CBOE Introduces 10 Options-Based Strategy Performance Benchmark Indexes
- Designed to Highlight Use of Options as Risk Management and Yield Enhancement Investment Tools
- Intra-Day Values for New Benchmarks Available Beginning August 3
CHICAGO, July 29, 2015 /PRNewswire/ -- The Chicago Board Options Exchange® (CBOE®) announced that it has created 10 new options-based strategy performance benchmark indexes that are designed to highlight the long-term utility of options as risk management and yield enhancing investment tools. CBOE will disseminate intra-day values for the new benchmarks beginning Monday, August 3, 2015.
The new benchmark indexes will use popular S&P 500 Index (SPX) Weeklys options to create new versions of two of CBOE's flagship strategy benchmark indexes -- the CBOE S&P 500 BuyWrite Index (BXM) and the CBOE S&P 500 PutWrite (PUT) Index -- as well as completely new risk-managed option selling strategies featuring S&P 500 Index (SPX) and CBOE Volatility Index® (VIX® Index) options.
"Our popular performance benchmarks have proven to be of great utility to market participants and have driven demand for additional CBOE index benchmarks," said CBOE CEO Edward T. Tilly. "We're pleased to respond to that demand with new benchmarks aimed at providing fund managers, investment advisors, institutional investors and others with tangible measures of how our products can be used to improve risk-adjusted returns within an investment portfolio."
Beginning Monday, August 3, the values for each of the indexes will be published every 15 seconds throughout the trading day and can be accessed on the CBOE website and through all quote vendors. In addition, overviews and historical data for each of the performance benchmark indexes will be available through links at www.cboe.com/benchmarks.
A description of each index follows:
CBOE S&P 500 Multi-Week BuyWrite Index (ticker symbol: BXMW)
The CBOE S&P 500 Multi-Week BuyWrite Index is designed to track the performance of a hypothetical weekly covered call strategy with staggered short positions in call options expiring in consecutive four week options. The BXMW Index is constructed as a combined portfolio of four mini BuyWrite indexes. Expirations are staggered so that the BXMW Index sells four-week options on a rolling weekly basis.
CBOE S&P 500 One-Week PutWrite Index (ticker symbol: WPUT)
The CBOE S&P 500 One-Week PutWrite Index is designed to track the performance of a hypothetical strategy that sells an at-the-money (ATM) S&P 500 Index (SPX) put option on a weekly basis. The maturity of the written SPX put option is always one week to expiry. The written SPX put option is collateralized by a money market account invested in one-month Treasury bills.
CBOE S&P 500 Zero-Cost Put Spread Collar Index (ticker symbol: CLLZ)
The CBOE S&P 500 Zero-Cost Put Spread Collar Index is designed to track the performance of a hypothetical option trading strategy that 1) holds a long position indexed to the S&P 500 Index; 2) on a monthly basis buys a 2.5% - 5% S&P 500 Index (SPX) put option spread; and 3) sells a monthly out-of-the-money (OTM) SPX call option to cover the cost of the put spread.
CBOE S&P 500 Iron Condor Index (ticker symbol: CNDR)
The CBOE S&P 500 Iron Condor Index is designed to track the performance of a hypothetical option trading strategy that 1) sells a rolling monthly out-of-the-money (OTM) S&P 500 Index (SPX) put option (delta ≈ - 0.15) and a rolling monthly out-of-the-money (OTM) SPX call option (delta ≈ 0.15); 2) buys a rolling monthly OTM SPX put option (delta ≈ - 0.05) and a rolling monthly OTM SPX call option (delta ≈ 0.05) to reduce risk; and 3) holds a money market account invested in one-month Treasury bills, which is rebalanced on option roll days and is designed to limit the downside return of the index.
CBOE S&P 500 Iron Butterfly Index (ticker symbol: BFLY)
The CBOE S&P 500 Iron Butterfly Index is designed to track the performance of a hypothetical option trading strategy that 1) sells a rolling monthly at-the-money (ATM) S&P 500 Index (SPX) put and call option; 2) buys a rolling monthly 5% out-of-the-money (OTM) SPX put and call option to reduce risk; and 3) holds a money market account invested in one-month Treasury bills, which is rebalanced on the option roll day and is designed to limit the downside return of the index.
