Covered S&P 500 Index call strategies have, on average, outperformed the
S&P 500 Index over the past 15+ years while realizing lower standard
deviations of returns. This analysis dissects the strategy underlying the
BuyWrite Monthly Index on the S&P 500. The BXM is the most broadly quoted
benchmark for index call–selling strategies. Also discussed are
alternative structured S&P 500 option–overwriting strategies, which
have even more attractive risk–return trade-offs than the BXM because they
take advantage of the implicit positive risk premium of equities and potentially
adjust the strike price of the call sold on the basis of the volatility
environment.