New White Paper Discusses Leveraged BuyWrite Approach

Over the summer I teamed up with Mark Sebastian from Option Pit and Hannah Chody, the Options Institute summer intern, to conduct a study on applying leverage to systematic buywrite strategies. The result was a white paper titled – A Leveraged Portfolio Management Approach Applying the CBOE S&P 500 2% OTM BuyWrite Index.

Some highlights from the paper –

  • The CBOE S&P 500 2% OTM BuyWrite Index (BXY) has outperformed the total return for the S&P 500 on both a risk adjusted and absolute basis over the last 25 plus years.
  • Applying leverage to BXY can enhance performance while still encountering a risk profile lower than a buy and hold portfolio
  • A demonstration on how portfolio managers may implement a leveraged version of BXY

The full paper in PDF format is available for download at – White Paper


  • Jason Ungar

    Great work, Russell. You and Mark should do the same study for the PUT strategy. Not only would it be easier to leverage (just sell more puts!), but I would guess that at 1.5X the PUT would have a vol comparable to the unleveraged S&P 500 (rather than the significant increase seen by the BXY at 1.5X) with much higher returns.