A new study by The Chicago Board Options Exchange (CBOE) has examined six benchmark indexes that write Standard & Poor’s 500 Index (SPX) options, comparing their performances with those of traditional stock, bond and commodity indexes.
The study found that the options-selling indexes generally had returns that were similar to those of the S&P 500 Index, but with lower volatility and lower maximum drawdowns.
The report, “Performance Analysis of CBOE S&P 500 Options-Selling Indices,” is the first comprehensive study that examines the performance of options-strategy benchmark indexes that incorporate iron condor and iron butterfly strategies.
Commissioned by CBOE and co-authored by Keith Black, PhD, CAIA, CFA, managing director of the Chartered Alternative Investment Analyst Association, and Edward Szado, PhD, CFA, assistant professor of finance at Providence College and director of research at the Institute for Global Asset and Risk Management (INGARM), the study analysed benchmark index performances for the 291⁄2-year period from mid-1986 to the end of 2015.
The options-based benchmarks indexes studied were the CBOE S&P 500 BuyWrite Index (BXM); CBOE S&P 500 PutWrite Index (PUT); CBOE S&P 500 Iron Butterfly Index (BFLY); CBOE S&P 500 30-Delta BuyWrite Index (BXMD); CBOE S&P 500 Covered Combo Index (CMBO); and CBOE S&P 500 Iron Condor Index (CNDR).