Benchmark Buy/Write Strategies


Objective: Total Return

The Benchmark BuyWrite strategies are passive strategies that seek to replicate the performance of a CBOE® (Chicago Board Options Exchange) BuyWrite index (BXM, BXY, and PUT) and outperform a long-only index such as the S&P 500®. A buy-write strategy basically involves writing call options on an underlying position (portfolio) to generate options premium. The option position is “covered” by the underlying positions (portfolio), which helps to dampen downside risk. The CBOE designed its BuyWrite indices to track the performance of a hypothetical buy-write strategy on the S&P 500® Index.

The BXM strategy is based on owning an S&P 500® Index portfolio and writing near-month, at-the-money S&P 500® Index calls. If a client is interested in a benchmark that is more attractive in a rising market but has slightly higher risk, the CBOE BXY strategy writes 2% out-of-the-money call options. BXY brings in less cash flow per month, but has more monthly upside potential and more downside exposure. The PUT strategy is built around the concept of cash-secured-put-writing. Instead of owning the S&P 500® Index, the portfolio’s assets are invested in short-term Treasury Bills.


Clients choose how much to allocate to the strategy in notional (value of the underlying portfolio assets) or funded (assets allocated to the strategy) value. The investment approach then follows a systematic, disciplined monthly option trading cycle (third Friday of every month). Using CBOE’s designated and directed strike price, Rampart typically begins by selling S&P 500® Index call options on the entire underlying investment allocation using a disciplined and systematic approach. The cash flow generated from the initial option writing transaction is reinvested in the strategy (or accumulated for distribution purposes). On an on-going basis, the index options are cash settled based on the opening prices of the stocks in the S&P 500® on the morning of expiration. On the same morning, the CBOE publishes the strike price for the next month. Depending on whether the proceeds from the new sale exceed or are less than the settlement costs of the expiring options, additional shares either are purchased in the underlying portfolio or liquidated to fund the purchase. The combination of the performance of the underlying portfolio and the cash flows from the monthly expirations/sales create the performance record for the BXM approach.

Potential Benefits:

  • The Buy/Write Strategies are disciplined, systematic approaches for investors that prefer a rules-based rather than an active options approach.
  • The long-term potential benefits of the benchmark strategy are equity-like (S&P 500) performance with approximately two-thirds the risk of equities, as defined by standard deviation.
  • These strategies tend to outperform the S&P 500® in down, flat, and moderately up markets; they tend to underperform in strong, rising markets.

Important Risk Considerations:

The Benchmark Strategies (BXM, BXY, and PUT) are widely known as a way for investors to benefit from the attractive risk and return profiles of rules-based, passive, options-oriented strategies designed and maintained by the CBOE. The information on this website is intended to describe generally how the CBOE benchmark strategies work, but it is not a complete description of the CBOE benchmark strategies, or how Rampart performs its investment management responsibilities.

For more detail on the development and associated research underlying the CBOE indices, visit the CBOE website:

Prior to initiating the Benchmark Strategies, taxable clients should consult a tax adviser to determine how options transactions and any sales of underlying stock will affect their tax situation. Tax-exempt investors should ensure that counsel is comfortable that the strategy is allowed and, if not, what steps need to be implemented to amend the plan document. The investor should also confer with their custodian to ensure the full understanding of the options settlement process and collateralization requirements.

Past performance is not a guarantee of future results. Supporting documentation for any claims, comparisons, recommendations, statistics, or other technical data will be furnished upon request.

The actual performance of investment vehicles such as mutual funds or managed accounts can have significant differences from the performance of the CBOE BXM, BXY and PUT Indexes. Investors attempting to replicate the Indexes should discuss possible timing and liquidity issues with their advisors.

Like many passive benchmarks, the Indexes do not take into account significant factors such as transaction costs and taxes. Transaction costs and taxes for strategies such as the Indexes could be significantly higher than transaction costs for a passive strategy of buying-and-holding stocks.

It is not possible to invest directly in an index. CBOE calculates and disseminates the Indexes. Supporting documentation for any claims, comparisons, statistics or other technical data is available from CBOE upon request. The methodologies of the Indexes are the property of Chicago Board Options Exchange, Incorporated (CBOE).

There is no assurance that Rampart Investment Management will be successful in implementing the Benchmark Buy/Write Strategies (e.g., identifying or exploiting option pricing inefficiencies).