CBOE Introduces Five New Options-Based Strategy Performance Benchmark Indexes Tied To Russell 2000

The Chicago Board Options Exchange® (CBOE®) today announced that it has created five new options-based strategy performance benchmark indexes that focus on options as risk management and yield enhancing investment tools.  Index values for the new benchmarks, which are tied to the Russell 2000 Index (RUT), will be available on CBOE’s website and from quote vendors beginning Monday, November 23, 2015.

Inspired by CBOE’s flagship strategy benchmark series, the new benchmarks use RUT options to create a CBOE Russell 2000 PutWrite Index, a CBOE Russell 2000 Zero-Cost Put Spread Collar Index, a CBOE Russell 2000 30-Delta BuyWrite Index, a CBOE Russell 2000 Conditional BuyWrite Index, and a CBOE Russell 2000 One-Week PutWrite Index.

“Options-based strategy performance benchmarks are gaining traction with fund managers, investment advisors, institutional investors and others in the financial markets who are interested in using options to hedge risk and/or boost yields,” said CBOE CEO Edward T. Tilly.  “These benchmarks are aimed at providing investors with an effective way to measure how various options strategies can be used to improve risk-adjusted returns within their investment portfolio.”

Beginning today, values for each of the benchmark indexes will be published every 15 seconds throughout the trading day. In addition, overviews and historical data for each of the performance benchmark indexes will be available on the CBOE website at www.cboe.com/benchmarks.

In August, CBOE created a similar series of 10 options-based strategy performance benchmark indexes that used S&P 500 Index (SPX) Weeklys options to create new versions of two of CBOE’s strategy benchmark indexes — the CBOE S&P 500 BuyWrite Index (BXM) and the CBOE S&P 500 PutWrite (PUT) Index — as well as new risk-managed option selling strategies featuring SPX and CBOE Volatility Index® (VIX® Index) options.

A description of each index follows:

CBOE Russell 2000 PutWrite Index (ticker symbol: PUTR)
The CBOE Russell 2000 PutWrite Index is designed to track the performance of a hypothetical strategy that sells a monthly at-the-money (ATM) Russell 2000 Index put option. The written Russell 2000 Index put option is collateralized by a money market account invested in one-month Treasury bills. The PUTR Index rolls on a monthly basis, typically every third Friday of the month.

CBOE Russell 2000 Zero-Cost Put Spread Collar Index (ticker symbol: CLLR)
The CBOE Russell 2000 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 Russell 2000 Index; 2) on a monthly basis buys a 2.5 percent to 5 percent Russell 2000 Index put option spread; and 3) sells a monthly out-of-the-money (OTM) Russell 2000 Index call option to cover the cost of the put option spread. The CLLR Index rolls on a monthly basis, typically every third Friday of the month.

CBOE Russell 2000 30-Delta BuyWrite Index (ticker symbol: BXRD)
The CBOE Russell 2000 30-Delta BuyWrite Index is designed to track the performance of a hypothetical covered call strategy that holds a long position indexed to the Russell 2000 Index and sells a monthly OTM Russell 2000 Index 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 BXRD Index rolls on a monthly basis, typically every third Friday of the month.

CBOE Russell 2000 Conditional BuyWrite Index (ticker symbol: BXRC)
The CBOE Russell 2000 Conditional BuyWrite Index is designed to track the performance of a hypothetical covered call strategy that holds a long position indexed to the Russell 2000 Index and sells a monthly ATM Russell 2000 Index call option. The written number of ATM call options will be either ½ unit or one unit and will be determined by the level of the CBOE Russell 2000 Volatility Index (RVX) when the call option is written on the roll date. The BXRC Index rolls on a monthly basis, typically every third Friday of the month.

CBOE Russell 2000 One-Week PutWrite Index (ticker symbol: WPTR)
The CBOE Russell 2000 One-Week PutWrite Index is designed to track the performance of a hypothetical strategy that sells a weekly ATM Russell 2000 Index put option. The maturity of the written Russell 2000 Index put option is one week to expiry. The written Russell 2000 Index put option is collateralized by a money market account invested in one-month Treasury bills. The WPTR Index rolls on a weekly basis, typically every Friday.

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.  CBOE currently publishes data on over 20 strategy performance benchmark indexes, including the CBOE S&P 500 BuyWrite Index (BXM), the CBOE S&P 500 PutWrite Index (PUT) and the CBOE VIX Tail Hedge Index (VXTH).  Additional information on all of CBOE’s strategy performance benchmark indexes can be found at www.cboe.com/benchmarks. Manager testimonials and a 2015 study on funds’ use of options can be found at www.cboe.com/funds.