PROTECT, CUSHION & ENHANCE, PREMIUM CAPTURE
PROTECT
CUSHION&
ENHANCE
PREMIUM
CAPTURE
•PPUTSM, CLLSM, CLLZSM
•VXTHSM
•BXMSM, BXMDSM, BXMCSM,CMBOSM, PUTSM,
BXMWSM, PUTWSM
•BXYSM, BXRSM
•CNDRSM, BFLYSM
•VSTGSM
2
PROTECT
 PPUT : S&P 500 + 1M 5% OTM SPX Put
 CLL: S&P 500 + 1M 5% OTM SPX Put – 1M 10% OTM SPX Call
 CLLZ: S&P 500 + 1M SPX 2.5% - 5% Put Spread
– 1M SPX Calls w/Strikes s.t. Total Option Premium ≈ $0
 VXTH: S&P 500 + 30 Delta VIX Calls w/Weight Conditional on VIX
3
CUSHION & ENHANCE
 BXM : S&P 500– 1M ATM SPX Call
 BXMD: S&P 500 – 1M 30 Delta SPX Call
 BXMC: S&P 500 – 1M ½ or 1 SPX Call Conditional on VIX
 CMBO: S&P500 Index – 2% OTM SPX Call + 1M T-Bills – ATM SPX Put
 BXMW: S&P500 – Equally Weighted Portfolio of Four 1W SPX ATM Calls
 PUT: 1& 3M T-Bills – 1M ATM Puts s.t . Settlement Value of Portfolio
Non-Negative
 PUTW: 1M T-Bills – 1W ATM SPX Call
 BXY: S&P500 – 1M 2% OTM SPX Call
 BXR: R2000 – 1M ATM RUT Call
4
CAPTURE PREMIUM
 CNDR: 1M T-Bills – 1M SPX Put & Call (|Delta| =.15) +1M SPX Put & Call
(|Delta|= .05)

BFLY: 1M T-Bills - 1M ATM SPX Put & Call + 1M 5% OTM SPX Put & Call
 VSTG : 1M TBills - VIX Calls & Puts + VIX Calls (Strikes: 5th , 95th and 99th
percentiles of VIX forward distribution) . Settlement Value of Portfolio > 80% of
initial capital.
5
S
1986 - 2015
SPTR PPUT CLL CLLZ VXTH BXM PUT BXY BXMD 30 BXMC CMBO CNDR BFLY VSTG
8.1% 6.9% 6.8% 7.3% 7.1% 9.0% 10.2% 10.3% 10.8% 9.5% 0.8% 7.1% 0.5% 0.6%
Annualized Geo.Mean
Annualized Stdev.
20.0% 12.7% 10.8% 12.4% 14.1% 11.0% 10.6% 12.6% 13.6% 12.4% 13.6% 7.3% 10.6% 12.6%
0.24 0.31 0.29 0.28 0.28 0.21
Monthly Sharpe
0.12 0.22 0.23 0.27 0.16 0.24 0.28 0.25
5.3% 5.4% 5.2% 6.1% 3.7% 3.0%
Neg. Dev.
5.7% 3.6% 2.9% 3.9% 4.6% 5.3% 5.8% 5.1%
0.13 0.14 0.13 0.05 0.16 0.21
Sortino
0.07 0.15 0.15 0.18 0.08 0.10 0.10 0.12
Expected 5% Short Fall -13.1% -6.7% -6.2% -9.1% -9.0% -9.3% -9.2% -9.8% -10.6% -9.4% -9.6% -6.5% -5.3% -8.1%
SOURCE: CBOE
*BXY since 1988, BXMC since 1990
VXTH and VSTG since 2006,
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A MORE GRANULAR VIEW TAILORED TO OPTION BENCHMARKS
RELATIVE PERFORMANCE IN BEAR TO BULL MARKETS
Cycle Returns
1986 to 2015
SPTR Return Below -10%
FREQUENCY
SPTR
PROTECT
CUSHION &
ENHANCE
PREMIUM
CAPTURE
CLLZ
PPUT
CLL
VXTH
BXMD 30
BXY
CMBO
BXM
PUT
BXMC
BFLY
VSTG
CNDR
-10% to -5%
"-5% to 0% 0% to 5%
5% to 10%
Above 10%
5%
7%
27%
45%
11%
5%
-13.10%
-6.74%
-1.81%
2.33%
6.70%
14.67%
-5.24%
-2.73%
-2.25%
-0.38%
-5.66%
-4.85%
-5.21%
-5.12%
-5.03%
-2.82%
-0.87%
-0.59%
-2.97%
-2.78%
-4.25%
-3.45%
0.33%
-3.93%
-3.81%
-3.49%
-3.40%
-2.80%
-2.76%
-3.72%
-1.45%
-1.42%
-1.29%
-1.89%
-1.50%
-1.69%
-0.78%
-0.67%
-0.12%
0.03%
0.56%
-0.11%
1.54%
1.48%
1.26%
2.02%
1.80%
1.67%
1.08%
2.52%
2.45%
2.14%
2.00%
1.83%
2.43%
1.56%
0.70%
1.26%
3.56%
5.05%
4.18%
2.20%
3.71%
3.17%
2.61%
2.33%
2.09%
3.66%
-2.21%
3.43%
-0.62%
3.59%
4.30%
3.06%
2.59%
3.81%
3.16%
2.78%
2.59%
2.65%
3.05%
0.06%
4.31%
0.43%
SOURCE: CBOE
Relative performance of option benchmarks varies according
to market conditions. The grass is sometimes greener on the
other side.
