Options for Enhanced Yield and Risk-adjusted Returns in Times of Low Interest Rates April 17, 2013 By Matt Moran , VP, CBOE 312 786-7249 Prepared for CFA Pittsburgh

CBOE 2

Seven Perceived Challenges for Investors

1. High Volatility 2. Tail Risk 3. Lower Returns for Equities 4. Higher Correlations 5. Lower Yields 6. Future Higher Risk for Fixed Income 7. Less Liquidity in Times of Stress How severe are these challenges?

CBOE 3

#1 Historic Volatility Since 1898

“Historic Volatility” is a measure of actual price changes during a specific time period in the past. Mathematically, historic volatility is the annualized standard deviation of daily returns during a specific past period.

Maximum 99.84Minimum 3.21Mean 15.51Median 12.95

30-Day Historic Volatility for U.S. Stock Indexes -- (DJIA 1898 - 1956, and S&P 500 for 1957 and later years)

99.84 on Nov. 29, 1929

80.85 on Nov. 14, 2008

87.50 on Nov. 20, 1987

0

20

40

60

80

100

120

1/7/1898 4-Mar-1921 26-Nov-1943 8-Jul-1966 25-Aug-1989 6-Apr-2012

(Jan 7, 1898 - April 27, 2012) Source: Bloomberg

30-d

ay v

olat

ility

at th

e en

d of

wee

k

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# 2 & 3 Tail Risk and Lower Returns

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16 Challenging Months Little diversification as stock and commodity indexes fell by more than 50%

-44%

-51%

-52%

-53%

-54%0.2

0.40.6

0.81.0

1.21.4

1.6

Oct-07

Dec-07

Feb-08

Apr-08

Jun-08

Aug-08

Oct-08

Dec-08

Feb-09

(Oct. 31, 2007 - Feb. 28, 2009) Sources: CBOE and Bloomberg Total return indexes are used for

stocks and commodities

Mon

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1, 2

007

Phoenix Homes(SPCS) S&P 500

Russell 2000

SP GSCI(commodity)MSCI World IndexNet US$

Harry Markowitz and Modern Portfolio Theory (MPT) --

“[in 2008] the S&P 500 fell approximately 38.5%; the higher-beta emerging-markets asset class fell much farther. Corporate bonds fell in value, but much less than equities, and government bonds went up. … Generally, asset classes moved roughly in proportion to their historical betas. … MPT never promised high return with low risk. … [u]nless our portfolios are comprised entirely of short-term government bonds, we’ll be dealing with a level of risk for which MPT prescribes following an old and true adage: ‘Don’t put all your eggs in one basket.’” The Investment Professional magazine (Spring 2009)

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#3 Higher Correlations Since 1971

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#5 Lower Yields The average yields in chart below were 6.71% for 10-Year Treasurys, and 3.07% dividend yield for the S&P 500.

#6 Risky Outlook for U.S. Bonds and Funds? Wall Street Journal March 22, 2012 What Does the Prudent Investor Do Now? In The Wall Street Journal, Princeton University economist Burton Malkiel writes that at a yield of 2.25%, the 10-year U.S. Treasury is a sure loser and stocks are a safer choice. By Burton G. Malkiel … Bonds are the worst asset class for investors. Usually thought of as the safest of investments, they are anything but safe today. At a yield of 2.25%, the 10-year U.S. Treasury note is a sure loser. Even if the overall inflation rate is only 2.25% over the next decade, an investor who holds a 10-year Treasury until maturity will realize a zero real (after-inflation) return. If the investor sells prior to maturity, it will likely be for less than the face value of the note if the inflation rate rises. Even if the inflation rate remains moderate, interest rates are likely to rise to more normal levels as the economy continues to recover. Investors with long memories should recall that over the entire period from the 1940s until 1980, bonds were a horrible place to be. Given the likely trends, U.S. Treasurys and high quality bonds are likely to be extremely poor investments and are very risky. …

Annual Total Returns in Five Years

Long-term Corporate

Bonds

Long-term Government

Bonds Inflation1977 1.71% -0.69% 6.8%1978 -0.07% -1.18% 9.0%1979 -4.18% -1.23% 13.3%1980 -2.76% -3.95% 12.4%1981 -1.24% 1.86% 8.9%

