Cboe Russell 2000 30-Delta BuyWrite Index
EXTERNALCboe Russell 2000 30-Delta BuyWrite IndexThis document details the calculation methodology of the titled index/benchmark. This document, inconjunction with the Cboe Index Rules and Governance document (available on Cboe’s Governancewebsite), provides a transparent and easily accessible view of the methodology used to calculate theCboe S&P 30-Delta BuyWrite Index (“BXRD Index”), ticker symbol ‘BXRD’.Description of the Market or Economic Reality MeasureThe Cboe Russell 2000 30-Delta BuyWrite Index (BXRD Index) is a benchmark index designed to trackthe performance of a hypothetical covered call strategy that establishes a long position indexed to theRussell 2000 Index and writes a monthly Out-of-the-Money (OTM) RUT Call option. The distinctivefeature of this index is, when writing the OTM RUT Call option, the option with a delta closest to 0.30 isselected. The BXRD Index does not use contributed input data, and all of the input data is readilyavailable via public sources. The BXRD Index is non-significant, as defined by EU Regulation 2016/1011(“EU Benchmark Regulation” or “EU BMR”).Index CalculationsThe following describes the methodology for calculating the BXRD Index, including applicable formulasand input data. Under the BXRD Index methodology, roll date is the third Friday of each month. Shouldthe third Friday fall on an exchange holiday, the roll date is the preceding day.BXRD is a total return index that is rebalanced monthly. Dividends paid on the component stocksunderlying the Russell 2000 Index and the dollar value of option premium deemed received from thesold call options are functionally “re-invested” in the covered Russell 2000 Index portfolio.On January 19, 2001, the initial roll date of the BXRD Index, a unit of an OTM monthly RUT Call option iswritten and a unit of the RUT Index is purchased to cover the liability. The Call option selected is theone with a delta closest to 0.30. All inputs used in the delta calculation using the Black formula shouldbe the last available values before 11:00 a.m. ET. The premium collected from writing the RUT Calloption is the volume weighted average trade price (VWAP) between 11:30 a.m. and 12:00 p.m. ET. Cboecalculates the VWAP in two steps: first, Cboe excludes trades in the new RUT Call option between 11:30a.m. and 12:00 p.m. ET that are identified as uppercase A – H and lowercase f – t. This will remove allforms of late, cancel and spread orders; and second, Cboe calculates the weighted average of allremaining transaction prices of the new RUT Call option between 11:30 am and 12:00 pm ET, withweights equal to the fraction of total remaining volume transacted at each price during this period. Thesource of the transaction prices used in the calculation of the VWAP is OPRA. If there is no trade in theRUT Call option during the VWAP period, the last bid quote for the RUT Call option before 12:00 pm ETis used. As the long Russell 2000 Index position is assumed to be entered into simultaneously with theshort RUT Call option position, the weighted average price of the Russell 2000 Index is calculated usingdisseminated values of the Russell 2000 Index based on the same time and weights used to calculatethe RUT Call option VWAP. Similarly, if there is no trade of the RUT Call option during the VWAP period,
Cboe Russell 2000 30-Delta BuyWrite Indexthe last disseminated value of the Russell 2000 Index before 12:00 pm ET is used. If the VWAP of theRussell 2000 Index and the last value before 12:00 pm ET are both not available, the last disseminatedvalue of the Russell 2000 Index before 11:00 am ET is used.Typically, on the third Friday (Roll Day) of every month since the initial roll date, the RUT Call optionsettles against the Special Opening Quotation of the RUT Index (SOQ). The option settlement value isdetermined as Call old settle Max (0, SOQ t – K old). A new OTM monthly RUT Call option will besubsequently written. Following the same rule as the initial roll date, the RUT Call option selected is theone with a delta closest to 0.30 at 11:00 am ET listed on the Cboe exchange. The premium collectedfrom the RUT Call option would be the VWAP between 11:30 am and 12:00 pm ET, or the last bid quotefor the RUT Call option before 12:00 pm ET, if there is no trade in the RUT Call option during the VWAPperiod. The long RUT Index position remains unchanged.The BXRD Index value is calculated every 