Cboe Global Markets

Income Generation

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Strategy Indices

Cboe Global Indices strategy indices are used by investors to explore various strategies - like income generation.

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Performance Tracking

Indices designed for income generation track the hypothetical performance of selling options compared to traditional investments.

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Strategy Benefits

BuyWrite strategies and PutWrite strategies often have experienced less volatility, lower Betas, and less severe drawdowns than related stock indices.

Monthly Premium Income

The chart below shows the gross amount of yield as a percentage of the underlying values held for the BXR, BXM and BXY Indices.

The BXR Index had the highest yield because the Russell 2000 Index was more volatile than the S&P 500 Index, and the BXR and BXM indices that wrote at-the-money index options generated more gross premium than the BXY Index that wrote out-of-the-money S&P 500 options.

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In Depth: Income Generation and Option-Selling Strategies

Whitepapers

Harvesting The Equity Insurance Risk Premium: Know Your Options

Aon Hewitt

Download Whitepaper

Harvesting the Equity Insurance Risk Premium: Know Your Options

Aon Hewitt

An Analysis of Index Option Writing for Liquid Enhanced Risk-Adjusted Returns

Asset Consulting Group

An Historical Evaluation of the Cboe S&P 500 BuyWrite Index Strategy

Callan Associates

Global Option-Writing Strategies to Reduce Risk and Enhance Income.

Wilshire

Highlights from the Benefits of Selling Volatility

Cambridge Associates

Highlights from Case Study on BXM Buy-Write Options Strategy

Ibbotson Associates

Options-Based Equity Strategies

Meketa Investment Group

Videos and Webinars

No scheduled Webinars at this time. Stay tuned!

Strategy Diagrams and Descriptions

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.

P&L BuyWrite

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).

There are important risks associated with transacting in any of the Cboe Company products or any digital assets discussed here. Before engaging in any transactions in those products or digital assets, it is important for market participants to carefully review the disclosures and disclaimers contained here.
These products and digital assets are complex and are suitable only for sophisticated market participants.
These products involve the risk of loss, which can be substantial and, depending on the type of product, can exceed the amount of money deposited in establishing the position. Market participants should put at risk only funds that they can afford to lose without affecting their lifestyle.