Systematic Russell 2000 Index Option Strategies in Different Volatility Regimes

Cboe Global Markets introduced the Cboe Russell 2000 BuyWrite Index (BXRSM) in 2007 as a method of demonstrating the performance of a systematic strategy using Russell 2000 (RUTSM) Index options. Investor interest in RUT option strategies resulted in customers asking how other methods of systematically utilizing RUT options have performed in the past. In response to customer demand Cboe has introduced several more RUT benchmark indexes. Another question that often arises is how do these various RUT benchmarks perform in different volatility environments. This paper is an overview of the performance of a variety of RUT benchmarks and how they may perform in different volatility regimes