BENCHMARK INDEXES
Would you like extra income for your portfolio? Do you need a cushion against downside moves in the market?
Are you willing to limit upside potential in return for potentially less volatility in your portfolio?
IF SO, EXPLORE THESE INDEXES:
BFLYSM - CBOE S&P 500 Iron Butterfly Index
BXDSM - CBOE DJIA BuyWrite Index
BXMSM - CBOE S&P 500 BuyWrite Index
BXMCSM - CBOE S&P 500 Conditional BuyWrite
BXMDSM - CBOE S&P 500 30-Delta BuyWrite Index
BXMWSM - CBOE S&P 500 Multi-Week BuyWrite Index
CLLZSM - CBOE S&P 500 Zero-Cost Put Spread Collar Index
CMBOSM - CBOE S&P 500 Covered Combo Index
CNDRSM - CBOE S&P 500 Iron Condor Index
LOVOLSM - CBOE Low Volatility Index
PPUTSM - CBOE S&P 500 5% Put Protection Index
PUTSM - CBOE S&P 500 PutWrite Index
BXNSM - CBOE Nasdaq-100 BuyWrite Index
BXRSM - CBOE Russell 2000 BuyWrite Index
BXRCSM - CBOE Russell 2000 Conditional BuyWrite Index
BXRDSM - CBOE Russell 2000 30-Delta BuyWrite Index
BXYSM - CBOE S&P 500 2% OTM BuyWrite Index
CLLSM - CBOE S&P 500 95-10 Collar Index
CLLRSM - CBOE Russell 2000 Zero-Cost Put Spread Collar Index
PUTRSM - CBOE Russell 2000 PutWrite Index
VPDSM - CBOE VIX Premium Strategy Index
VPNSM - CBOE Capped VIX Premium Strategy Index
VSTGSM - CBOE VIX Strangle Index
VXTHSM - CBOE VIX Tail Hedge Index
WPTRSM - CBOE Russell 2000 One-Week PutWrite Index
WPUTSM - CBOE S&P 500 One-Week PutWrite Index
STANDARD DEVIATIONS
ANNUALIZED RETURNS
(Jun. 30, 1986 - Dec. 31, 2015)
(Jun. 30, 1986 - Dec. 31, 2015)
BXMD - CBOE S&P 500 30-Delta
BuyWrite Index
10.7%
10.1%
PUT - CBOE S&P 500 PutWrite Index
9.9%
S&P 500
PUT - CBOE S&P 500 PutWrite Index
BXM - CBOE S&P 500 BuyWrite Index
CLLZ - CBOE S&P 500 Zero-Cost Put
Spread Collar
8.9%
BXM - CBOE S&P 500 BuyWrite Index
CLLZ - CBOE S&P 500 Zero-Cost Put
Spread Collar
7.2%
30-yr Treasury Bd (Citi)
7.0%
30-yr Treasury Bd (Citi)
BXMD - CBOE S&P 500 30-Delta
BuyWrite Index
S&P 500
MSCI EAFE (US$)
6.3%
MSCI EAFE (US$)
S&P GSCI
3.5%
S&P GSCI
10.2%
10.9%
11.8%
12.3%
13.2%
15.3%
17.5%
20.7%
Total Return Indexes. Sources: CBOE and Bloomberg
Total Return Indexes. Sources: CBOE and Bloomberg
INDEXES SINCE MID-1986 (Jun. 30, 1986 - Dec. 31, 2015)
Month-end total retrun indexes
re-scaled to $1 on June 30, 1986
$21
$19.85 - BXMD -CBOE S&P 500
30-Delta BuyWrite Index
$18
$15
$17.22 - PUT - CBOE S&P 500
PutWrite Index
$12
$15.99 - S&P 500
$9
$12.32 - BXM - CBOE S&P 500
BuyWrite Index
$6
$7.75 - CLLZ - CBOE S&P 500
Zero-Cost Put Spread Collar
$3
$Jun-86 Aug-90 Oct-94
Dec-98 Feb-03
Apr-07 Jun-11 Aug-15
$6.04 - MSCI EAFE (US$)
Sources: Bloomberg and CBOE. Past performance is not predictive of future returns.
www.cboe.com/Benchmarks
BENCHMARK INDEXES
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Total return indexes re-scaled to $1
on March 31, 2006
INDEXES SINCE MARCH 2006 (Mar. 31, 2006 - Dec. 31, 2015)
$2.50
$2.00 - PUTR - CBOE Russell
2000 PutWrite Index
$2.00
$1.70 - Russell 2000 Index
$1.50
$1.67 - WPUT - CBOE S&P 500
One-Week PutWrite Index
$1.00
$1.61 - VSTG - CBOE VIX
Strangle Index
$0.50
$0.33 - S&P GSCI
$0.00
Mar-06
Oct-08
May-11
Dec-13
Sources: Bloomberg and CBOE. Past performance is not predictive of future returns.
