Tag Archives: BXY

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All-time Record Daily Closing Highs Today for BXY, BXM, PUT, BXR, BXN and LOVOL Indexes

Six CBOE strategy benchmark indexes all hit all-time record daily closing highs today (June 22) – 1559.33 BXY – CBOE S&P 500 2% OTM BuyWrite 1527.39 PUT – CBOE S&P 500 PutWrite Index 1140.06 BXM – CBOE S&P 500 BuyWrite Index 459.22                   BXN – CBOE Nasdaq BuyWrite Index 218.42                   BXR – CBOE Russell 2000 BuyWrite […]






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BXY and PUT Indexes – Lower Standard Deviation and Higher Return Over the 26.5 Years

On Wednesday at the 31st Annual CBOE Risk Management Conference, a presentation on a new study was delivered by Keith Black, Ph.D., CAIA, CFA, Managing Director, Curriculum and Exams, Chartered Alternative Investment Analyst (CAIA) Association.  (Edward Szado, Assistant Professor of Finance, Providence College was scheduled to appear with Dr. Black but was delayed by bad […]






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New Study – Funds That Use Options (Part 3 on Related Benchmarks & SPX Options)

A groundbreaking new study — “Highlights of Performance Analysis of Options-Based Equity Mutual Funds, CEFs, and ETFs” authored by Keith Black and Edward Szado — analyzed SEC-regulated investment companies that focus on use of exchange-listed options for portfolio management (options-based funds). This is my Part 3 Blog on the study. The first part of the […]






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Free Webcast and a Cyber Monday Deal

Tomorrow Mark Sebastian and I will be hosting a webcast at 3:30 pm Chicago time to discuss our recent paper on leveraging buywrite strategies along with a discussion of preliminary results for a leveraging SPX put selling strategies. There’s still time to register – www.cboe.com/webcasts CBOE is on the “Cyber-Monday” bandwagon offering deeply discounted online […]






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Strong Long-Term Performance for CBOE’s BXY and PUT Indexes

Can index-option-writing strategies have relatively strong performance even when the VIX has dipped below the 16 level?  As shown in charts below, over the past quarter-century both CBOE S&P 500 PutWrite Index (PUT) and CBOE S&P 500 2% OTM Buy-Write Index (BXY) have had relatively strong returns and lower volatility when compared to some key […]