BXR Index
BXR Index Dashboard, BXR Dashboard
Index Dashboard
- BXR
Cboe Russell 2000 BuyWrite Index
- Overview
- Performance
Cboe Russell 2000 BuyWrite Index (BXR)
The Cboe Russell 2000 BuyWrite IndexSM BXR Index applies the buywrite strategy to the Russell 2000® Index (RUT). The objective of a buywrite strategy is to buffer downside returns by selling a slice of upside returns. The BXR tracks the value of hypothetical portfolio that overlays a short at-the-money call option on the Russell 2000 Index (RUT call). The premium harvested from the call buffers possible losses from an investment in Russell 2000 stocks.
The BXR Index is calculated every 15 seconds and is rebalanced monthly after the expiration of the RUT call, typically at 11 am ET every third Friday. A new RUT call is then sold.
Resources
- BXR Index Factsheet
- Cboe BuyWrite Indices Methodology
- BXR Index Methodology (Portuguese)
- BXR Historical Prices
- BXR Constituent Snapshot
- Click here to see the complete roll data.
Cboe BXR Index Roll Information - March 21, 2025
| Index | Name | Reference Price | New Option Strike Price | New Option VWAP Price | Underlying Index VWAP |
|---|---|---|---|---|---|
| BXR | Cboe Russell 2000 BuyWrite Index | 2050.1181 | 2055 | 53.223487140695916 | 2053.7437398260213 |
Cboe BXR Index Roll Information - February 21, 2025
| Index | Name | Reference Price | New Option Strike Price | New Option VWAP Price | Underlying Index VWAP |
|---|---|---|---|---|---|
| BXR | Cboe Russell 2000 BuyWrite Index | 2234.8379 | 2235 | 43.80382440971068 | 2223.2893225473895 |
Cboe BXR Index Roll Information - January 17, 2025
| Index | Name | Reference Price | New Option Strike Price | New Option VWAP Price | Underlying Index VWAP |
|---|---|---|---|---|---|
| BXR | Cboe Russell 2000 BuyWrite Index | 2282.9113 | 2285 | 52.88335368335368 | 2280.3621492470493 |
BuyWrite Strategy
Goals
The goals of index buywrite strategies may include: (1) receive upfront premium income in exchange for an upside cap, and (2) reduce risk from related stock indices.
Strategy
To implement an index buy-write strategy: (1) buy a portfolio of stocks or an index ETF, and (2) “write” (or sell) covered calls on a related index option.
Comments
In a comparison of out-of-the-money (OTM) buywrites vs. at-the-money (ATM) buywrites with the same expirations, OTM buywrites often have more potential upside in bull markets, but collect less premium than ATM buywrites, which may have less severe losses in bear market years. Depending on different investment objectives, investors may choose to write calls on all or part of the portfolio, at a constant or dynamic strike, and/or at a dynamic roll schedule. Graphs can vary depending on the strategy used (e.g., an ATM or OTM buywrite strategy).