CboeOptionStrategies: CboeOptionStrategies

In PCRA: Companion to Portfolio Construction and Risk Analysis

CboeOptionStrategies

Description

Monthly time series of total return indices from June 1986 to December 2021 for options based strategies created and maintained by Cboe Livevol, LLC along with data for the S&P 500®, as well as levels of the VIX and VXO volatility measures, and the 3-month T-Bill rate (GS3M) from the Federal Reserve Bank of St. Louis' FRED database.

Usage

data(CboeOptionStrategies)

Format

A data frame with monthly time series of ten total return indices for options based strategies created and maintained by Cboe Livevol, LLC along with total return and price return indices for the S&P 500®, as well as the levels of the VIX and VXO volatility measures, and the 3-month T-Bill rate (GS3M) from the Federal Reserve Bank of St. Louis' FRED database. Links are provided to the relevant websites for each of the series. Many, but not all, of the total return series start with a value of 100.

• Date: type 'Date'. Last Day of Month. Many, but not all, of the time series have data from June 1986 to December 2021.

• BXM: type 'num'. Month-end closing level for the cumulative total return index for the Cboe S&P 500 BuyWrite Index. Details of its construction can be found at https://www.cboe.com/us/indices/dashboard/BXM/.

• BXMD: type 'num'. Month-end closing level for the cumulative total return index for the Cboe S&P 500 30-Delta BuyWrite Index series. Details of its construction can be found at https://www.cboe.com/us/indices/dashboard/BXMD/.

• BXY: type 'num'. Month-end closing level for the cumulative total return index for the Cboe S&P 500 2 construction can be found at https://www.cboe.com/us/indices/dashboard/BXY/.

• PUT: type 'num'. Month-end closing level for the cumulative total return index for the Cboe S&P 500 PutWrite Index. Details of its construction can be found at https://www.cboe.com/us/indices/dashboard/PUT/.

• CLL: type 'num'. Month-end closing level for the cumulative total return index for the Cboe S&P 500 95-110 Collar Index. Details of its construction can be found at https://www.cboe.com/us/indices/dashboard/CLL/.

• BFLY: type 'num'. Month-end closing level for the cumulative total return index for the Cboe S&P 500 Iron Butterfly Index. Details of its construction can be found at https://www.cboe.com/us/indices/dashboard/BFLY/.

• CLLZ: type 'num'. Month-end closing level for the cumulative total return index for the Cboe S&P 500 Zero-Cost Put Spread Collar. Details of its construction can be found at https://www.cboe.com/us/indices/dashboard/CLLZ/.

• CMBO: type 'num'. Month-end closing level for the cumulative total return index for the Cboe S&P 500 Covered Combo Index. Details of its construction can be found at https://www.cboe.com/us/indices/dashboard/CMBO/.

• CNDR: type 'num'. Month-end closing level for the cumulative total return index for the Cboe S&P 500 Iron Condor Index. Details of its construction can be found at https://www.cboe.com/us/indices/dashboard/CNDR/.

• PPUT: type 'num'. Month-end closing level for the cumulative total return index for the Cboe S&P 500 5 construction can be found at https://www.cboe.com/us/indices/dashboard/PPUT/.

• SPTR: type 'num'. Month-end closing level for the cumulative total return index for the S&P 500® Index (SPX℠). Details of its construction can be found at https://www.spglobal.com/spdji/en/indices/equity/sp-500/.

• SPX: type 'num'. Month-end closing level for the cumulative price return index for the S&P 500® Index (SPX℠). Details of its construction can be found at https://www.spglobal.com/spdji/en/indices/equity/sp-500/.

• VIX: type 'num'. Month-end closing level for the Cboe Volatilty Index®, a measure of constant, 30-day expected volatility of the U.S. stock market derived from real-time, mid-quote prices of S&P 500® Index (SPX℠). Details of its construction can be found at https://www.cboe.com/tradable_products/vix/.

• VXO: type 'num'. Month-end closing level for the Cboe S&P 100 Volatility Index. The index was discontinued on 9/23/2021. Historical daily data can be downloaded from https://fred.stlouisfed.org/series/VXOCLS.

