BYEF Index
BYEF Index Dashboard, BYEF Dashboard
Index Dashboard
- BYEF
Cboe MSCI Emerging Markets 2% OTM BuyWrite Index
- Overview
- Performance
Cboe® MSCI Emerging Markets 2% OTM BuyWrite Index (BYEF℠)
The Cboe® MSCI® Emerging Markets 2% OTM BuyWrite Index (BYEFSM Index) is a benchmark index designed to track the performance of a hypothetical buy-write strategy on the MXEF® Index. The BYEF Index is a passive total return index based on buying a MXEF stock index portfolio and “writing” (or selling) the near-term 2% Out-of-the-Money (OTM) MXEF "covered" call option, generally on the third Friday of each month.
Resources
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).