In 2006 Callan Associates published a study of the CBOE S&P 500 Buy Write Index, the BXM.
Based on their study, they concluded that the buy write strategy generated slightly superior returns with two thirds the volatility of the S&P 500. While the strategy underperforms in sharply rising markets, it tends to outperform in down or flat markets.
Click here to see the study by Callan Associates
Option trading is not suitable for all investors. Investors should read and understand the Characteristics and Risks of Standardized Options.