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https://www.cboe.com/index/dashboard/BXD#bxd-overview
Cboe DJIA BuyWrite Index (BXD)
The Cboe DJIA BuyWrite IndexSM (BXD) is a benchmark index that measures the performance of a theoretical portfolio that sells DJX call options, against a portfolio of the stocks included in the Dow Jones Industrial AverageSM (the Dow).
Buy-Write strategies provide option premium income that can help cushion downside moves in an equity portfolio, but Buy-Writes often under perform stocks in rising markets. Thus, some Buy-Write strategies significantly outperformed stocks in 2000 - 2002 when the DJIA year-end price fell three years in a row, but Buy-Writes tended to underperform stocks in the late 1990s when the DJIA rose by more than 15% per year. Buy-Write strategies have an added attraction to some investors in that Buy-Writes can help lessen the overall volatility in many portfolios.
The Cboe DJIA BuyWrite Index (BXD) is a benchmark index designed to track the performance of a hypothetical buy-write strategy on the DJIA. Announced in 2005, the BXD Index was created by Cboe under an agreement with Dow Jones & Company, Inc., and is based on prices of Options on the Dow (DJX), traded at Cboe. The BXD is a passive total return index based on (1) buying a DJIA stock index portfolio, and (2) "writing" (or selling) the near-term DJX Index "covered" call option, generally on the third Friday of each month. The DJX call written will have about one month remaining to expiration, with an exercise price just above the prevailing index level (i.e., slightly out of the money). The DJX call is held until expiration and cash settled, at which time a new one-month, near-the-money call is written. Data on daily BXM prices is available from October 16, 1997 to the present from options price quote vendors and at www.cboe.com/bxd (see the link Excel spreadsheet above).
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發表於 2019-12-2 08:45:41
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發表於 2019-12-3 12:03:46