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The Chicago Board Options Exchange (CBOE) announced today that its CBOE S&P 500 PutWrite Index (ticker symbol PUT) won the award for the Most Innovative Benchmark Index at the Twelfth Annual Super Bowl of Indexing Conference in Scottsdale, Arizona.
The Super Bowl of Indexing Conference is an annual conference developed by Information Management Network (IMN) and attended by more than 600 industry professionals and academics that seek in-depth information and analysis on a broad spectrum of financial instruments and concepts.The 2007 award for the CBOE S&P 500 PutWrite Index was one of only three 2007 product awards granted as part of the William F. Sharpe Indexing Achievement Awards. This is the fourth award that CBOE products have received during the four years of awards at the Super Bowl of Indexing Conference. Past CBOE Innovation awards include: the CBOE S&P 500 BuyWrite Index (BXM)(2004), and both futures (2004) and options (2006) on the CBOE Volatility Index (VIX).
"During this decade, CBOE has pioneered the development of options-related benchmarks such as the CBOE PutWrite and BuyWrite indexes, and has worked vigorously to promote and develop these emerging new asset classes. We are gratified that the hard work and investment in innovation made by CBOE is recognized and held in such high regard by our peers. We thank Standard & Poor's for their partnership and continued support," said CBOE Chairman and Chief Executive Officer, William J. Brodsky.
The PUT strategy is designed to sell a sequence of one-month, at-the-money, S&P 500 Index (SPX) put options and invest cash in one- and three-month Treasury Bill rates. The number of put options sold varies from month to month, but is limited so that the amount held in Treasury Bills can finance the maximum possible loss from the final settlement of the SPX puts.
Key points about the CBOE S&P 500 PutWrite Index for the period from June 1, 1988 through November 30, 2007:
- Higher Returns. The PUT Index had an annualized return of 12.5% compared to 11.7% for the S&P 500 Total Return Index (SPTR).
- Lower Volatility. The standard deviation of returns of the PUT Index was about 40% less than that of the S&P 500 Index.
- Total Growth. The PUT Index was set to 100 at its base date of June 1, 1988, and it rose to 998.17 by November 30, 2007, an increase of 898%, compared to a 758% increase for the S&P 500 Total Return Index over the same time period.
In the worst-case scenario, the amount at risk for the PUT investor is limited to the amount that was invested. The number of put options sold increases with Treasury Bill rates and the price of the put, and decreases with the strike price of the put.
CBOE calculates the PUT Index value at the end of each trading day and disseminate it on the CBOE website and to options quote vendors. On any given date, the index represents the value of the initial $100 invested in the PUT strategy at inception. At the close of every business date, the value of the PUT is equal to the value of the Treasury Bill account, less the mark-to-market value of the puts.
Historical values for the PUT are available dating back to June 1988 on the CBOE website. For more data and information about the PutWrite Index please visit http://www.cboe.com/PUT.
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.
