I read recently that Barclays has submitted a proposal for a new ETN to track the CBOE BuyWrite Index. I know I have brought up the BXM before, but with the new skittishness of the market, it seems well timed.
Chart it against the S&P500 over as much data as they have. I am not sure why there is a bad datapoint in it, but you'll see how it did. Basically it seems to be a "smoothed" version of the S&P, much less volatility.
The thing that is nice, but at the same time brings up worries (enough to not make it a core holding) is that it is basically a debt instrument like a bond. The positive aspect is that you get no tracking error since it is a NOTE, without actual holdings in the underlying. The negative is that you are under the good faith of Barclays. This is similar to DJP, the commodity ETN.
I wonder what the costs will be, but being that it is a note, it would probably be cheaper than actually implementing the procedure in a fund/ETF.
Just thought I'd pass it along to anyone interested...