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.

Author Information

Joanne M. Hill is managing director at Goldman, Sachs & Co., New York City.

Venkatesh Balasubramanian is an associate at Goldman, Sachs & Co., New York City.

Krag (Buzz) Gregory is a vice president at Goldman, Sachs & Co., New York City.

Ingrid Tierens, CFA, is a vice president at Goldman Sachs & Co., New York City.

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