As of the end of June 2012, CBOE’s BXY, BXR and BXN indexes all have risen more than 7% year-to-date. www.cboe.com/benchmarks
Please visit www.cboe.com/buywrite for links to the following studies on option-selling strategies —
Hewitt EnnisKnupp. The CBOE S&P 500 BuyWrite Index (BXM) – A Review of Performance (2012)
Asset Consulting Group. An Analysis of Index Option Writing for Liquid Enhanced Risk-Adjusted Returns (January 2012)
Callan Associates.”An Historical Evaluation of the CBOE S&P 500 BuyWrite Index Strategy.” (October 2006).
Cambridge Associates, LLC. Highlights from the Benefits of Selling Volatility (2011)
Fund Evaluation Group.”Evaluation of BuyWrite and Volatility Indexes: Using the CBOE DJIA BuyWrite Index (BXD) and the CBOE DJIA Volatility Index (VXD) for Asset Allocation and Diversification Purposes.”(2007).
Ibbotson Associates.”Highlights from Case Study on BXM Buy-Write Options Strategy.” (2004).
6-MONTH CHART ON CBOE S&P 500 2% OTM BUYWRITE INDEX (BXY) www.cboe.com/BXY