This Week in CBOE Strategy Indexes – 5/2/2014

With all the talking we do around CBOE about volatility I started to feel a little sorry for the old school strategy indexes that CBOE has been publishing for years. To make myself feel better about these neglected indexes I decided to include them in the rotation of weekend blogs.

As a very brief explanation here is what each of the indexes in this blog represent and the links to find out more about the CBOE strategy indexes in the blog –

  • SPXTR – this is the total return (price appreciation plus dividends) for a portfolio that owns the S&P 500 Index.
  • BXM – the CBOE S&P 500 BuyWrite Index – this index tracks the performance of a hypothetical buy-write strategy that sells at the money calls against an S&P 500 portfolio.  www.cboe.com/bxm
  • BXY – the CBOE S&P 500 2% OTM BuyWrite Index – this index tracks the performance of a hypothetical buy-write strategy that sells out of the money calls against an S&P 500 portfolio. www.cboe.com/bxy
  • PUT – CBOE S&P 500 PutWrite Index – this index tracks a portfolio that holds cash and sells one month at the money put options on the S&P 500 based on the cash in the portfolio. www.cboe.com/put

Below are six day price charts showing the price action for SPXTR, BXM, BXY, and PUT –

Strats Fixed Again

 

Last week was a good one for the S&P 500 which rose 0.95% and resulted in a gain of 0.97% for a total return portfolio. The big winner last week was BXY which rose exactly 1.00%. So far year to date all three of the CBOE strategy indexes have outperformed the total return for the S&P 500 with PUT being the leader of the pack with a gain of 3.87%.

Strats Table

Each week I will start to dig a little deeper into how these indexes are constructed and take a look at the longer term performance of these strategies versus buying and holding a portfolio of stocks that represent the S&P 500.