CBOE Benchmark Indexes - (2

March 2014
BENCHMARK INDEXES
• Would you like extra income for your portfolio? • Do you need a cushion against downside moves in the market?
• Are you willing to limit upside potential in return for potentially less volatility in your portfolio?
IF SO, EXPLORE THESE INDEXES:
BXMSM - CBOE S&P 500 BuyWrite Index BXYSM - CBOE S&P 500 2% OTM BuyWrite Index
BXRSM - CBOE Russell 2000 BuyWrite Index
BXDSM - CBOE DJIA BuyWrite Index
BXNSM - CBOE NASDAQ-100 BuyWrite Index
CLLSM - CBOE S&P 500 95-110 Collar Index
LOVOLSM – CBOE Low Volatility Index
PUTSM - CBOE S&P 500 PutWrite Index
VXTHSM - CBOE VIX Tail Hedge Index
VPDSM - CBOE VIX Premium Strategy Index
Annualized Returns - 25 Years
Standard Deviations - 25 Years
(March 31, 1989 - March 31, 2014)
(March 31, 1989 - March 31, 2014)
PUT - CBOE S&P 500 PutWrite Index
10.6%
PUT - CBOE S&P 500 PutWrite Index
10.0%
BXY - CBOE S&P 500 2% OTM BuyWrite
10.6%
BXM - CBOE S&P 500 BuyWrite Index
10.5%
CLL - CBOE S&P 500 95-110 Collar Index
10.6%
10.0%
S&P 500
9.3%
BXM - CBOE S&P 500 BuyWrite Index
7.7%
30-yr Treasury Bond Index (Citi)
12.3%
30-yr Treasury Bond Index (Citi)
12.3%
20.9%
S&P GSCI
4.8%
S&P GSCI
14.8%
S&P 500
6.7%
CLL - CBOE S&P 500 95-110 Collar Index
Source: Bloomberg
BXY - CBOE S&P 500 2% OTM BuyWrite
Source: Bloomberg
Total returns indexes re-scaled
to $1 on June 30, 1988
Indexes Since Mid-1988 (June 30, 1988 - March 31, 2014)
$16
$14
$12
$10
$8
$6
$4
$2
$0
$14.09 - BXY
$13.87 - PUT
$12.12 - S&P 500
$10.10 - BXM
$6.71 - 30-yr Treasury Bd (Citi)
$4.20 - S&P GSCI
Jun-88
Dec-96
Jun-05
Dec-13
$3.91 - MSCI EAFE (in US$)
Sources: Bloomberg and CBOE
Yearly Index % Changes
PUT
BXM
S&P 500
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
-8.6%
-7.6%
-22.1%
21.8%
19.4%
28.7%
9.5%
8.3%
10.9%
6.7%
4.2%
4.9%
15.2%
13.3%
15.8%
9.5%
6.6%
5.5%
-26.8%
-28.8%
-37.0%
31.5%
26.1%
26.5%
9.0%
5.9%
15.1%
6.2%
5.7%
2.5%
8.1%
5.2%
15.5%
12.3%
13.3%
32.4%
Sources: CBOE and Bloomberg
www.cboe.com/Benchmarks
BENCHMARK INDEXES
|2
Returns and Volatility Over 25 Years
(March 31, 1989 - March 31, 2014)
Annualized Returns
12%
S&P 500
BXM
8%
6%
30-Yr Tr
CLL
10-Yr Treasury
Russell 2000
MSCI World
S&P GSCI
1-Yr Treasury
4%
2%
BXY
PUT
10%
0%
5%
10%
15%
20%
25%
Standard Deviation
Sources: CBOE, Bloomberg, Citigroup Fixed Income Indexes Total return indexes
Indexes Since March 2006
Total return indexes re-scaled
to $1 on March 31, 2006
(March 31, 2006 - March 31, 2014)
$2.00
$1.80
$1.60
$1.40
$1.20
$1.00
$0.80
$0.60
$0.40
$0.20
$Mar-06
$1.77 - VXTH - CBOE VIX
Tail Hedge Index
$1.72 - S&P 500
$1.31 - MSCI EAFE (in $)
$0.76 - S&P GSCI
Mar-08
Mar-10
Mar-12
Mar-14
Source: Bloomberg, CBOE, www.cboe.com/VXTH
Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of Characteristics and Risks of Standardized Options
(the “ODD”). Copies of the ODD are available from your broker, by calling 1-888-OPTIONS, or from The Options Clearing Corporation, One North Wacker Drive, Suite 500, Chicago, Illinois 60606. Supporting documentation for claims, comparisons, recommendations, statistics or other technical data is available by calling 1-888-OPTIONS, sending an
e-mail to [email protected], or by visiting www.cboe.com. The information in this document is provided solely for general education and information purposes. The BXM,
BXY, BXD, BXR, PUT, CLL and BXN indexes (collectively, the “Indexes”) are designed to represent proposed hypothetical buy-write strategies. Like many passive benchmarks,
the Indexes do not take into account significant factors such as transaction costs and taxes. Past performance does not guarantee future results. This document contains
comparisons, assertions, and conclusions regarding the performance of indexes based on backtesting, i.e., calculations of how the indexes might have performed in the past
if they had existed. Backtested performance information is purely hypothetical and is provided in this document solely for informational purposes. Backtested performance
does not represent actual performance, and should not be interpreted as an indication of actual performance. The methodologies of the Indexes are owned by CBOE may be
covered by one or more patents or pending patent applications. CBOE’s financial products based on the CBOE DJIA BuyWrite Index are not sponsored, endorsed, marketed or
promoted by Dow Jones and Dow Jones makes no representations regarding the advisability of investing in such products. The CBOE Nasdaq-100 BuyWrite Index (“Index”)
is not derived, maintained, published, calculated or disseminated by The Nasdaq Stock Market, Inc. or its affiliates (collectively, the “Corporations”). Neither the Index nor
any Derivative Product based on the Index has been passed on by the Corporations as to its legality or suitability. Such Derivative Products are not issued, endorsed, sold,
sponsored, marketed or promoted by the Corporations. The Corporations make no warranties and bear no liability with respect to the Index. No statement within this document should be construed as a recommendation to buy or sell a security or to provide investment advice. CBOE® and Chicago Board Options Exchange® are registered
trademarks and BXM, BXD, BXN, BXR, BXY, CLL and PUT are servicemarks of CBOE. All other trademarks and servicemarks are the property of their respective owners.
Copyright © 2014 Chicago Board Options Exchange, Incorporated. All Rights Reserved. Printed in the USA. 011513
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