15 seconds according to the following formula:BXRDt BXRDt 1 * (1 Rt)(1)where: 𝐵𝑋𝑅𝐷𝑡 is the level of the BXRD Index; 𝐵𝑋𝑅𝐷𝑡 1 is the level of the BXRD Index on the previous day; and 𝑅𝑡 is the return of the BXRD Index.Non-Roll Date CalculationsThe non-roll date return of the index is calculated as:(1 Rt) (RUT t DIV t – Call t ) / (RUT t-1 – Call t -1 )(2)where: 𝑅𝑈𝑇𝑡 is the closing value of the Russell 2000 Index at date t. For intraday calculations, thecurrent reported value of the Russell 2000 Index is used; 𝑅𝑈𝑇𝑡 1 is the closing value of the Russell 2000 Index at date t-1; 𝐶𝑎𝑙𝑙𝑡 is the arithmetic average of the last bid-ask quote of the 30-delta OTM monthly RUT Calloption reported before 4:00 pm ET at date t for the closing value. For intraday calculations, theaverage of the current reported bid and ask prices of the call option is used; 𝐶𝑎𝑙𝑙𝑡 1 is the average of the last bid-ask quote of the 30-delta OTM monthly RUT Call optionbefore 4:00 pm ET on date t-1; and 𝐷𝑖𝑣𝑡 represents the ordinary cash dividends payable on the component stocks underlying theRussell 2000 Index that trade “ex-dividend” at date t expressed in Russell 2000 Index points.Roll Date CalculationsFirst, calculate the return from the previous day market close to morning settlement of the expiringoption:Page 2 of 7
Cboe Russell 2000 30-Delta BuyWrite Index(1 R1) (SOQ t DIV t – Call old settle) / (RUT t-1 –Call old t-1 )where: (3)𝑆𝑂𝑄𝑡 is the Special Opening Quotation of the RUT Index on the Roll Day;Call old settle Max (0, 𝑆𝑂𝑄𝑡 – K old) is the settlement value of the expiring RUT Call option;K old is the strike price of the expiring RUT Call option;Call old t-1 is the average of the last bid-ask quote of the RUT Call option before 4:00 pm ET onthe previous day; and𝐷𝑖𝑣𝑡 represents the ordinary cash dividends payable on the component stocks underlying theRussell 2000 Index that trade “ex-dividend” at date t expressed in Russell 2000 Index points.Second, calculate the return from morning settlement to the moment the new RUT Call optionpositions are deemed sold:(1 R2) RUTvwap / SOQ t(4)where: 𝑆𝑂𝑄𝑡 is the Special Opening Quotation of the RUT Index on the Roll Day; and RUT vwap is the weighted average value of the RUT Index, calculated using disseminatedvalues of the RUT Index based on the same time and weights used to calculate the new RUTCall option VWAP. Note that if there are no trades of the RUT Call option during the VWAPperiod, the last disseminated value of the RUT Index before 12:00 pm ET is used.Lastly, calculate the return from the moment the new RUT Call option is deemed sold to market close:(1 R3) (RUT t – Call 30d new t) / (RUTvwap – Call 30d newvwap)(5)where: Call 30d newvwap is the VWAP price of the new OTM RUT Call option; and Call 30d newt is the average of the last bid-ask quotes of the RUT Call option before 4:00 pmET.The product of the three parts is the total return of the Roll Day:(1 Rt) (1 R1) * (1 R2 ) * (1 R3 )(6)Calculation and DisseminationCboe compiles, calculates, maintains, and disseminates all BXRD Index values. The BXRD Index iscalculated and disseminated every 15 seconds during U.S. trading hours, with a daily closing indexvalue disseminated following the close of U.S. trading hours.On roll dates, as defined above, the BXRD Index will not be disseminated intraday. A daily closingvalue will be disseminated on roll dates following the close of U.S. trading hours.Page 3 of 7
Cboe Russell 2000 30-Delta BuyWrite IndexJudgement and Potential Limitations in CalculationNo expert judgement or discretion is used by Cboe in performing the calculation of the BXRD Index.Potential limitations for this index (i.e., situations where the index may not reflect the above describedmarket or economic reality) include: where underlying index input data is unavailable, the BXRD Index value will not be able to becalculated, and where the underlying option contract data is not available, the BXRD Index value will not beable to be calculated.Document Information DO NOT EDIT SharePoint-populated data:Major Version #Last Revised DateLast Review DateTier/Risk Designation210/1/202010/1/2020Tier 2Page 4 of 7
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Cboe Russell 2000 30-Delta BuyWrite Index Page 2 of 7 the last disseminated value of the Russell 2000 Index before 12:00 pm ET is used. If the VWAP of the Russell 2000 Index and the last value before 12:00 pm
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