Wednesday, April 7, 2021

Financial Products News #2021 - 13
Nasdaq to Begin Dissemination of New Indexes on GIDS and GIW, Effective April 9, 2021

What are the new Indexes?

BXN: The Cboe NASDAQ-100 BuyWrite Index (BXN) measures the total rate of return of a NASDAQ-100 covered call strategy. This strategy (“BXN covered call strategy”) consists of holding a portfolio indexed to the NASDAQ-100 and selling a succession of one-month at-the-money NASDAQ-100 (NDX) call options listed on the PHLX exchange. The BXN index is based on the cumulative gross rate of return of this strategy since the inception of the index, December 30, 1994, when it was set to an initial value of 100.00. The BXN Index does not use contributed input data, and all of the input data is readily available via public sources. The BXN Index is non-significant, as defined by EU Regulation 2016/1011 (“EU Benchmark Regulation” or “EU BMR”).

BXNT: The Cboe NASDAQ-100 BuyWrite V2 Index (BXNT) measures the total rate of return of a NASDAQ-100 covered call strategy. This strategy (“BXNT covered call strategy”) consists of holding a portfolio indexed to the NASDAQ-100 and selling a succession of one-month at-the-money NASDAQ-100 (NDX) call options listed on the PHLX exchange. The BXNT index is based on the cumulative gross rate of return of this strategy since the inception of the index. The BXNT Index does not use contributed input data, and all of the input data is readily available via public sources. The BXNT Index is non-significant, as defined by EU Regulation 2016/1011 (“EU Benchmark Regulation” or “EU BMR”).

BXNTU: The Cboe NASDAQ-100 BuyWrite V2 UCITS Index (BXNTU) measures the total rate of return of a NASDAQ-100 covered call strategy. This strategy (“BXNTU covered call strategy”) consists of holding a portfolio indexed to the NASDAQ-100 and selling a succession of one-month at-the-money NASDAQ-100 (NDX) call options listed on the PHLX exchange. The BXNTU Index is similar in design to the Cboe NASDAQ-100 BuyWrite V2 Index (BXNT). However, the difference in methodology is as follows: dividends are only reinvested at 85% for tax withholdings consideration. The BXNTU index is based on the cumulative gross rate of return of this strategy since the inception of the index. The BXNTU Index does not use contributed input data, and all input data is readily available via public sources. The BXNTU Index is non-significant, as defined by EU Regulation 2016/1011 (“EU Benchmark Regulation” or “EU BMR”).

BXNH: The Cboe NASDAQ-100 Half BuyWrite V2 Index (BXNH) measures the total rate of return of a NASDAQ-100 covered call strategy. This strategy (“BXNH covered call strategy”) consists of holding a portfolio indexed to the NASDAQ-100 and selling a succession of one-month at-the-money NASDAQ-100 (NDX) call options listed on the PHLX exchange. The BXNH Index is similar in design to the Cboe NASDAQ-100 BuyWrite V2 Index (BXNT). However, the difference in methodology is as follows: on the Roll Day, the strategy only writes half a unit of an ATM monthly NDX Call option while the long NDX Index position remains unchanged. The BXNH index is based on the cumulative gross rate of return of this strategy since the inception of the index. The BXNH Index does not use contributed input data, and all input data is readily available via public sources. The BXNH Index is non-significant, as defined by EU Regulation 2016/1011 (“EU Benchmark Regulation” or “EU BMR”).

How are the Indexes disseminated?

On Friday, April 9, 2021, data recipients will receive real-time index information from the proprietary GIDS data feed with the following attributes:

In addition to the real-time tick messages, Nasdaq will support the following directory messages on GIDS:

• Equities Summary (Message Type F): Disseminated at the end of the U.S. and European trading session to relay the summary of the current trading day's activity for an equity index.
• Index Directory (Message Type R): Disseminated at the start of each day to relay basic index information.

Will the components and weightings data be made available?

Yes. For access and more information on the Index on the Nasdaq Global Index Watch (GIW) and Nasdaq Global Index FlexFile Delivery (GIFFD), please contact Nasdaq Index Services.

Where can I find additional information?

For questions about Nasdaq index products, please visit Global Index Watch or contact Index Services. For additional information about Cboe Global Indices, please email IndexOperations@cboe.com or visit their website.