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Options Strategy Indexes

Cboe benchmark indexes show the performance of hypothetical strategies using index options.

Sun, Apr 6th, 2025

S&P 500 VIX Indexes

The VIX Index is a calculation designed to produce a measure of constant, (typically 30-day) volatility of the S&P 500 stock index. A higher VIX means a higher expectation of volatility during the time period.

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BuyWrite Indexes

The BuyWrite (Covered Call) indexes track the performance of buying the S&P 500 stock index and selling $SPX call options. BuyWrite strategies can generate income as well as reduce overall portfolio volatility.

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PutWrite Indexes

The PutWrite (Naked Put) indexes track the performance of selling S&P 500 Index puts with the proceeds invested in three-month Treasury bills. PutWrite strategies can generate income and lower portfolio volatility.

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Combo Indexes

A Covered Combo Index tracks the hypothetical performance of short strangle strategy that sells one 2% out-of-the-money $SPX call and one at-the-money $SPX put while long the S&P 500 Index. By selling both options, two credits are received, and the break-even cost of the long index position is reduced.

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Iron Butterfly and Iron Condor Indexes

The iron butterfly index tracks the performance of a strategy that involves the simultaneous selling of an at-the-money $SPX straddle (same strike call and put) and the purchase of an out-of-the-money $SPX strangle (different strike call and put). The iron condor index tracks the performance simultaneously selling an OTM put spread (bull put spread) and selling an OTM call spread (bear call spread).

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Collar Indexes

The Collar Indexes tracks the hypothetical performance of buying one 5% out-of-the-money $SPX put and selling one 10% out-of-the-money $SPX call while long the stocks that make up the S&P 500. The strategy provides protection in market corrections while capping potential returns in rallies.

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Put Protection Index

The Put Protection Index tracks the hypothetical performance of buying a 5% out-of-the-money $SPX put while long the securities that compose the S&P 500.

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Risk Reversal Index

The Risk Reversal Index tracks the hypothetical performance of an option strategy where one 25 Delta $SPX call is purchased and one 25 Delta $SPX put is sold. This strategy is akin to a synthetic long position in the underlying index.

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VIX Benchmark Indexes

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Index descriptions provided by Cboe.com

Options Strategy Indexes

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.

BuyWrite 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.

Combo Indexes

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.

(source: Cboe.com)

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