Buy-Write' Is Looking Attractive A popular investment strategy involving the purchase of stocks and the sale of options has generated the highest premium in two decades, according to the Chicago Board Oplons Exchange. Known as a "buy-write," the strategy would have produced a gross monthly premium of 8.1% in November, marking the highest percentage on record since 1988, It generated the second-highest premium, 7.1%, in October. The CBOE tracks a hypothetical version of this strategy via its BXM Index, measuring the performance of a transaction involving the sale of calls against the Standard & Poor's 500-stock index. Calls convey the right to buy a stock at a fixed price, so sellers are allowing third parles to buy the stock from them at that price On Nov. 21, when the premium was most recently calculated, the BXM assumed the sale of December 750 calls in the S&P 500, against a position in that index The goal of the buy-write is to sell calls that eventually expire worthless. As a result, the strategy works well in most types of markets, except robustly bull markets. The transaction can generate juicy premiums because the prices of oplons are determined in part by volatility in the stock market, and volatility has climbed to an all-!me high "When you write [or sell] calls 12 months a year, you're taking in a lot of premium," said Ma#hew Moran, a vice president at CBOE. "And right now, people are saying, Hey, give me anything. In addition to calculating premiums, the BXM also tracks the overall performance of the buy-write strategy and accounts for increases and decreases in the S&P 500 itself. According to CBOE, the strategy generated an average annualized return of 9.2% between June 30, 1986, and Oct. 31 , 2008, During the same time period, the S&P 500 index produced an annualized return of 8.7%