7
MEAN RETURNS IN BEAR AND BULL CYCLES
MONTHLY ROLLS 1986 TO 2015
5%
4%
3%
2%
1%
0%
-1%
-2%
-3%
-4%
-5%
-6%
CUSHION & ENHANCE
PROTECT
3.7%
2.3%
2.2%
2.0%
1.4%
-0.7%
-2.7%
-2.2%
-2.2%
-4.7%
SPTR
PPUT
CLLZ
CLL
VXTH
5%
4%
3%
2%
1%
0%
-1%
-2%
-3%
-4%
-5%
-6%
3.7%
2.6%
-2.5%
2.5%
-2.2%
2.2%
-1.9%
2.0%
-1.7%
2.6%
-1.4%
1.9%
-1.2%
-4.9%
SPTR
BXMD
BXY
CMBO
BXM
BXMC
PUT
5%
4%
3%
2%
1%
0%
-1%
-2%
-3%
-4%
-5%
-6%
PREMIUM CAPTURE
3.7%
0.9%
0.0%
1.0%
-0.3%
1.6%
0.4%
-0.1%
0.3%
-4.9%
SPTR
CNDR
BFLY
VSTG
1M TBill
SOURCE: CBOE
Different TradeOffs
8
PERFORMANCE OVER WORST BEAR ROLL CYCLES
10%
5%
5%
0%
CLLZ
0%
CLL
-5%
-5%
-10%
PPUT
-15%
VXTH
-20%
-16.9%
-16.4%
-14.6%
-14.4%
-14.3%
-13.6%
-12.9%
-11.6%
-11.5%
-11.3%
-10.9%
-10.7%
-10.7%
-10.6%
-10.5%
-10.3%
-10.2%
-9.3%
-25%
SPTR
SPTR Return
CUSHION & ENHANCE
10%
PUT
BXMD
PREMIUM CAPTURE
5%
0%
CNDR
-5%
-10%
BXY
-10%
BFLY
-15%
BXM
-15%
VSTG
-20%
CMBO
-20%
SPTR
-25%
SPTR
-25%
SPTR Return
-24.2%
-16.9%
-16.4%
-14.6%
-14.4%
-14.3%
-13.6%
-12.9%
-11.6%
-11.5%
-11.3%
-10.9%
-10.7%
-10.7%
-10.6%
-10.5%
-10.3%
-10.2%
PROTECT
-24.2%
-16.9%
-16.4%
-14.6%
-14.4%
-14.3%
-13.6%
-12.9%
-11.6%
-11.5%
-11.3%
-10.9%
-10.7%
-10.7%
-10.6%
-10.5%
-10.3%
-10.2%
10%
STR Return
SOURCE: CBOE
A Roll Cycle runs from trade to settlement of options
Worst Bear Roll Cycle : S&P 500 loses 10% or more
9
PERFORMANCE OVER MODERATE BEAR CYCLES
1986 TO 2015
15%
PROTECT
15%
10%
CLLZ
SPTR
10%
BXM
5%
CLL
5%
0%
PPUT
0%
-5%
SPTR
PUT
BXMD
BXY
-5%
CMBO
-10%
PREMIUM CAPTURE
CNDR
BFLY
0%
VSTG
SPTR
-5%
-9.3%
-7.9%
-6.6%
-6.0%
-5.7%
-5.0%
-4.5%
-4.0%
-3.5%
-3.0%
-2.6%
-2.1%
-1.9%
-1.8%
-1.6%
-1.5%
-1.3%
-1.0%
-0.7%
-0.7%
-9.3%
-7.6%
-6.3%
-5.8%
-5.2%
-4.5%
-4.0%
-3.1%
-2.8%
-2.2%
-1.9%
-1.7%
-1.6%
-1.4%
-1.0%
-0.7%
-0.7%
-10%
-9.3%
-7.6%
-6.6%
-6.0%
-5.5%
-5.0%
-4.3%
-4.0%
-3.4%
-3.0%
-2.5%
-2.1%
-1.9%
-1.7%
-1.6%
-1.5%
-1.3%
-1.0%
-0.7%
-0.7%
-10%
15%
10%
5%
VXTH
CUSHION & ENHANCE
SPTR Return
SPTR Return
STR Return
SOURCE: CBOE
Moderate Bear Cycle, S&P 500 return between -10%
and 0%
10
BXM & PUT: WEEKLY VS. MONTHLY ROLL
2012-2015
Weekly Cycle
Returns 20122015
SPTR Return
FREQUENCY
CUSHION
ENHANCE
"-5%--2.5%
"-2.5% - 0 %
0%-2.5%
2.5%-5%
4%
34%
53%
9%
SPTR
-3.21%
-0.97%
1.01%
3.30%
BXM
-2.53%
-0.52%
0.21%
0.76%
BXMW
-2.17%
-0.41%
0.21%
0.76%
PUT
WPUT
-2.23%
-2.57%
-0.45%
-0.42%
0.58%
0.58%
1.72%
0.98%
1.50%
Weekly Cycle Returns
2012-2015
1.00%
0.50%
0.00%
-0.50%
-1.00%
