CBOE S&P 500 BuyWrite Index, "BXM," Reached New All-Time High On Thursday, December 14, 2006

The Chicago Board Options Exchange said today that the CBOE S&P 500 BuyWrite Index, "BXM," reached an all-time high closing price of 800.43 on Thursday, December 14th. This was the first time ever that the Index closed above 800.

The CBOE BXM Index is up 13.4% year-to-date through December 14, and the Index has risen more than 700% since the June 1, 1988 start date for its price history.

A "buy-write" strategy is one in which an investor buys stocks and writes, or sells, related call options for income.For example, the CBOE S&P 500 BuyWrite Index (BXM) is a broad-based benchmark index that measures the performance of a hypothetical portfolio that sells S&P 500 Index (SPX) call options, generally on the third Friday of each month, against a long portfolio of stocks in the S&P 500 Index.

CBOE also calculates and publishes the CBOE DJIA BuyWrite Index (BXD), based on Options on the Dow (DJX) versus a portfolio of the stocks included in the Dow Jones Industrial Average, CBOE Nasdaq-100 BuyWrite Index (BXN), CBOE Russell 2000 BuyWrite Index (BXR) and the CBOE S&P 500 2% Out-of-The-Money BuyWrite Index (BXY). Information about the CBOE BuyWrite Indexes, including historical data, can be found at: www.cboe.com/buywrite.

Key points about the BXM Index and buy-write strategies include:

·Introduction. The BXM, the first benchmark measure of the performance of an options-based strategy, was created by CBOE in 2002. Professor Robert Whaley, now with Vanderbilt University, compiled and analyzed relevant data from 1988 through 2001 to help develop the BXM.

·Lower Volatility. In the period from June 1988 through November 2006, the BXM had significantly less volatility than the S&P 500 Index (9.2% vs. 13.8% standard deviation).

·Consultants' Studies. Two important studies of the BXM performance have been published. One by Callan Associates, Inc., an investment services consulting firm, found that, among other things, BXM generated superior risk-adjusted returns over the last 18 years, a return comparable to that of the S&P 500 with approximately two-thirds of the risk. (The compound annual return of the BXM was 11.77% compared to 11.67 percent for the S&P 500. BXM returns were generated with a standard deviation of 9.29%, two-thirds of the 13.89% volatility of the S&P 500.) In 2004, Ibbotson Associates found that the BXM had the best risk-adjusted performance of the major U.S. and international equity-based indexes over the 16-year period studied, and that the strategy enhances the risk-return tradeoff when added to a portfolio.

·New Investments. In the past two years, investors have allocated more than $20 billion to more than 40 new investment products that utilize buy-write strategies. Many investors appreciated the fact that the hypothetical BXM Index garnered call options premiums at an average rate of about 1.6% per month over the past 18 years.

·Awards. The BXM Index was awarded the "Innovative Index of the Year" award at the Super Bowl of Indexing Conference, and the creation of the BXM Index led to CBOE receiving the 2006 "Exchange of the Year, North America" award by Structured Products magazine.

The CBOE Futures Exchange (CFE) launched futures on the BXM on October 2, 2006, as a means for investors to participate in the performance of a buy-write strategy. The BXM futures contract is 100 times the value of the BXM, and is cash-settled.

CBOE, the largest options marketplace in the U.S. and the creator of listed options, is regulated by the Securities and Exchange Commission (SEC). For additional information about the CBOE and its products, visit the CBOE website at: www.cboe.com.