Source: Ibbotson Assoc. SBBI Yearbook

Equity Mutual Funds - Net New Cash Flow

-$28

$152 $178$136 $160

$96

-$238

-$11 -$24

-$128

-$300

-$200

-$100

$0

$100

$200

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011

Sources: SIFMA, ICI

(in $

bill

ions

)

Bond Mutual Funds - Net New Cash Flow

$140

$31

-$11

$31$61

$109

$33

$375

$245

$119

-$100

$0

$100

$200

$300

$400

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011Sources: SIFMA, ICI

(in $

bill

ions

)

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#7 Less Liquidity During Stressful Market Periods

A U.S. GAO Report on the 2008-2009 financial crisis noted that -- “… Some plan representatives described significant difficulties in hedge fund and private equity investing related to limited liquidity and transparency, and the negative impact of the actions of other investors in the fund—sometimes referred to as co-investors. For example, representatives from one plan reported they were unable to cash out of their hedge fund investments due to discretionary withdrawal restrictions imposed by the fund manager, requiring them to sell some of their stock holdings at a severe loss in order to pay plan benefits.”

From: Highlights of GAO-12-324 “Recent Developments Highlight Challenges of Hedge Fund and Private Equity Investing.” (February 2012) (available at http://www.gao.gov/assets/590/588624.pdf).

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Coping with Investment Challenges

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16 Challenging Months Can volatility diversify and lessen portfolio volatility?

194%

150%

83%

25%

-51%

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

Oct-07

Dec-07

Feb-08

Apr-08

Jun-08

Aug-08

Oct-08

Dec-08

Feb-09

(Oct. 31, 2007 - Feb. 28, 2009) Sources: CBOE and Bloomberg

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VIX Short-TermFutures Idx S&P

VIX - Spot Volatility

OVX - CBOE CrudeOil Volatility Idx

Citigroup 30-yrTreasury

S&P 500

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Can Options Strategies Provide Aid in Dealing with Investment Challenges?

Add a small allocation to long stock index puts or long volatility instruments to help manage tail risk and lessen portfolio volatility (but be careful about costs and contango) Sell index options to gain gross premium income with a goal of boosting risk-adjusted returns for the portfolio (not as effective in managing tail risk).

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Simple Options Profit-and-Loss Diagrams

* The colored line reflects a position with both options and stock at expiration, while the straight grey line reflects a long stock position.

Long call gives the holder the right to buy the underlying security at a specified price for a certain, fixed period of time.

Protective put investor purchases a put (right to sell) while holding underlying security.

Buy-write investor buys a security and writes (sells) a covered call for income.

A collar investor owns securities, buys protective put(s), and writes covered call(s) for income.

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Index Options Capacity – First Quarter of 2013

CBOE 16

ETP Options Capacity – 1st Quarter of 2013

Source: CBOE

Options on Exchange-traded Products (ETPs) have physical settlement and (usually) smaller size than cash-settled index options

Options Product TickerPut

OptionsCall

Options OptionsPut/call Ratio

% Change in Volume from 1st Q 2012 to 1st Q 2013

SPDR S&P 500 ETF Trust SPY 294,832 152,227 447,060 1.94 -13.6%iShares Trust - Russell 2000 Index Fund IWM 66,907 19,488 86,395 3.43 -24.1%iPath S&P 500 VIX Short-Term Futures ETN VXX 38,364 29,520 67,885 1.30 11.0%PowerShares QQQ Trust QQQ 29,950 23,917 53,866 1.25 -51.9%SPDR Gold Trust GLD 13,081 17,580 30,660 0.74 -26.8%Financial Select SPDR XLF 16,414 10,831 27,246 1.52 -31.5%iShares Silver Trust SLV 8,167 13,144 21,311 0.62 -39.5%iShares MSCI Emerging Markets Index EEM 10,819 9,784 20,602 1.11 -31.9%iShares FTSE/Xinhua China Index Fund FXI 6,550 4,712 11,263 1.39 15.0%Market Vectors-Gold Miners ETF's GDX 3,373 6,101 9,474 0.55 -6.5%United States Oil Fund USO 4,875 4,115 8,990 1.18 -52.2%SPDR DJ Industrial Average ETF Trust DIA 4,704 3,641 8,345 1.29 -21.5%iShares Lehman 20+Year Treasury Bond Fund TLT 5,042 3,207 8,249 1.57 -41.3%UltraShort S&P500 ProShares SDS 1,700 6,067 7,766 0.28 -27.4%iShares MSCI EAFE Index Fund EFA 4,347 2,044 6,391 2.13 -1.9%

