New Study on Six Russell 2000 Options-Based Benchmarks Finds Higher Premiums and Risk-adjusted Returns for Certain Indexes

A newly published study examines six benchmark indexes that invest in Russell 2000® Index (RUT) options and compares their performances with those of traditional benchmark stock and bond indexes. This is the first comprehensive study that examines the performance of multiple options-strategy benchmark indexes that incorporate Russell 2000 Index options. Written by Mark Shore, an adjunct professor at DePaul University’s Kellstadt Graduate School of Business, and sponsored by CBOE, the study, “Analyzing Russell 2000 Index Options-Based Benchmark Indexes Designed to Provide Enhanced Yields and Risk-Adjusted Returns,” looks at the performance of six options-based benchmark indexes through the end of 2015.


The six options-based benchmarks studied were the CBOE Russell 2000 BuyWrite Index (BXR); CBOE Russell 2000 Zero-Cost Put Spread Collar Index (CLLR); CBOE Russell 2000 Conditional BuyWrite Index (BXRC); CBOE Russell 2000 30-Delta BuyWrite Index (BXRD); CBOE Russell 2000 PutWrite Index (PUTR); and CBOE Russell 2000 One-Week PutWrite Index (WPTR).


Among his findings, Shore found that the options-based benchmark indexes had strong performance in several areas, including:

  1. ANNUAL PREMIUM INCOME was higher when writing WeeklysSM options. In 2015, the aggregate gross premium (as a percentage of the underlying) was 41.4% for the WPTR Index, 22.2% for the PUTR Index, 19.5% for the BXR Index, and 9.2% for the BXRD Index. While a one-time premium collected by the WPUT Index (which writes RUT Weeklys options) usually was smaller than a one-time premium collected by the monthly PUTR and BXR indexes, the WPUT Index had higher aggregate annual premiums because premiums were collected 52 times, rather than 12 times, per year. Note that while the gross premiums received reflect a positive number, the options-based indexes can have net losses.


2.    HIGHER RISK-ADJUSTED RETURNS. Since 2001, the PUTR Index had higher returns, lower volatility and a higher Sharpe Ratio than both the Russell 2000 Index and the Citigroup 30-Year Treasury Bond Index.


  1. LOWER VOLATILITY AND BETAS. Since 2001, the PUTR, BXR, CLLR and BXRD indexes each had lower annualized standard deviations (ranging from 14% to 20% lower) than the Russell 2000 Index. The options-based indexes also had lower betas (ranging from 0.59 to 0.82) to the Russell 2000 Index.


  1. RICHLY PRICED INDEX OPTIONS. Since 2004, the implied volatility for the Russell 2000 has averaged about 2.88 volatility points higher than its realized volatility, and the rich pricing for index options may have facilitated higher returns for option-selling indexes such as PUTR and BXRD indexes (when compared with the CLLR Index).



For more than a decade, CBOE has been a worldwide leader in creating benchmark indexes designed to help investors track the performance of investment strategies that use options or volatility products to help manage risk and enhance yield. Links to the new paper, as well as additional information on all of CBOE’s strategy performance benchmark indexes, can be found at

Manager testimonials and a 2015 study on funds’ use of options can be found at