Cboe Russell 2000 Putwrite Index (PUTR)

The Cboe Russell 2000 PutWrite Index^SM (PUTR) tracks the value of a hypothetical portfolio of securities (PUTR portfolio) that yields a buffered exposure to Russell 2000^® stock returns. The PUTR portfolio is composed of an investment of $K in one-month Treasury bills and of a short position in an at-the-money puts on the Russell 2000 Index (RUT put), where K is the strike price of the put option.

The PUTR portfolio is rebanced monthly, typically on the third Friday of the month when  RUT options expire. A new RUT put is then sold.

Resources

• Cboe PutWrite Indices Methodology
• PUTR Historical Price Data
• Click here to see the complete roll data.

Cash-Secured PutWrite Strategy

Goals

Goals of cash-secured index putwrite strategies may include: (1) improve income from a cash or cash equivalent holding, and (2) receive upfront premium income in exchange for potential drawdown.

Strategy

To implement an index cash-secured putwrite strategy: (1) sell index put options, and (2) hold cash or cash equivalents (e.g., Treasury bills) to fully collateralize the short options position, in an amount equal to the maximum possible loss of the short put position.

Comments

The strategy (1) is often used to boost income from a holding of Treasury bills, (2) usually has a lower risk than a related stock index, (3) tends to outperform a related stock index when the stock markets are in range-bound or bearish regimes, (e.g., in 2008 and 2022), and underperform in bull market regimes (from 2012 to 2014, and in 2019).