First Quarter of 2013

Leading CBOE Options on ETPs

Average Daily Volume on CBOE

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Capacity - Options on Single Stocks – Average Daily Volume at CBOE in Sept. 2012

17 Baidu BIDU 16,646 18 CATERPILLAR CAT 16,370 19 J C PENNY JCP 15,613 20 NOKIA CORP NOK 14,850 21 WELLS FARGO & CO WFC 14,845 22 YAHOO YHOO 14,562 23 Green Mountain Coffee Roasters GMCR 13,909 24 MORGAN STANLEY MS 13,636 25 Cliffs Natural Resources CLF 12,773 26 CHESAPEAKE ENERGY CORP. CHK 11,731 27 ALPHA NATURAL RESOURCES ANR 11,432 28 EXXON MOBIL CORP XOM 11,409 29 Questcor Pharmaceuticals Corp QCOR 11,107 30 AT & T T 10,956 31 PFIZER PFE 10,436 32 Qualcomm QCOM 10,269

Source: Options Clearing Corporation

1 Apple AAPL 228,792 2 BANK OF AMERICA CORP. BAC 113,422 3 Facebook FB 50,621 4 JPMORGAN CHASE & CO JPM 34,121 5 INTEL CORP INTC 32,345 6 MICROSOFT MSFT 31,961 7 FORD MOTOR COMPANY F 30,732 8 GENERAL ELECTRIC GE 27,205 9 CITIGROUP C 25,733 10 GOOGLE GOOG 22,123 11 RESEARCH IN MOTION LTD RIMM 22,103 12 CISCO SYSTEMS CSCO 21,463 13 AMERICAN INTERNATIONAL GROUP AIG 20,629 14 FREEPORT MCMORAN COPPER - CL B FCX 20,151 15 AMAZON COM AMZN 17,434 16 ORACLE SYSTEMS ORCL 16,918

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CBOE Volatility Index® (VIX ®) (spot index is not investable)

CBOE Volatility Index® (VIX®) Avg. Daily Closing Value Per Year

18.4 15.4 12.7 13.9 12.4 16.522.4 24.4 23.3 25.8 27.3

22.015.5 12.8 12.8

17.5

32.7 31.522.5 24.225.623.1

0

10

20

30

40

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

(1990 - 2011) Sources: Bloomberg and CBOE www.cboe.com/VIX

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Volatility Indexes (also for Europe, Asia, and Australia)

www.cboe.com/volatility

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Volatility Skew for 1-mo. ETF Put Options on March 12, 2013 (purple) and April 12, 2013 (blue) (Source: Bloomberg on April 12, 2013)

GLD ETF (Gold)

USO ETF (Oil)

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2004 – 43-page Paper by Professors Bollen and Whaley For S&P 500 options category 1 – difference of 9.58 percentage points

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Big Weekly Moves for S&P 500 Index

Weeks in Which the S&P 500 Rose or Fell by More Than 8% (from Jan. 7, 2000 through August 24, 2012) with comparison to other indexes

Week ending

S&P 500 Russell 2000

MSCI EAFE (US$)

S&P GSCI

30-yr Treasury

Bond

S&P 500 VIX Mid-term Fut Idx

VIX (spot)

10-Oct-2008 -18.1% -15.6% -21.7% -14.7% -0.3% 9.4% 55.0%21-Sep-2001 -11.6% -14.0% -7.0% -9.8% -3.2% 34.0%14-Apr-2000 -10.5% -16.4% -3.5% 0.1% -0.9% 37.3%3-Oct-2008 -9.3% -12.1% -7.6% -11.2% 4.1% 9.1% 29.9%