SOURCE: CBOE
-1.50%
SPTR
BXM
WPUT
PUT
BXMW
11
PUT: WEEKLY VS. MONTHLY ROLL
2006 - 2015
Weekly
Cycle
Returns
2006 to
2015
SPTR Return
FREQUENCY
CUSHION SPTR
ENHANCE PUT
WPUT
Below -10% -10% to -5% "-5% to 0%0% to 5% 5% to 10% Above 10%
0.21%
2%
41%
53%
2%
1%
-18.20%
-6.84%
-1.59%
1.47%
6.07%
11.07%
-15.05%
-4.63%
-0.50%
0.78%
1.61%
2.46%
-17.68%
-5.41%
-0.64%
0.84%
3.65%
7.12%
Weekly Cycle Returns
2006-2015
2.0%
1.5%
1.0%
0.5%
0.0%
-0.5%
-1.0%
-1.5%
-2.0%
SOURCE: CBOE
-2.5%
SPTR
WPUT
PUT
12
DISCLAIMER
Options involve risks and are not suitable for all investors. Prior to buying or selling an option, an investor 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 at www.theocc.com. The CBOE Benchmark Indexes (the “Indexes”) are designed to represent
proposed hypothetical strategies. Investors attempting to replicate the Indexes should discuss with their advisors possible timing
and liquidity issues. Transaction costs and taxes for strategies such as those represented by the Indexes could be significantly
higher than transaction costs for a passive strategy of buying-and-holding stocks. Multiple leg strategies involve multiple
commission charges. Investors should consult their tax advisor as to how taxes affect the outcome of contemplated options
transactions. Past performance does not guarantee future results. This presentation 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 this presentation solely for information purposes. Back-tested performance does not
represent actual performance and should not be interpreted as an indication of actual performance. It is not possible to invest
directly in an index. CBOE calculates and disseminates the Indexes. The information in this presentation is provided solely for
general education and information purposes. No statement within this presentation should be construed as a recommendation to
buy or sell a security or to provide investment advice. The methodologies of the Indexes are the property of Chicago Board Options
Exchange, Incorporated (CBOE). CBOE® and Chicago Board Options Exchange® are registered trademarks and BuyWrite, BFLY,
BXM, BXMC, BXMD, BXMW, BXY, BXR, CMBO, CLL, CLLZ, CNDR, PutWrite, PUT,PUTW, PPUT, VSTG and VXTH are service marks of
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.
Copyright (c) 2015 CBOE. All rights reserved.
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