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.
data(CboeOptionStrategies)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.
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.
Chapter 12 (Performance Analysis) of Martin, Philips, Scherer, Stoyanov and Li, Portfolio Construction and Risk Analysis, Springer, 2024.
data(CboeOptionStrategies)
names(CboeOptionStrategies)
head(CboeOptionStrategies, 5)
tail(CboeOptionStrategies, 5)
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