STOXX Limited, the market-moving provider of innovative, tradable and global index concepts, today introduced the EURO STOXX 50 BuyWrite 100% Index. The new index measures the performance of a hypothetical portfolio of a long position of the EURO STOXX 50 Index and a sold call option based on the EURO STOXX 50 Index. It is designed to underlie financial products such as exchange-traded funds and other investable products.
The EURO STOXX 50 BuyWrite 100% Index follows the methodology of the existing EURO STOXX 50 BuyWrite Index, however the strike price for the EURO STOXX 50 Index option is set to 100% instead of 105% as in the existing index.
“The EURO STOXX 50 index options achieved 280 million traded contracts at the end of 2012, which makes them the world’s third largest traded index options after the Kospi 200 Options and S&P CNX Nifty Index. The high liquidity of these options enables us to further expand our strategy index series based on options prices with the launch of the EURO STOXX 50 BuyWrite 100% Index,” said Hartmut Graf, chief executive officer STOXX Limited.
The EURO STOXX 50 BuyWrite 100% Index combines the EURO STOXX 50 Index and a EURO STOXX 50 call option. These two components are held in equal amounts and are adjusted on a monthly basis. Every month a new one-month EURO STOXX 50 call option replaces the previous expiring EURO STOXX 50 call option. The new one-month EURO STOXX 50 call option must have a remaining lifetime of one month and beat the money, i.e. be the option with the highest strike price below or equal to the EURO STOXX 50 settlement level.
Historical data for the EURO STOXX 50 BuyWrite 100% Index is available back to January 18, 2002. The index is calculated in euro and available in price and net return version.
Further information on the EURO STOXX 50 Buy Write 100% Index is available at www.stoxx.com.