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The CBOE Russell 2000 BuyWrite Index is a benchmark index, created by the Chicago Board Options Exchange, which shows the performance of a hypothetical portfolio that uses an at-the-money buy-write strategy on the Russell 2000 Index. The Russell 2000, which ticker symbol is ^RUT (on most systems), is a small-cap stock market index that comprises 2000 U.S. stocks. It is a subset of the Russell 3000 Index.
A buy-write strategy consists of buying shares for a particular security and then writing or selling call options for the same security. The buy-write strategy is commonly referred to as "covered call" strategy.
In the case of the CBOE Russell 2000 BuyWrite Index, the portfolio is constructed by taking a long position (indexed to the Russell 2000 Index) and selling one-month at-the-money call options, listed on the Chicago Board Options Exchange, on the Russell 2000 Index. These call options are usually sold on the third Friday of each month (New call options are bought when the old ones expire).
The CBOE Russell 2000 BuyWrite Index inception date is 29 December 2000. On that date, the index value was 100.
The CBOE Russell 2000 BuyWrite Index name is BXR. The historical data downloaded for this index starts on January 2006 and it is associated with the following symbol name: ^CBOE_RUSSELL_2000_BUYWRITE.
The BXR is calculated using the same methodology as the CBOE S&P 500 BuyWrite Index or BXM, which is another option-based benchmark index developed by the Chicago Board Options Exchange.
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