• GS3M: type 'num'. Average daily closing 3 month constant maturity T-Bill yield, averaged over all business days in a month. Details of its construction can be found at https://fred.stlouisfed.org/series/GS3M.

Details

This data set provides monthly time series of ten total return indices for options based strategies created and maintained by Cboe Livevol, LLC, along with total return and price return indices for the S&P 500®, as well as the levels of the VIX and VXO volatility measures, and the 3-month T-Bill rate (GS3M) from the Federal Reserve Bank of St. Louis' FRED database. Links are provided to the relevant websites for each of the series. Many, but not all, of the total return series start with a value of 100, so that their total return in any given month is the ratio of the value for that month to the value for the prior month -1.

Source

CBOE LIVEVOL, LLC. CBOE LIVEVOL DATA IS PROVIDED "AS IS" WITHOUT WARRANTY OF ANY KIND, EITHER EXPRESS OR IMPLIED, INCLUDING, WITHOUT LIMITATION, ANY WARRANTY WITH RESPECT TO ACCURACY, COMPLETENESS, TIMELINESS, NONINFRINGEMENT, MERCHANTABILITY, OR FITNESS FOR A PARTICULAR PURPOSE. NEITHER LIVEVOL, NOR ANY PROVIDER OF DATA TO LIVEVOL, NOR ANY OF THEIR RESPECTIVE AFFILIATES, NOR THEIR RESPECTIVE DIRECTORS, OFFICERS, EMPLOYEES, CONTRACTORS, AND AGENTS SHALL HAVE ANY LIABILITY OF ANY KIND (INCLUDING, BUT NOT LIMITED TO, FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, CONSEQUENTIAL, OR PUNITIVE DAMAGES OR ANY DAMAGES FOR LOST PROFITS OR LOST OPPORTUNITIES AND WHETHER BASED UPON CONTRACT, TORT, WARRANTY, OR OTHERWISE) FOR ANY INACCURACIES, OMISSIONS, HUMAN OR MACHINE ERRORS, OR OTHER IRREGULARITIES IN THE DATA OR FOR ANY CESSATION, DISCONTINUANCE, FAILURE, MALFUNCTION, DELAY, SUSPENSION, INTERRUPTION, OR TERMINATION OF, OR WITH RESPECT TO, THE PROVISION OF THE DATA TO SUBSCRIBER. THE DATA IS NOT, AND SHOULD NOT BE CONSTRUED AS FINANCIAL, LEGAL OR OTHER ADVICE OF ANY KIND, NOR SHOULD IT BE REGARDED AS AN OFFER OR AS A SOLICITATION OF AN OFFER TO BUY, SELL OR OTHERWISE DEAL IN ANY INVESTMENT. ALL RIGHTS RESERVED. REDISTRIBUTION OF THE DATA IS NOT PERMITTED, AND USE OF THE DATA IN DERIVATIVE WORKS IS NOT PERMITTED WITHOUT THE WRITTEN PERMISSION OF CBOE LIVEVOL, LLC.

SPTR℠ and SPX℠ are provided by S&P Dow Jones Indices. S&P® and S&P 500® are registered trademarks of Standard & Poor’s Financial Services LLC, and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC. © 2023 S&P Dow Jones Indices LLC, its affiliates and/or its licensors. All rights reserved. Redistribution of the data is not permitted, and use of the data in derivative works is not permitted without the written permission of S&P Dow Jones Indices LLC.

GS3M is obtained from the Federal Reserve Bank of St. Louis' FRED database at https://fred.stlouisfed.org/series/GS3M

References

Chapter 12 (Performance Analysis) of Martin, Philips, Scherer, Stoyanov and Li, Portfolio Construction and Risk Analysis, Springer, 2024.

Examples

 
data(CboeOptionStrategies)
names(CboeOptionStrategies)
head(CboeOptionStrategies, 5)
tail(CboeOptionStrategies, 5)

PCRA documentation built on July 15, 2026, 9:06 a.m.