HISTOGRAM OF MONTHLY RETURNS
S&P 500 and CBOE S&P 500 Zero-Cost Put Spread Collar (CLLZ)
120
98
100
S&P 500
80
70
CLLZ
60
20
81
79
68
52
46
33
32 30
40
13
7
11
6
20
16 12
11
12
0
1
Above 8%
6% - 8%
4% - 6%
2% - 4%
0% - 2%
-2% - 0%
-4% - -2%
-6% - -4%
-8% - -6%
Below -8%
Frequency of Monthly Returns
(July 1986 - July 2015)
Source: Bloomberg and CBOE
Visit www.cboe.com/benchmarks for more information and white papers on CBOE benchmark indexes.
MUTUAL FUNDS – Visit www.cboe.com/funds for testimonials and links to a 2015 study on the use of options by mutual funds.
HEDGE FUNDS - For information on the four new indexes designed to show the performance of select hedge funds that invest
in volatility-based strategies, please visit www.cboe.com/EH.
•
•
CBOE Eurekahedge Short Volatility Index
CBOE Eurekahedge Long Volatility Index
•
•
CBOE Eurekahedge Relative Value Volatility Index
CBOE Eurekahedge Tail Risk Index
Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of Characteristics and Risks of Standardized
Options. Copies are available from your broker, by calling 1-888-OPTIONS, or from The Options Clearing Corporation, One North Wacker Drive, Suite 500, Chicago, Illinois
60606 or at www.theocc.com. The information in this document is provided solely for general education and information purposes. No statement within this document should
be construed as a recommendation to buy or sell a security or to provide investment advice. The BFLY, BXD, BXM, BXMC, BXMD, BXMW, BXN, BXR, BXY, CLL, CLLZ, CMBO,
CNDR, LOVOL, PPUT, PUT, VPD, VPN, VSTG, VXTH and WPUT indexes (collectively, the “Indexes”) are designed to represent proposed hypothetical strategies. Like many
passive benchmarks, the Indexes do not take into account significant factors such as transaction costs and taxes. Investors attempting to replicate the Indexes should discuss
with their advisors possible timing and liquidity issues. Past performance does not guarantee future results. This document contains index performance data based on backtesting, i.e., calculations of how the index might have performed prior to launch. Back-tested performance information is purely hypothetical and is provided in this document
solely for information purposes. Back-tested performance does not represent actual performance and should not be interpreted as an indication of actual performance. The
methodologies of the Indexes are the property of CBOE. CBOE®, Chicago Board Options Exchange®, Execute Success® and VIX® are registered trademarks and BFLY, BXD,
BXM, BXMC, BXMD, BXMW, BXN, BXR, BXY, CLL, CLLZ, CMBO, CNDR, LOVOL, PPUT, PUT, VPD, VPN, VSTG, VXTH and WPUT are service marks of Chicago Board Options
Exchange, Incorporated (CBOE). S&P 500® is a registered trademark of Standard & Poor’s Financial Services, LLC and has been licensed for use by CBOE. Financial products
based on S&P indices are not sponsored, endorsed, sold or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of
investing in such products. CBOE’s financial products based on the CBOE DJIA BuyWrite Index are not sponsored, endorsed, marketed or promoted by Dow Jones and Dow
Jones makes no representations regarding the advisability of investing in such products. The CBOE Nasdaq-100 BuyWrite Index (“Index”) is not derived, maintained, published,
calculated or disseminated by The Nasdaq Stock Market, Inc. or its affiliates (collectively, the “Corporations”). Neither the Index nor any Derivative Product based on the
Index has been passed on by the Corporations as to its legality or suitability. Such Derivative Products are not issued, endorsed, sold, sponsored, marketed or promoted by the
Corporations. The Corporations make no warranties and bear no liability with respect to the Index. Russell® and Russell 2000® are registered trademarks of the Frank Russell
Company, used under license. All other trademarks and service marks are the property of their respective owners.
Copyright © 2016 CBOE. All Rights Reserved.
CBOE | 400 South LaSalle Street | Chicago, IL 60605
February 2016