Cboe® MSCI EAFE Iron Butterfly Index (BFLYEA℠)

The Cboe® MSCI EAFE Iron Butterfly Index (BFLYEA℠ Index) is designed to track the performance of a hypothetical options trading strategy that consists of a rolling short position in monthly At-the-Money (ATM) MXEA Call option, a rolling short position in monthly At-the-Money (ATM) MXEA Put option, a rolling long position in monthly 5% Out-of-the-Money (OTM) MXEA Call option, a rolling long position in monthly 5% Out-of-the-Money (OTM) MXEA Put option, and a rolling money market account invested in one-month Treasury bills to limit the downside return of the BFLYEA Index.

Resources

• BFLYEA Index Methodology
• BFLYEA Historical Price Data

Short Iron Butterfly Strategy

Goal

Short index iron butterflys often are established at a net credit, and if the stock index stays in a narrow range, there is potential for there to continue to be a net credit.

Strategy

To implement an index short iron butterfly strategy: take options positions with the same expirations at three different strike prices: (1) long out-of-the-money index call positions at a higher strike price, (2) long out-of-the money index put positions at a lower strike price, and (3) short index calls and short index puts at a middle strike price.

Comment

The potential for both profit and for risk usually is limited for short iron butterflys.