CBOE VIX Strangle Index (ticker symbol: STGV)
The CBOE VIX Strangle Index is designed as a hypothetical premium capture index. The index overlays short CBOE Volatility Index (VIX) call and put options with a capped long VIX call option position. The position is collateralized by fixing the number of strangles such that 80% of capital is reserved.
CBOE S&P 500 Covered Combo Index (ticker symbol: CMBO)
The CBOE S&P 500 Covered Combo Index is designed to track the performance of a hypothetical "short strangle" strategy collateralized by a portfolio holding a long position indexed to the S&P 500 Index and a fixed income account. The CMBO Index sells a monthly at-the-money (ATM) S&P 500 Index (SPX) put option and a monthly 2% out-of-the-money (OTM) SPX call option. The short SPX put position is collateralized by a money market account invested in one-month Treasury bills and the 2% OTM SPX call is collateralized by the long S&P 500 Index position.
CBOE S&P 500 5% Put Protection Index (ticker symbol: PPUT)
The CBOE S&P 500 5% Put Protection Index is designed to track the performance of a hypothetical strategy that holds a long position indexed to the S&P 500 Index and buys a monthly 5% out-of-the-money (OTM) S&P 500 Index (SPX) put option as a hedge.
CBOE S&P 500 30-Delta BuyWrite Index (ticker symbol: BXMD)
The CBOE S&P 500 30-Delta BuyWrite Index is designed to track the performance of a hypothetical covered call strategy that holds a long position indexed to the S&P 500 Index and sells a monthly out-of-the-money (OTM) S&P 500 Index (SPX) call option. The call option written is the strike nearest to the 30 Delta at 10:00 a.m. CT on the roll date. The BXMD Index rolls on a monthly basis, typically every third Friday of the month.
CBOE S&P 500 Conditional BuyWrite Index (ticker symbol: BXMC)
The CBOE S&P 500 Conditional BuyWrite Index is designed to track the performance of a hypothetical covered call strategy that holds a long position indexed to the S&P 500 Index and sells a monthly at-the-money (ATM) S&P 500 Index (SPX) call option. The written number of ATM call options will be either ½ unit or 1 unit and will be determined by the level of the CBOE Volatility Index (VIX Index) when the call option is written on the roll date. The BXMC Index rolls on a monthly basis, typically every third Friday of the month.
For more than a decade, CBOE has been a worldwide leader in creating benchmark indexes designed to help investors track the performance of investment strategies that use options or volatility products to help manage risk and enhance yield. CBOE currently publishes data on nearly a dozen strategy performance benchmark indexes, including the CBOE S&P 500 BuyWrite Index (BXM), the CBOE S&P 500 PutWrite Index (PUT) and the CBOE VIX Tail Hedge Index (VXTH). Additional information on all of CBOE's strategy performance benchmark indexes can be found at www.cboe.com/benchmarks. Manager testimonials and a 2015 study on funds' use of options can be found at www.cboe.com/funds.
About CBOE
CBOE, the largest U.S. options exchange and creator of listed options, continues to set the bar for options and volatility trading through product innovation, trading technology and investor education. CBOE Holdings offers equity, index and ETP options, including proprietary products, such as S&P 500 options (SPX), the most active U.S. index option, and options and futures on the CBOE Volatility Index (the VIX Index). Other products engineered by CBOE include equity options, security index options, Weeklys options, LEAPS options, FLEX options, and benchmark products such as the CBOE S&P 500 BuyWrite Index (BXM). CBOE Holdings is home to the world-renowned Options Institute and www.cboe.com, the go-to place for options and volatility trading resources.
CBOE®, Chicago Board Options Exchange®, Execute Success®, FLEX®, LEAPS®, CBOE Volatility Index® and VIX® are registered trademarks, and BuyWriteSM, BXMSM, WeeklysSM and The Options InstituteSM are service marks of Chicago Board Options Exchange, Incorporated (CBOE). Standard & Poor's®, S&P® and S&P 500® are registered trademarks of Standard & Poor's Financial Services, LLC and have been licensed for use by CBOE. All other trademarks and service marks are the property of their respective owners.
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SOURCE Chicago Board Options Exchange
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