
CBOE launches PutWrite index
The exchange added that the Put index was also less volatile: its standard deviation was 61% of the S&P 500’s, and was also smaller than that of the BXM. The Put index also grew faster than the Buy index: 861% between June 1988 and May 2007, compared with a 731% increase for the BXM over the same period.
Finally, while buy-write strategies often tend to perform relatively well in markets with negative or slowly rising returns, the PutWrite strategy performs well in a flat or downward trending market, and historically has had its best performance during periods of higher volatility.
The CBOE said the index is intended as a benchmark only, and that there are no plans to launch products based on it.
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Exchanges
Risk management
Union beckons for the three quant tribes
Studies may be deferred, but future for grads is bright, argues UBS’s Gordon Lee
Receive this by email