Benchmark for Option Writing CTAs (or ROA's)

Both Barclays and JPM used to do an equity option - standardized - cover write benchmark. I don't subscribe anymore, but it used to be done on the individual names in the S and P 100. Vastly different outcomes than when you benchmark to a cash-settled index. The devil is in the details. Make a friend there or hit one of their conferences. Bloom may carry it - I'd have to look.
 
ajacobson said:
Both Barclays and JPM used to do an equity option - standardized - cover write benchmark. I don't subscribe anymore, but it used to be done on the individual names in the S and P 100. Vastly different outcomes than when you benchmark to a cash-settled index. The devil is in the details. Make a friend there or hit one of their conferences. Bloom may carry it - I'd have to look.
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When was JPM publishing this benchmark?
 
Last time I saw it was about 2010. They did an entire series as "hedged equities as an asset class." My buddy was an MD of the group.
 
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