"The Russell 2000 is one of the most important measures of today's stock market, and CBOE's BuyWrite and Volatility Indexes are two of the most important tools for today's investors. With $3.8 trillion in assets benchmarked to the Russell Indexes and the explosive increase in volume in Russell Index options such as RUT and IWM, it is only natural to expand CBOE's line-up of BuyWrite and Volatility Indexes to the Russell 2000," said CBOE Chairman and CEO William J. Brodsky. "CBOE has essentially created two new asset classes by developing the BuyWrite Index and Volatility products, and we are pleased that, through our partnership with Russell, we are able to broaden the marketplace for these important benchmarks."
CBOE Russell 2000 BuyWrite Index (BXR)
The new CBOE Russell 2000 BuyWrite Index (BXR) is a benchmark index that measures the performance of a theoretical portfolio that sells Russell 2000 Index (RUT) call options, against a portfolio of the stocks included in the Russell 2000 Index. A "buy-write," also called a covered call, generally is considered to be an investment strategy in which an investor buys a stock or a basket of stocks, and also sells call options that correspond to the stock or basket of stocks. This strategy can be used to enhance portfolio returns and reduce volatility.
CBOE Russell 2000 Volatility Index (RVX)
The new CBOE Russell 2000 Volatility Index (RVX) will track the volatility of the Russell 2000 Index, by measuring implied volatility of near-term RUT options. The RVX is designed to reflect investors' consensus view of future (30-day) expected market volatility in the Russell 2000, and as such, can be used as a benchmark of investor sentiment.
Historical daily values for the BXR are available dating back to January 2001, and for RVX dating back to 2004. For more data and information about BXR and its use as a portfolio management tool, please visit http://www.cboe.com/BXR and for information on the Volatility Index visit http://www.cboe.com/RVX.
CBOE calculates and disseminates the following BuyWrite and Volatility Indexes and lists the corresponding products as indicated.
|
Underlying Index |
Volatility Index |
BuyWrite Index |
Options |
Futures |
|---|---|---|---|---|
|
S&P 500 Index(SPX) |
VIX |
BXM and BXY |
Yes on VIX |
Yes on VIX |
|
Dow Jones Industrial Average (DJX) |
VXD |
BXD |
No |
Yes on VXD |
|
Nasdaq-100 Index(NDX) |
VXN |
BXN |
No |
No |
|
Russell 2000 Index (RUT) |
RVX |
BXR |
No |
No |