21-Nov-2008 -8.3% -10.9% -10.3% -9.1% 9.7% 13.5% 9.6%19-Jul-2002 -8.0% -6.5% -2.9% 1.4% -0.1% 15.9%

31-Oct-2008 10.5% 14.2% 8.9% 5.0% -4.4% -1.5% -24.3%13-Mar-2009 10.8% 12.1% 6.0% 0.6% -2.9% -6.0% -14.1%28-Nov-2008 12.1% 16.4% 11.9% 6.0% 3.2% -9.7% -23.9%

Sources: Bloomberg and CBOE Caution: Past performance is not predictive of future returns. Most of the indexes above (except VIX) are total return indexes with dividends reinvested.

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Key Specifications - VIX Futures and Options

Futures Options Exchange CFE CBOE

Ticker VX VIX

Multiplier $1,000 (and $100 in March 2009) $100 Last Day of Trading Generally on Tuesday, the day before expiration date.

Expiration Date Generally on Wednesday 30 days prior to the 3rd Friday of calendar month immediately following the expiring month.

CBOE 24

VIX Spot and Futures (Feb. 2011 – mid-June 2011)

Past performance does not guarantee future results. For financial professional use only. Not for public distribution.

VIX Futures - Daily Volume

-

50,000

100,000

150,000

1-Feb-2011 1-Mar-2011 1-Apr-2011 1-May-2011 1-Jun-2011

(Feb. 1, 2011 - June 20, 2011) Source: CBOE www.cboe.com/VIX

VIX Spot, VIX Sept. '11 Futures, and VIX Near-term Futures

10

15

20

25

30

1-Feb-2011 1-Mar-2011 1-Apr-2011 1-May-2011 1-Jun-2011

(Feb. 1, 2011 - June 15, 2011) Source: CBOE www.cboe.com/VIX

End-

of-d

ay p

rice

U (Sep 11)

M (Jun 11)

K (May 11)

J (Apr 11)

H (Mar 11)

G (Feb 11)

VIX Spot

CBOE 25

UMass Study on Diversification with VIX Futures & Options

Portfolio with 10% allocation to VIX futures (in black) ended at $94.37.

Portfolio with no allocation to VIX futures ended at $85.18 (with 54% higher standard deviation).

From: “VIX Futures and Options - A Case Study of Portfolio Diversification During the 2008 Financial Crisis” (published in The Journal of Alternative Investments in 2009) by Edward Szado, CFA, Research Analyst at the Center for International Securities and Derivatives Markets (CISDM), University of Massachusetts, Amherst available at www.cboe.com/VIX

CBOE 26

CBOE Performance Benchmark Indexes

Index Ticker Introduced Data beginning Website

CBOE S&P 500 BuyWrite BXMSM 2002

June 30, 1986

www.cboe.com/BXM

CBOE S&P 500 2%OTM BuyWrite

BXYSM 2006 June 1, 1988

www.cboe.com/BXY

CBOE Russell 2000 BuyWrite

BXRSM 2006 Dec. 29, 2000

www.cboe.com/BXR

CBOE DJIA BuyWrite BXDSM 2005

Oct. 16, 1997

www.cboe.com/BXD

CBOE NASDAQ-100

BuyWrite

BXNSM 2005 Dec. 30, 1994

www.cboe.com/BXN

CBOE S&P 500 95-110 Collar CLLSM 2008 June 30, 1986 www.cboe.com/CLL

CBOE S&P 500 PutWrite PUTSM 2007 June 30, 1986 www.cboe.com/PUT

Bloomberg provides historical data for all seven indexes.

