Cboe offers benchmark indexes that show the performance of hypothetical strategies using index options or VIX® Futures.
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.
In a buy-write strategy an investor usually buys stocks and writes covered calls for income, often with the goals of adding income and reducing portfolio volatility. Investors have asked for benchmark indexes to help them gauge the performance of options-based strategies, and Cboe introduced the popular BXM Index and other benchmark indexes for buy-write performance. A number of studies have shown that certain Cboe buywrite indexes have delivered strong risk-adjusted returns over more than two decades, in part because of a risk premium involved with consistent selling of index options.
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 money market account invested in one-month Treasury bills.
Put Protection Index
long position indexed to the S&P 500® Index and buys a monthly 5% out-of-the-money S&P 500 Index (SPX) put option as a hedge. The PPUT Index rolls on a monthly basis, typically every third Friday of the month.
Risk Reversal Index
The Cboe S&P 500 Risk Reversal Index (RXMSM Index) is a benchmark index designed to track the performance of a hypothetical risk reversal strategy that: (1) buys a rolling out-of-the-money (delta ≈ 0.25) monthly SPX Call option; (2) sells a rolling out-of-the-money (delta ≈ - 0.25) monthly SPX Put option; and (3) holds a rolling money market account invested in one-month Treasury bills to cover the liability from the short SPX Put option position.