Yield Search — Y-T-D BXY Index Up 7.8%; VXTYN Up 75% – By Matt Moran

This year many investors are seeking for investments with higher yields and positive returns.

However, some traditional fixed income instruments have had low yields and negative returns. For example, as of August 29, the Barclays Capital Long-term Treasury Index had a yield of 3.52% and a total year-to-date return of negative 11.46% (source: wsj.com).

Many investors now look to strategies such at the selling of index options with the goal of generating both higher gross yields and strong risk-adjusted returns. Over the past 20 years the CBOE S&P 500 BuyWrite Index (BXM) has generated gross yields that have averaged about 1.8% per month.

BENCHMARK INDEXES AT CBOE

While several of the traditional fixed income benchmark indexes have had negative returns this year, many benchmark indexes that sell index options have had positive returns so far in 2013. Here are the year-to-date percentage changes (through month-end August) for some of CBOE’s key benchmark indexes at www.cboe.com/benchmarks

  • 9.3% VPD – CBOE VIX Premium Strategy Index
  • 8.9% VXTH – CBOE VIX Tail Hedge Index
  • 7.8% BXY – CBOE S&P 500 2% OTM BuyWrite Index
  • 7.5% VTY – CBOE S&P 500 VARB-X Strategy Benchmark Index
  • 7.4% LOVOL- CBOE Low Volatility Index
  • 5.0% PUT – CBOE S&P 500 PutWrite Index
  • 4.9% BXM – CBOE S&P 500 BuyWrite Index
  • 4.2% BXD – CBOE DJIA BuyWrite Index

 VOLATILITY INDEXES AT CBOE

Below are the year-to-date percentage changes for some of CBOE’s key volatility indexes. Note that while implied volatility for some stock indexes has declined this year (see VIX and VXN), the implied volatility related to some interest rate and gold instruments has soared this year (see GVZ, VXTYN and SRVX).

  • 75.0% VXTYN – CBOE/CBOT 10-year U.S. Treasury Note Volatility Index
  • 70.0% GVZ – CBOE Gold Volatility Index
  • 31.1% SRVX – CBOE Interest Rate Swap Volatility Index
  • 0.1% VVIX – CBOE VIX of VIX Index
  • -0.6% EVZ – CBOE EuroCurrency Volatility Index
  • -1.0% VXEFA – CBOE EFA ETF Volatility Index
  • -1.2% OVX – CBOE Crude Oil Volatility Index
  • -5.6% VIX – CBOE Volatility Index
  • -10.7% VXD – CBOE DJIA Volatility Index

For more information and studies and disclosures, please visit www.cboe.com/benchmarksand www.cboe.com/volatility.

The posts on this blog are opinions, not advice.
Please read our disclaimer for Indices.

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