CBOE 27

CBOE S&P 500 BuyWrite Index (BXM)

Benchmark for strategy -- buy portfolio of S&P 500 stocks write (sell) cash-settled S&P 500 call options every 3rd Friday for income

Announced in 2002 – study by Duke U. Data history back to June 30, 1986 “Innovative Index of the Year” in 2004 More than $25 billion in buywrite funds www.cboe.com/BXM

CBOE 28 28

Studies on Options-based Benchmark Indexes

Asset Consulting Group. Key Tools for Hedging and Tail Risk Management (February 2012) Asset Consulting Group. An Analysis of Index Option Writing for Liquid Enhanced Risk-Adjusted Returns (January 2012) Hewitt EnnisKnupp. The CBOE S&P 500 BuyWrite Index (BXM) - A Review of Performance (2012) Cambridge Associates, LLC. Highlights from the Benefits of Selling Volatility (2011) Russell Investments. Capturing the Volatility Premium through Call Overwriting. (December 2010) Ennis Knupp & Associates. Evaluating the Performance Characteristics of the CBOE S&P 500 PutWrite Index (Dec. 2008) Fund Evaluation Group. Study of BXD and VXD Indexes (2007)

• Callan Associates. An Historical Evaluation of the CBOE S&P 500 BuyWrite Index (BXM). (Oct. 2006).

• Goldman Sachs. "Finding Alpha via Covered Index Writing," Financial Analysts Journal. (September/October 2006).

• Ibbotson Associates. Feldman, Barry, and Dhruv Roy, "Passive Options-Based Investment Strategies: The Case of the CBOE S&P 500 BuyWrite Index." The Journal of Investing. (Summer 2005).

• Duke University. Whaley, Robert. "Risk and Return of the CBOE BuyWrite Monthly Index" The Journal of Derivatives (Winter 2002).

www.cboe.com/benchmarks

CBOE 29

Excerpt from Jan. 2012 paper by Asset Consulting Group –

An Analysis of Index Option Writing for Liquid Enhanced Risk-Adjusted Returns

PUT CBOE S&P 500 PutWrite Index BXM CBOE S&P 500 BuyWrite Index® CLL CBOE S&P 500 95-110 Collar Index Please read closely the last slide for important disclosures. Past performance is not guarantee of future results.

CBOE 30

Excerpt from Jan. 2012 paper by Asset Consulting Group –

An Analysis of Index Option Writing for Liquid Enhanced Risk-Adjusted Returns

CBOE 31

Implied vs. Realized Volatility

Excerpted from 2012 paper by Hewitt EnnisKnupp – “The CBOE S&P 500 BuyWrite Index (BXM) - A Review of Performance”

CBOE 32

Excerpt from Jan. 2012 paper by Asset Consulting Group –

An Analysis of Index Option Writing for Liquid Enhanced Risk-Adjusted Returns

CBOE 33

Premium Income Component

Excerpted from 2012 paper by Hewitt EnnisKnupp – “The CBOE S&P 500 BuyWrite Index (BXM) - A Review of Performance”

Cambridge Associates and the Short Strangle Strategy

“Over the past 20 years, a strategy of systematically selling out of the money puts and calls on the S&P 500 Index (a short strangle portfolio) would not only have soundly beaten equity returns with lower volatility, but also offered similar returns to the median hedge fund manager tracked by Cambridge Associates, albeit with slightly higher volatility (see chart …). Such a strategy would also have offered significantly better transparency and liquidity than most hedge funds.” From: Cambridge Associates. “Highlights from the Benefits of Selling Volatility” (2011) available at www.cboe.com/bencharks

CBOE 35

Returns and Volatility – Past Two Decades

PUT CBOE S&P 500 PutWrite Index BXM CBOE S&P 500 BuyWrite Index® BXY CBOE S&P 500 2% OTM BuyWrite Index CLL CBOE S&P 500 95-110 Collar Index Please read closely the last slide for important disclosures. Past performance is not guarantee of future results.

CBOE 36

Returns and Volatility – Past Two Decades

PUT CBOE S&P 500 PutWrite Index BXM CBOE S&P 500 BuyWrite Index® BXY CBOE S&P 500 2% OTM BuyWrite Index CLL CBOE S&P 500 95-110 Collar Index Please read closely the last slide for important disclosures. Past performance is not guarantee of future results.

