Three Cboe Indices Up More Than 11% in 2023

Matt Moran
June 5, 2023

Index Insights is a monthly look at how various indices performed in the prior month and the impact of current events on markets and indices.


  • Three Cboe indices have performed better than the S&P 500 Total Return Index so far this year.
  • Annual Russell Reconstitution creates opportunities for alpha generation.
  • VIX1D average daily closing value was 14.9 in May.

In the first five months of 2023 the S&P 500® Total Return Index rose 9.6%, a strong increase. In comparison, however, some of Cboe’s indices that track the values of hypothetical options-based or futures-based portfolios had greater gains during the same period.

  • Cboe S&P 500 30-Delta BuyWrite Index (BXMDSM) rose 11.2%. The BXMD Index writes out-of-the-money covered calls on the S&P 500 Index, and it benefitted from the fact that so far this year the S&P 500 Index rose and the index collected index options premiums every month.
  • Cboe S&P 500 Enhanced Growth Index Balanced Series (SPENSM) rose 11.8%. SPEN is part of a family of Target Outcome Indices that are designed to provide target outcome returns linked to the U.S. domestic stock market. Each series in the index is designed to track the returns of a hypothetical investment that, over a period of approximately one year, seeks to provide enhanced returns two times greater than the appreciation of the S&P 500 Index, up to a capped level. At the same time, the index provides one-to-one exposure to any losses due to a decline in the index.
  •  Cboe VIX Premium Strategy Index (VPDSM) rose 18.8%. VPD tracks the value of a portfolio that overlays the next monthly VIX futures on a Treasury bill account. The VIX futures are held until expiration and new VIX futures are then sold. The VPD Index is motivated by the negative volatility premium usually observed for VIX futures: the price of VIX futures usually has been greater than the value of the VIX Index at the futures expiration date.

Keeping Score

The table below shows the performance and percentage price change for 30 indices, as of May 31, 2023.

Month-End Scorecard for 30 Indices, as of May 31, 2023

Source: Cboe Global Markets

(All the above indices, except the four volatility indices, are total return (pre-tax) indices. Past performance is not predictive of future returns.)

Interest in Russell Indices During the June Russell Reconstitution

Every June, the annual Russell Reconstitution drives heightened interest in key FTSE Russell U.S. indices as The Russell 1000, Russell 2000 and Russell 3000 Indices are reconstituted to ensure they accurately represent the market performance by each market segment and subsequent investment styles—growth, value, defensive and dynamic.

The chart below shows the performance of four Cboe Russell indices over the past 17 years. All four indices show the performance of hypothetical strategies that sell Russell 2000® (RUT) index options, and all four indices have lower volatility than the Russell 2000 Index.

  • Cboe Russell 2000 PutWrite Index (PUTRSM) rose 191% between May 2006 and May 2023. [SA1] [MM2] The PUTR portfolio is composed of an investment of $K in one-month Treasury bills and a short position in at-the-money (ATM) puts on the Russell 2000 Index (RUT put), where K is the strike price of the put option.      
  • Cboe Russell 2000 Half BuyWrite Index (BXRHSM) rose 162% between May 2006 and May 2023. The BXRH Index measures the total rate of return of a hypothetical covered call strategy applied to the Russell 2000. The strategy only writes half a unit of an ATM monthly RUT call option.
  • Cboe Russell 2000 30-Delta BuyWrite Index (BXRDSM) rose 143% between May 2006 and May 2023. BXRD tracks the value of a hypothetical portfolio that overlays a short 30-delta call on the Russell 2000 (RUT call) on an investment in Russell 2000 stocks. 
  • Cboe Russell 2000 BuyWrite Index (BXRSM) rose 110% between May 2006 and May 2023. The BXR tracks the value of a hypothetical portfolio that overlays a short ATM call option on the Russell 2000 Index. The premium harvested from the call buffers possible losses from an investment in Russell 2000 Index stocks.

Even though the BXRH and BXRD indices collected less gross premium than the BXR Index, the BXRH and BXRD indices had greater returns than the BXR Index because the BXRH and BXRD both participated in some of the upside moves of the Russell 2000 Index. 

Cboe Russell Indices Over 17 Years, May 31, 2006 - May 31, 2023

Source: Cboe Global Markets

(Past performance is not predictive of future returns.)

To learn more about managing small-cap exposure, join us for our upcoming webinar, Russell Reconstitution and Options for Alpha Generation, on June 7. Chandler Nichols, Global X, Catherine Yoshimoto, FTSE Russell, and Rick Rosenthal, Cboe, will discuss the annual reconstitution and the opportunities it presents to generate returns.

Gauges for Investor Sentiment – VIX1D Index and VIX Index  

The Cboe 1-Day Volatility IndexSM (VIX1DSM), seeks to measure the expected volatility of the S&P 500® Index over the current trading day (today).

In May 2023, the average daily closing value of the VIX1D Index was 14.9, compared to an average daily closing value of 17.6 for the VIX Index. These values were lower than the longer-term averages for both indices, despite some concerns about U.S. debt ceiling negotiations. 

VIX1D and VIX Indices, May 31, 2022 - May 31, 2023 (Daily Closing Values)

Source: Cboe Global Markets

The average daily closing values were 21.8 for VIX1D Index and 23.2 for VIX Index.

Read more about the VIX1D Index and how it compares to Cboe’s other volatility indices.

More Resources

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