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CBOE BuyWrite Index soon to be ETN
Old 03-08-2007, 05:01 PM   #1
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CBOE BuyWrite Index soon to be ETN

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...

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Re: CBOE BuyWrite Index soon to be ETN
Old 03-09-2007, 05:37 AM   #2
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Re: CBOE BuyWrite Index soon to be ETN

There was just an article in the last edition of the financial analysts journal.

The author said that the buy write outperforms in all but the strongest bull markets (if I remember correctly)

It will be interesting to see what happens to performance when the amount invested gets into the billions

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