PUT Index
PUT Index Dashboard, PUT Dashboard
Index Dashboard
- PUT
Cboe S&P 500 PutWrite Index
- Overview
- Performance
Cboe S&P 500 PutWrite Index (PUT)
The Cboe S&P 500 PutWrite IndexSM (PUT) tracks the value of a hypothetical portfolio of securities (PUT portfolio) that yields a buffered exposure to S&P 500 stock returns. The PUT portfolio is composed of one- and three-month Treasury bills and of a short position in at-the-money put options on the S&P 500 index (SPX puts). The number of puts sold is selected to ensure that the value of the portfolio does not become negative when the portfolio is rebalanced.
The PUT portfolio is rebalanced monthly, typically on the third Friday of the month when SPX options expire. A new number of SPX puts is then sold.
Resources
- Cboe S&P 500 PutWrite Indices Methodology
- Cboe S&P 500 PutWrite Index (PUT) Fact Sheet (with data from June 1986 through July 2017) - 2-page PDF
- PUT historical daily data since January 2007 - (Updated Daily)
- Click here to see the complete roll data.
Cboe PUT Index Roll Information - March 21, 2025
| Index | Name | Reference Price | New Option Strike Price | New Option VWAP Price | Number of Puts Sold | TBill Discount Rates |
|---|---|---|---|---|---|---|
| PUT | Cboe S&P 500 PUT Index | 5637.51 | 5635 | 110.1 | 0.5376507967463771 | 1M 4.22 3M 4.21 |
Cboe PUT Index Roll Information - February 21, 2025
| Index | Name | Reference Price | New Option Strike Price | New Option VWAP Price | Number of Puts Sold | TBill Discount Rates |
|---|---|---|---|---|---|---|
| PUT | Cboe S&P 500 PUT Index | 6081.8 | 6080 | 74.3 | 0.5270506179300278 | 1M 4.25 3M 4.21 |
Cboe PUT Index Roll Information - January 17, 2025
| Index | Name | Reference Price | New Option Strike Price | New Option VWAP Price | Number of Puts Sold | TBill Discount Rates |
|---|---|---|---|---|---|---|
| PUT | Cboe S&P 500 PUT Index | 6002.99 | 6000 | 79.3 | 0.5257960262834298 | 1M 4.24 3M 4.41 |
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).