BuyWrite and PutWrite Indexes Up in 2011

Below are the percentage changes for several indexes in the year 2011.

In a year in which the S&P 500 Index had sluggish performance, key buywrite and putwrite indexes rose, showing that option-writing strategies have the potential to add value in sideways markets.

BuyWrite and PutWrite Benchmark Indexes

8.0% BXD – CBOE DJIA BuyWrite Index          www.cboe.com/BXD

7.2% BXY – CBOE S&P 500 2% OTM BuyWrite www.cboe.com/BXY

6.8% BXR – CBOE Russell 2000 BuyWrite Index www.cboe.com/BXR

6.2% PUT – CBOE S&P 500 PutWrite Index www.cboe.com/PUT

5.7% BXM – CBOE S&P 500 BuyWrite Index www.cboe.com/BXM

           

U.S.-based Stock Indexes

2.6% S&P 500 Total Return*

1.9% Russell 1000        Total Return Index

1.5% Russell 3000   Total Return Index                  

-0.003% SPX – S&P 500

-3.7% Russell 2000        Total Return Index          

Global Stock Indexes

-18.6% MSCI Emerging Markets Index (TR* in $US)

-16.0% MSCI EAFE Index (US$)

-12.1% MSCI EAFE Index (TR $US)

-20.0% Hang Seng Index (Hong Kong)

-21.7% Shanghai SE Composite Index (China)

-17.3% Nikkei 225 Average (Japan)

-14.5% S&P/ASX 200 Index (Australia)

(* the stock indexes with a “TR” are “Total Return” indexes that include reinvested dividends (but not taxes and transaction costs)   

Volatility-related Indexes

31.8% VIX – CBOE Volatility Index                 www.cboe.com/VIX

31.4% OVX – CBOE Crude Oil Volatility Index www.cboe.com/OVX

19.0% GVZ – CBOE Gold Volatility Index www.cboe.com/GVZ

2.6% EVZ – CBOE EuroCurrency Volatility Index www.cboe.com/EVZ

18.7% VXN – CBOE NASDAQ Volatility Index www.cboe.com/VXN

37.2% VXD – CBOE DJIA Volatility Index www.cboe.com/VXD

30.0% RVX – CBOE Russell 2000 Volatility Index www.cboe.com/RVX

6.4% VXTH – CBOE VIX Tail Hedge Index www.cboe.com/VXTH

-8.8% VPD – CBOE VIX Premium Strategy Index www.cboe.com/VPD

-11.2% VPN – CBOE Capped VIX Premium Strategy Index www.cboe.com/vpn

3.3% VTY – CBOE S&P 500 VARB-X Strategy Benchmark www.cboe.com/VTY

Matt Moran

CBOE