CBOE, not S&P, calculates and disseminates the BXM Index.
The BXM Index is a passive total return index based upon selling S&P 500 Index call options (SPX(SM)) each month against an S&P 500 stock index portfolio, on the day the current contract expires.
Like many passive indexes, the BXM Index does not take into account significant factors such as transaction costs and taxes.
Rampart has hired Peg Pike, formerly JP Morgan's Vice President/Equity Derivatives, as Senior Vice President and product manager for the Rampart BXM Strategy.
CBOE created the BXM as an objective measure of the performance of a theoretical buy-write of the S&P 500 stocks and options," said CBOE Executive Vice-President Edward Provost.
The Rampart BXM Strategy is designed to replicate or closely approximate the CBOE BXM.