOL 219.19 -1.17
VSTG 169.08 -1.39

Updated Price Charts

VXTH:



Target Outcome Indexes

Delayed Quotes
Sym Last Pt. Change
SPRO 2142.16 -7.20
SPEN 3080.60 -16.02
SPRI 4622.27 7.59
SPAI 349.93 -2.02
SUPDN 5663.24 -34.93
SPEB01 2038.66 -2.79
SPEB04 1917.49 -8.56
SPEB07 2104.16 1.01
SPEB10 2065.33 -3.61
SPEG01 3084.78 -13.96
SPEG04 2829.61 -18.89
SPEG07 2844.04 1.41
SPEG10 2613.90 -9.23
SPRF01 1912.27 -1.78
SPRF04 1759.91 -6.22
SPRF07 1973.53 0.69
SPRF10 1910.76 -3.35
SPRS01 1968.55 -3.55
SPRS04 1826.35 -6.08
SPRS07 1896.58 0.50
SPRS10 1673.65 -3.84

Key Papers on BuyWrite, PutWrite, and Other Option-Based Strategies

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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