The CBOE S&P 500 BuyWrite Index (BXM) is a benchmark index designed to track the performance of a hypothetical buy-write strategy on the S&P 500 Index. Announced in April 2002, the BXM Index was developed by the CBOE in cooperation with Standard & Poor's. The BXM is a passive total return index based on (1) buying an S&P 500 stock index portfolio, and (2) "writing" (or selling) the near-term S&P 500 Index (SPXSM) "covered" call option, generally on the third Friday of each month. The SPX 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 SPX call is held until expiration and cash settled, at which time a new one-month, near-the-money call is written.
Links to More Information:
BXM Futures Quick Reference Guide (Sept. 2006)
BXM data for 2005 & 2006 (Updated Daily)
BXM data for June 1988 - Dec. 2004
BXM Methodology (with October 2004 Update)
BXM News Releases in April 2002, March 2003, June 2004, December 2004, September 8, 2006, and September 28, 2006
The CBOE S&P 500 BuyWrite Index (BXM) Quick Reference Guide A two-page PDF guide
"Most Innovative" Award
BuyWrite Indexes - Quick Reference Guide
BXM Microsite