CBOE 37

Pension Funds and BXM Index – Excerpts from a magazine article http://bit.ly/PensionsBXM-Trdrs-2011Dec –

Pensions Eye Buy-Writes Traders Magazine, December 2011 With crisis comes opportunity. That seems to be the message for the options industry as a group of public pension plans moves closer to incorporating options into their portfolios, most for the first time, in an attempt to squeeze out some of the volatility in their stock portfolios. The Santa Barbara County Employees Retirement System, the Hawaii Employees Retirement System, the Los Angeles Department of Water and Power Employees Retirement Plan, the Seattle City Employee Retirement System and the Alaska Retirement Management Board are all in various stages of adopting buy-write strategies benchmarked against the Chicago Board Options Exchange's BXM index. The total to be hedged by all five plans could reach more than $1 billion. … Benchmarking against the CBOE's BXM index is considered a relatively simple and transparent form of covered call writing as it involves selling a listed SPX option against a portfolio of S&P 500 stocks. In the past, the CBOE has funded studies that claim investors using a BXM strategy can come close to matching the performance of the S&P 500 over the long haul with only two-thirds of the volatility. …Clifton is one of a handful of money managers that specializes in overlays. Others are Rampart Investment Management in Boston, which is managing a program for Santa Barbara County; Gateway Investment Advisers, which won the Hawaii Employees mandate; market makers Gargoyle Group; and Capstone Asset Management. The big passive fund managers, Russell and State Street, have also recently entered the space. http://www.sourcemedia.com/ http://bit.ly/PensionsBXM-Trdrs-2011Dec

CBOE 38

Important Disclosures

Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of Characteristics and Risks of Standardized Options (the “ODD”). The ODD and supporting documentation for any claims, comparisons, recommendations, statistics or other technical data in these materials are available by calling 1-888-OPTIONS, or contacting CBOE at www.cboe.com/Contact. The information in these materials is provided solely for general education and information purposes and therefore should not be considered complete, precise, or current. Many of the matters discussed are subject to detailed rules, regulations, and statutory provisions which should be referred to for additional detail and are subject to changes that may not be reflected in these materials. No statement within this material should be construed as a recommendation to buy or sell a security or to provide investment advice. The CBOE S&P 500 BuyWrite Index (BXMSM), CBOE S&P 500 2% OTM BuyWrite Index (BXYSM), CBOE DJIA BuyWrite Index (BXDSM), CBOE Russell 2000 BuyWrite Index (BXRSM) and CBOE NASDAQ-100 BuyWrite Index (BXNSM) (the “Indexes”) are designed to represent proposed hypothetical buy-write strategies. Like many passive benchmarks, the Indexes do not take into account significant factors such as transaction costs and taxes. Transaction costs and taxes for a buy-write strategy could be significantly higher than transaction costs for a passive strategy of buying-and-holding stocks. Investors attempting to replicate the Indexes should discuss with their brokers possible timing and liquidity issues. Past performance does not guarantee future results. These materials contain comparisons, assertions, and conclusions regarding the performance of indexes based on backtesting, i.e., calculations of how the indexes might have performed in the past if they had existed. Backtested performance information is purely hypothetical and is provided in this document solely for informational purposes. The methodology of the Indexes is owned by Chicago Board Options Exchange, Incorporated (CBOE) may be covered by one or more patents or pending patent applications. Standard & Poor's®, S&P®, and S&P 500® are registered trademarks of The McGraw-Hill Companies, Inc. and are licensed for use by CBOE. "Dow Jones", "The Dow", "DJIA" and “Dow Jones Industrial Average” are trademarks of Dow Jones & Company, Inc. and have been licensed for use for certain purposes by CBOE. CBOE's options based on Dow Jones indexes and financial products based on the CBOE DJIA BuyWrite Index are not sponsored, endorsed, marketed or promoted by Dow Jones and Dow Jones makes no representations regarding the advisability of investing in such products. Nasdaq®, Nasdaq-100®, and Nasdaq-100 Index®, are trademarks of The Nasdaq Stock Market, Inc. (which with its affiliates is referred to as the "Corporations") and are licensed for use by CBOE. The CBOE NASDAQ-100 BuyWrite Index (the "BXN Index") is not derived, maintained, published, calculated or disseminated by the Corporations. CBOE Volatility Index®, VIX®, CBOE® and Chicago Board Options Exchange® are registered trademarks and BXM, BXD, BXN and BXY are servicemarks of CBOE. Copyright © 2013 Chicago Board Options Exchange, Incorporated. All Rights Reserved.