CBOE CMBO Index return

M

MarketRisk

Hi all,
I understand that the CMBO index tracks the return of a monthly-rolled SPX covered combo strategy, therefore should be 2x short SPX exposure on the downside. However, the index return is similar to SPX return during Feb-Mar period of this year when the SPX index had a massive drawdown. For example, if the SPX index was down -30%, I would expect CMBO index will be down closer -60%, slightly lower since it will get some offset from the options premium received. But the return data show around -29% return. What am I missing?

Thanks in advance
 
Didn't look at it too closely, but I believe that both parts of the combo (selling covered calls and cash secured puts) each have the performance similar to the SPX index itself, with some justifiable variations. So if each one performs similar to SPX then adding the two together should not perform much differently. You may be missing that they're based on twice the cash, not the same cash as a single covered call strategy would utilize, or a single secured put strategy would employ - so that each part of the strategy maintains its own risk and performance, without doubling it. (?) Just a hunch.
 
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