As investors have struggled to cope with bear markets over the past decade, more attention has been focused on alternative investments and tools that can be used to achieve the goals of managing portfolio risk, increasing income, and enhancing long-term risk-adjusted returns. This presentation discusses a number of risk-management strategies and related benchmark indices, including the protective put, the buy-write, the collateralized put-write, the protective collar, and the use of futures and options on the Chicago Board Options Exchange Volatility Index (VIX) that measures implied volatility. Twenty-two years of historical data show that certain options-based benchmark indices have generated attractive risk-adjusted returns, with stock-like returns and bond-like volatility. A key source of return for options writers has been a persistence of “overpricing” for index options. The presentation will also review past studies by Duke University, EnnisKnupp, Ibbotson Associates, and Callan Associates, and it will explore the benefits and disadvantages of key options strategies.