November 29, 2012
Features Lower Downside Volatility Plus Upside Participation
CHICAGO, IL -- November 29, 2012 - The Chicago Board Options Exchange® (CBOE®) announced today that it will begin disseminating values for a new benchmark index, the CBOE Low Volatility IndexSM (ticker: LOVOL) tomorrow, Friday, November 30.
The CBOE LOVOL Index is designed for investors whose preferences have shifted from investing in riskier assets to lower-volatility assets. The new index aims to provide investors with the ability to replicate an investment strategy that is subject to less downside volatility in a portfolio of S&P 500® stocks, while still preserving the bulk of market gains.
The CBOE LOVOL Index is a blend of two of CBOE's most popular strategy benchmark indexes - the CBOE S&P 500 BuyWrite Index (BXMSM) and the CBOE VIX Tail Hedge IndexSM (VXTHSM). The LOVOL Index bridges the space between the BXM and VXTH strategies:
- The BXM strategy cushions returns against market downturns in exchange for lower returns in more bullish markets.
- The VXTH strategy provides substantial protection against severe downturns in exchange for lower returns in less volatile markets.
The CBOE LOVOL Index measures the performance of a portfolio that overlays SPX and CBOE Volatility Index® (VIX®) calls over the S&P 500 Index. Specifically, the index is obtained by holding a portfolio of S&P 500 stocks and simultaneously selling SPX calls and buying one-month VIX 30-delta calls on a monthly basis.
For the five-year period ending October 31, 2012, the annualized return for the LOVOL Index was 2.9 percent (versus 0.4 percent for the S&P 500 total return index). The standard deviation for the LOVOL Index during the same period was 13.6 percent (versus 19.1 percent for the S&P 500).
CBOE will disseminate the CBOE LOVOL Index value every 15 seconds during the trading day. The index values will be available from quote data vendors and on CBOE's website at http://www.cboe.com/LOVOL.
CBOE is the home of volatility indexes. An innovator in the volatility space and leading creator of measures that track market volatility, CBOE currently publishes data on more than two dozen volatility-related benchmarks and strategies.
For more information on the CBOE Low Volatility Index, including a white paper detailing LOVOL's development and methodology, see http://www.cboe.com/LOVOL.
CBOE, the largest U.S. options exchange and creator of listed options, continues to set the bar for options and volatility trading through product innovation, trading technology and investor education. CBOE offers equity, index and ETF options, including proprietary products, such as S&P 500 options (SPX), the most active U.S. index option, and options and futures on the CBOE Volatility Index (the VIX Index). Other products engineered by CBOE include equity options, security index options, LEAPS options, FLEX options, and benchmark products such as the CBOE S&P 500 BuyWrite Index (BXM). CBOE is home to the world-renowned Options Institute and www.cboe.com, the go-to place for options and volatility trading resources. CBOE is regulated by the Securities and Exchange Commission (SEC), with all trades cleared by the OCC.
CBOE®, Chicago Board Options Exchange®, FLEX®, LEAPS®, CBOE Volatility Index® and VIX® are registered trademarks, and BuyWrite(SM), BXM(SM), CBOE Low Volatility Index(SM), CBOE LOVOL Index(SM), LOVOL(SM""), CBOE VIX Tail Hedge Index(SM), VXTH(SM), .SPX(SM) and The Options Institute(SM) are service marks of Chicago Board Options Exchange, Incorporated (CBOE). Standard & Poor's®, S&P® and S&P 500® are registered trademarks of Standard & Poor's Financial Services, LLC and have been licensed for use by CBOE.