http://www.cboe.com/micro/BuyWrite/introduction.aspx CBOE S&P 500 Multi-Week BuyWrite Index (ticker symbol: BXMW) The CBOE S&P 500 Multi-Week BuyWrite Index is designed to track the performance of a hypothetical weekly covered call strategy with staggered short positions in call options expiring in consecutive four week options. The BXMW Index is constructed as a combined portfolio of four mini BuyWrite indexes. Expirations are staggered so that the BXMW Index sells four-week options on a rolling weekly basis. CBOE S&P 500 One-Week PutWrite Index (ticker symbol: WPUT) The CBOE S&P 500 One-Week PutWrite Index is designed to track the performance of a hypothetical strategy that sells an at-the-money (ATM) S&P 500 Index (SPX) put option on a weekly basis. The maturity of the written SPX put option is always one week to expiry. The written SPX put option is collateralized by a money market account invested in one-month Treasury bills. CBOE S&P 500 Zero-Cost Put Spread Collar Index (ticker symbol: CLLZ) The CBOE S&P 500 Zero-Cost Put Spread Collar Index is designed to track the performance of a hypothetical option trading strategy that 1) holds a long position indexed to the S&P 500 Index; 2) on a monthly basis buys a 2.5% - 5% S&P 500 Index (SPX) put option spread; and 3) sells a monthly out-of-the-money (OTM) SPX call option to cover the cost of the put spread. CBOE S&P 500 Iron Condor Index (ticker symbol: CNDR) The CBOE S&P 500 Iron Condor Index is designed to track the performance of a hypothetical option trading strategy that 1) sells a rolling monthly out-of-the-money (OTM) S&P 500 Index (SPX) put option (delta ≈ - 0.15) and a rolling monthly out-of-the-money (OTM) SPX call option (delta ≈ 0.15); 2) buys a rolling monthly OTM SPX put option (delta ≈ - 0.05) and a rolling monthly OTM SPX call option (delta ≈ 0.05) to reduce risk; and 3) holds a money market account invested in one-month Treasury bills, which is rebalanced on option roll days and is designed to limit the downside return of the index. CBOE S&P 500 Iron Butterfly Index (ticker symbol: BFLY) The CBOE S&P 500 Iron Butterfly Index is designed to track the performance of a hypothetical option trading strategy that 1) sells a rolling monthly at-the-money (ATM) S&P 500 Index (SPX) put and call option; 2) buys a rolling monthly 5% out-of-the-money (OTM) SPX put and call option to reduce risk; and 3) holds a money market account invested in one-month Treasury bills, which is rebalanced on the option roll day and is designed to limit the downside return of the index. CBOE VIX Strangle Index (ticker symbol: STGV) The CBOE VIX Strangle Index is designed as a hypothetical premium capture index. The index overlays short CBOE Volatility Index (VIX) call and put options with a capped long VIX call option position. The position is collateralized by fixing the number of strangles such that 80% of capital is reserved. CBOE S&P 500 Covered Combo Index (ticker symbol: CMBO) The CBOE S&P 500 Covered Combo Index is designed to track the performance of a hypothetical "short strangle" strategy collateralized by a portfolio holding a long position indexed to the S&P 500 Index and a fixed income account. The CMBO Index sells a monthly at-the-money (ATM) S&P 500 Index (SPX) put option and a monthly 2% out-of-the-money (OTM) SPX call option. The short SPX put position is collateralized by a money market account invested in one-month Treasury bills and the 2% OTM SPX call is collateralized by the long S&P 500 Index position. CBOE S&P 500 5% Put Protection Index (ticker symbol: PPUT) The CBOE S&P 500 5% Put Protection Index is designed to track the performance of a hypothetical strategy that holds a long position indexed to the S&P 500 Index and buys a monthly 5% out-of-the-money (OTM) S&P 500 Index (SPX) put option as a hedge. CBOE S&P 500 30-Delta BuyWrite Index (ticker symbol: BXMD) The CBOE S&P 500 30-Delta BuyWrite Index is designed to track the performance of a hypothetical covered call strategy that holds a long position indexed to the S&P 500 Index and sells a monthly out-of-the-money (OTM) S&P 500 Index (SPX) call option. The call option written is the strike nearest to the 30 Delta at 10:00 a.m. CT on the roll date. The BXMD Index rolls on a monthly basis, typically every third Friday of the month. CBOE S&P 500 Conditional BuyWrite Index (ticker symbol: BXMC) The CBOE S&P 500 Conditional BuyWrite Index is designed to track the performance of a hypothetical covered call strategy that holds a long position indexed to the S&P 500 Index and sells a monthly at-the-money (ATM) S&P 500 Index (SPX) call option. The written number of ATM call options will be either ½ unit or 1 unit and will be determined by the level of the CBOE Volatility Index (VIX Index) when the call option is written on the roll date. The BXMC Index rolls on a monthly basis, typically every third Friday of the month.
I have yet to go through the White Papers. It would be nice if somebody could get more historical performance and individual return distributions on all of these strategies.
Wow interesting, I do several of those strategies and I am outperforming the S&P by 426 basis points with less volatility as well. Outperforming Einhorn from greenlight capital
Are you just running a combination of a few of them? Seems like with the lower volatility, a little leverage could be used to improve the returns a bit also.
It depends but it would be a combination at times. I am still outperforming the S&P 500 by a good margin. I took advantage of the VIX in the 40's and shorted puts to go long SPY and at least be compensated for the risk vs just buying naked stock. I am outperforming by a greater margin right now due to the recent market turmoil.
Old thread ... are these trad able instruments? in what form Futures? for example PPUT seems to be Long SP + Long OTM (5%) PUT