Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of Characteristics and Risks of Standardized Options (the "ODD"). The ODD and supporting documentation for claims, comparisons, statistics or other technical data in this article are available by calling 1-888-OPTIONS, contacting CBOE at www.cboe.com/ Contact, or by visiting www.cboe.com/ The CBOE S&P 500 BuyWrite Index (BXMSM), BXY Index, CLL Index and PUT Index (the "Indexes") are designed to represent proposed hypothetical strategies. Like many passive benchmarks, the Indexes do not take into account significant factors such as transaction costs and taxes. Transaction costs and taxes for an option-based strategy could be significantly higher than transaction costs for a passive strategy of buying-and-holding stocks. Investors attempting to replicate the Indexes should discuss with their brokers possible timing and liquidity issues. Past performance does not guarantee future results. Investors should consult their tax advisor as to how taxes affect the outcome of contemplated options transactions. The information in this article is not intended and should not be construed to constitute investment advice or recommendations to purchase or sell securities. This material has been prepared for informational purposes only, and is not intended to provide, and should not be relied on for accounting, legal or tax advice.
- Malkiel, Burton. "What Does the Prudent Investor Do Now?" Wall Street Journal (March 22, 2012).
- Wirz, Matt. "As Corporate-Bond Yields Sink, Risks for Investors Rise." www.wsj.com (Aug. 14, 2012).
- 29 U.S. Code Section 1104.
- Highlights of GAO-12-324 "Recent Developments Highlight Challenges of Hedge Fund and Private Equity Investing," (February 2012) (available at http://www.gao.gov assets/590/588624.pdf).
- Williamson, Christine. "Endowment Execs Focus on Liquidity, Volatility in Post-crisis Market," Pensions & Investments Online (March 7, 2011).
- Please see www.cboe.com/benchmarks for more details and studies on the BXM, BXY, CLL and PUT indexes.
- See, e.g., 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); Feldman et al. "Passive Options-Based Investment Strategies: The Case of the CBOE S&P 500 BuyWrite Index," The Journal of Investing, (Summer 2005); Hewitt EnnisKnupp. "The CBOE S&P 500 BuyWrite Index (BXM) – A Review of Performance," (2012); Hill, Joanne et al. "Finding Alpha via Covered Index Writing," Financial Analysts Journal, (September-October 2006), pp. 29-46; Russell Investments. "Capturing the Volatility Premium through Call Overwriting," (July 2012); Schneeweis et al. "The Benefits of Index Option-Based Strategies for Institutional Portfolios," The Journal of Alternative Investments, (Spring 2001), pp. 44-52.
- Whaley, Robert. "Risk and Return of the CBOE BuyWrite Monthly Index," The Journal of Derivatives (Winter 2002) pp. 35-42.
- See the February 2012 paper by Asset Consulting Group for more details about the indexes and tail-risk management.