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Cboe Expands MSCI Index Product Suite With New Options Strategy Benchmarks On MSCI EAFE And MSCI Emerging Markets Indices

Date 03/12/2019

  • Cboe's benchmark indices are designed to help investors gauge the performance of options-based investment strategies to highlight the use of options to help manage risk, reduce volatility and enhance yield
  • The new Cboe-MSCI BuyWrite and PutWrite indices are created for investors looking to replicate the same strategy on global equities

Cboe Global Markets (Cboe: CBOE), one of the world's largest exchange holding companies, today announced it has launched a series of BuyWrite and PutWrite strategy benchmark indices based on the MSCI EAFE Index (MXEA) and MSCI Emerging Markets Index (MXEF), the industry's preeminent indices for investors seeking exposure to international and emerging markets, respectively. The launch of these indices further expands Cboe's MSCI index product suite.

Cboe's benchmark indices are designed to help investors track the performance of investment strategies that use options or volatility products to help manage risk, reduce volatility and enhance yield. The new Cboe-MSCI BuyWrite and PutWrite indices are created for investors looking to replicate the same strategy on global equities featuring MXEA and MXEF options.

"Cboe's popular strategy benchmark indices have proven to be valuable tools for market participants seeking to gain effective exposure to the global equity markets with less volatility, and stronger risk-adjusted returns," said Bruce Traan, Head of Global Index Services at Cboe Global Markets. "As the industry leader in index options trading, we are pleased to broaden our MSCI-related offerings with these performance benchmark indices, and continue defining the markets with innovative products and trading solutions that meet the needs of investors."

"We are delighted that Cboe has continued to leverage MSCI's market-leading equity indices to expand their suite of strategy benchmark indices," said George Harrington, Global Head of Futures and Options Licensing at MSCI. "Our expanded relationship reflects the increased demand for derivatives-based strategies and the widespread adoption and industry recognition of the MSCI Emerging Markets and EAFE Indices."

The new Cboe-MSCI BuyWrite indices are designed to measure the performance of a hypothetical portfolio that buys the underlying stock index and writes covered calls on the MXEF and MXEA indices.   The Cboe-MSCI PutWrite indices are designed to measure the performance of a hypothetical portfolio that sells an at-the-money (ATM) MXEF and MXEA put option against collateralized cash reserves held in a money market account.

The new Cboe-MSCI BuyWrite and PutWrite Options Strategy Benchmarks are listed below: 

Index Name

Index Ticker

Trading Symbol

Cboe MSCI Emerging Markets BuyWrite Index

BXEFM Index

BXEF

Cboe MSCI Emerging Markets 2% OTM BuyWrite Index

BYEF Index

BYEF

Cboe MSCI Emerging Markets 20-Delta BuyWrite Index

BDEF Index

BDEF

Cboe MSCI Emerging Markets PutWrite Index

PXEF Index

PXEF

Cboe MSCI Emerging Markets 2% OTM PutWrite Index

PYEF Index

PYEF

Cboe MSCI Emerging Markets 20-Delta PutWrite Index

PDEF Index

PDEF

Cboe MSCI EAFE BuyWrite Index

BXEA Index

BXEA

Cboe MSCI EAFE 2% OTM BuyWrite Index

BYEAM Index

BYEA

Cboe MSCI EAFE 20-Delta BuyWrite Index

BDEAM Index

BDEA

Cboe MSCI EAFE PutWrite Index

PXEA Index

PXEA

Cboe MSCI EAFE 2% OTM PutWrite Index

PYEA Index

PYEA

Cboe MSCI EAFE 20-Delta PutWrite Index

PDEAM Index

PDEA

The MSCI EAFE Index (MXEA) is recognized as the pre-eminent benchmark in the United States to measure international equity performance. It comprises the MSCI country indexes that represent developed markets outside of North AmericaEurope, Australasia and the Far East. The MSCI EAFE Index is calculated in U.S. dollars on a real-time basis and disseminated every 60 seconds during market trading hours.

The MSCI Emerging Markets Index (MXEF) captures large- and mid-cap representation across 23 Emerging Markets (EM) countries. With more than 800 constituents, the index covers approximately 85 percent of the free float-adjusted market capitalization in each country.

As announced in March 2019, with its relationship with MSCI, Cboe may develop up to 50 strategy benchmark and volatility indices over time for both MXEF and MXEA.  For more information on Cboe options on MSCI Indices, visit www.cboe.com/MSCI.  

MSCI is a leading provider of critical decision support tools and services for the global investment community. With over 45 years of expertise in research, data and technology, MSCI powers better investment decisions by enabling clients to understand and analyze key drivers of risk and return and confidently build more effective portfolios. MSCI creates industry-leading research-enhanced solutions that clients use to gain insight into and improve transparency across the investment process.