New Wilshire Analytics Study Finds Options Indexes Offered Noteworthy Returns Over 30 Years - CBOE S&P 500 30-Delta Buywrite (BXMD), CBOE S&P 500 Putwrite (PUT) Indexes Offered Higher Returns, Lower Volatility Than Leading Stock And Commodity Indexes

Chicago Board Options Exchange® (CBOE®) and Wilshire Analytics, the investment technology foundation of Wilshire Associates Inc. (Wilshire®), today announced the release of a new analysis of the performance of options-based benchmark indexes.

The study, “Three Decades of Options-Based Benchmark Indices with Premium Selling or Buying: A Performance Analysis,” was commissioned by CBOE and authored by Wilshire Analytics’ Applied Research Group. It is the first major study that surveys 30 years of data related to benchmarks engaged in the buying and/or selling of index options.

Wilshire Analytics analyzed the performance of several indexes over a period of 30 years, from June 30, 1986 through June 30, 2016, including five indexes that sell and/or buy options on the S&P 500® (SPX) Index:

CBOE S&P 500 BuyWrite Index (BXM)
CBOE S&P 500 30-Delta BuyWrite Index (BXMD)
CBOE S&P 500 Zero-Cost Put Spread Collar Index (CLLZ)
CBOE S&P 500 5% Put Protection Index (PPUT)
CBOE S&P 500 PutWrite Index (PUT)

The performance of these indexes was compared with certain other key stock, bond and commodity indexes that represent asset classes typically found in the investment portfolios of institutions and individual investors. Key findings of the 30-year study include:

Higher Absolute and Risk-Adjusted Returns: Two indexes that sold SPX options every month to collect option premium income – PUT and BXMD – both had higher absolute returns and higher risk-adjusted returns than the other indexes studied.

Lower Volatility: Each of the five option-based indexes had lower volatility than all the other indexes included in the study, other than the fixed-income index.

Less Downside Risk: The maximum drawdown for the options-based indexes was 24 percent lower, on average, than for the S&P 500 Index.

Market Capacity and Liquidity: The notional value of SPX options’ average daily volume grew significantly over the last 10 years; it was more than $200 billion for the 12 months ended June 2016, the most recent year studied.

Pension Plan Allocations: Analysis of actual pension plan allocations suggests plan sponsors would have benefited from the addition of index-based buy-write option strategies.