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Originally Posted by CybrMike
Can someone explain the buy/write index?
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Off hand, I think the gain may be so small that any expenses could wipe it out. IIRC, the history shows it to do slightly better than the S&P and with less volatility. But it does underperform in rapidly rising markets. Since, we've been through a rising market (or in the middle of one?), it might not be a bad time for this strategy.
Not hard to do yourself. Buy the ETF sell the call one strike out each month.
-KCMW
http://en.wikipedia.org/wiki/CBOE_S&P_500_BuyWrite_Index_(BXM)
http://cfe.cboe.com/Products/Products_BXM.aspx
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The CBOE S&P 500 BuyWrite Index (BXM) is a benchmark index designed to track the performance of a hypothetical buy-write strategy on the S&P 500 Index. Announced in April 2002, the BXM Index was developed by the CBOE in cooperation with Standard & Poor's. The BXM is a passive total return index based on (1) buying an S&P 500 stock index portfolio, and (2) "writing" (or selling) the near-term S&P 500 Index (SPXSM) "covered" call option, generally on the third Friday of each month. The SPX call written will have about one month remaining to expiration, with an exercise price just above the prevailing index level (i.e., slightly out of the money). The SPX call is held until expiration and cash settled, at which time a new one-month, near-the-money call is written.
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