New Study Evaluates BXM and Other Indexes: Returns, Standard Deviations and Risk-Adjusted Returns Since Mid-1986

CHICAGO, March 20, 2012 /PRNewswire/ --  A new study, "The CBOE S&P 500 BuyWrite Index (BXM) – A Review of Performance," was released last week by investment-advisory firm Hewitt EnnisKnupp.

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The study, commissioned by Chicago Board Options Exchange (CBOE), compares the performance of "traditional" indexes and CBOE S&P 500 BuyWrite Index (BXM(SM)) since mid-1986.

Summary of Results of the Study:

From June 1986 through January 2012, the BXM Index produced a:

• Similar return, but lower volatility, relative to the S&P 500 Index
• Return in excess of all other comparative indexes
• Standard deviation lower than all other equity and commodity indexes covered in the study
• Standard deviation lower than the 30-Year Treasury Index
• Sharpe ratio (a measure of risk-adjusted returns) that was superior to that of other equity and commodity indexes evaluated.

The paper and other studies are available at www.cboe.com/benchmarks.

The BXM Index is a passive total return index based on (1) buying an S&P 500 stock index portfolio, and (2) "writing" (or selling) the near-term S&P 500 Index (SPX(SM)) "covered" call option, generally on the third Friday of each month. The SPX call written will have about one month remaining to expiration, with an exercise price just above the prevailing index level (i.e., slightly out of the money). The SPX call is held until expiration and is cash settled, at which time a new one-month, near-the-money call is written.

About CBOE Holdings, Inc.
CBOE Holdings, Inc. (NASDAQ: CBOE) is the holding company for Chicago Board Options Exchange (CBOE), C2 Options Exchange and other subsidiaries.  CBOE, the largest U.S. options exchange and creator of listed options, continues to set the bar for options trading through product innovation, trading technology and investor education. CBOE offers equity, index and ETF options, including proprietary products, such as S&P 500 options (SPX), the most active U.S. index option, and options on the CBOE Volatility Index (the VIX Index). Other products engineered by CBOE include equity options, security index options, LEAPS options, FLEX options, and benchmark products such as the CBOE S&P 500 BuyWrite Index (BXM). CBOE's Hybrid Trading System incorporates electronic and open-outcry trading, enabling customers to choose their trading method. CBOE's Hybrid is powered by CBOEdirect, a proprietary, state-of-the-art electronic platform that also supports C2 Options Exchange (C2), CBOE Futures Exchange (CFE), CBOE Stock Exchange (CBSX) and OneChicago. CBOE is home to the world-renowned Options Institute and www.cboe.com, named "Best of the Web" for options information and education. CBOE is regulated by the Securities and Exchange Commission (SEC), with all trades cleared by the OCC.

About Hewitt EnnisKnupp
Hewitt EnnisKnupp, Inc., an Aon company, provides investment consulting services to over 460 clients in North America with total client assets of over $2 trillion. Our 238 investment consulting professionals, a result of the merger of Hewitt Investment Group, Ennis, Knupp & Associates, and Aon Investment Consulting advises clients ranging in size from $3 million to over $740 billion and includes endowments, foundations, corporate and public pension plans. For more information, please visit www.aonhewitt.com.

The study was prepared by Hewitt EnnisKnupp at the request of Chicago Board Options Exchange, Incorporated (CBOE). CBOE provided financial support for the study. The BXM Index is designed to represent a hypothetical strategy. The actual performance of investment vehicles such as mutual funds can have significant differences from the performance of hypothetical indices. Investors attempting to replicate the BXM Index should discuss with their advisors possible timing and liquidity issues. Past performance does not guarantee future results. The study contains index performance data based on back-testing, i.e., calculations of how the index might have performed prior to launch. Back-tested performance information is purely hypothetical and is provided in the study solely for information purposes. Index returns do not reflect management fees, transactions costs or expenses. Nothing in the study should be deemed as investment advice or a recommendation by Hewitt EnnisKnupp or CBOE to buy or sell securities. The views and strategies described may not be suitable for all investors. Neither Hewitt EnnisKnupp nor CBOE makes any representation as to the appropriateness of these strategies for any investor.  The information provided in the study is believed to be reliable but Hewitt EnnisKnupp and CBOE do not warrant its accuracy or completeness. The study has been prepared for informational purposes only, and is not intended to provide, and should not be relied on for accounting, legal or tax advice.  Neither Hewitt EnnisKnupp nor CBOE assumes any responsibility for any losses you might suffer by reason of adopting any investment strategy discussed in the study. CBOE calculates and disseminates the BXM Index. The methodologies of the BXM Index is owned by CBOE and may be covered by one or more patents or pending patent applications. CBOE's options based on S&P 500 indexes and financial products based on the BXM Index are not sponsored, endorsed, marketed or promoted by Standard & Poor's and Standard & Poor's makes no representations regarding the advisability of investing in such products.  The views expressed are those of Hewitt EnnisKnupp. They are subject to change at any time. These views do not necessarily reflect the opinions of any other firm.

CBOE®, Chicago Board Options Exchange®, CBSX®, CBOE Stock Exchange®, CFE®, CBOEdirect®, FLEX®, Hybrid®, LEAPS®, CBOE Volatility Index® and VIX® are registered trademarks, and BuyWrite, BXM(SM), SPX(SM), CBOE Futures Exchange(SM) and The Options Institute(SM) are service marks of CBOE. C2(SM) and C2 Options Exchange(SM) are service marks of C2 Options Exchange, Incorporated (C2).  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 CBOE