CBOE S&P 500 BuyWrite Index Futures
The CBOE S&P 500 BuyWrite Index (BXM Index) is a benchmark index designed to track the performance of a hypothetical buy-write strategy on the Standard & Poor's 500 Composite Stock Index (S&P 500 Index). The BXM Index measures the total rate of return of a "covered call" strategy that consists of a "long" position indexed to the S&P 500 Index on which are deemed sold a succession of one-month, at-the-money call options on the S&P 500 Index. The BXM Index covered call strategy requires that each S&P 500 call option be held to its date of maturity, generally the third Friday of the month. Soon after the settlement of the expiring call option, a new at-the-money call option expiring in the next month is then written (a transaction commonly referred to as a "roll"). The strike price of the new call is the closest listed strike price equal to or greater than the last value of the S&P 500 Index reported before 10:00 a.m. Chicago time.
|<CBOE S&P 500 BuyWrite Index Futures futures
|Cash and physical
|Need pricing unit!
|March, June, September and December
|Last Trading Day
|The close of trading on the day before the Final Settlement Date
|Note: This contract is electronic ONLY -- no open outcry
|No Open Outcry
|Futures - BZ, Cash Index - BXMFT