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PureBytes Links
Trading Reference Links
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Also on the Rampart page,
http://www.rimco.com/default.html
The CBOE BuyWrite Monthly Index (BXMSM) is a total return index based on
writing the nearby at-the-money S&P 500 call option against the S&P 500 Index
portfolio each month on the day the previous nearby contract expires. It is
designed to reflect the performance (risk and return) characteristics of a
passively managed hedging strategy when applied against the most widely
utilized institutional equity benchmark, the S&P 500.
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There's more info. including historical data back to 1988 here:
http://www.cboe.com/micro/bxm/index.asp
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Eyeballing the chart, the buy-write strategy lagged the S&P on the way up, but
has been a winner on a relative basis up until about Sept-2000, where they
crossed at around 112. On that chart SPX is now about 65 and the Buy Write
index is about 85, or 30% higher. Of course, 85 is still -25% below the top,
but that is a heck of a lot better than -42% of the unhedged S&P loss.
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