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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in CBOE S&P 500 PutWrite Index, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Returns By Period
CBOE S&P 500 PutWrite Index (^PUT) has returned -1.39% so far this year and 10.80% over the past 12 months.
CBOE S&P 500 PutWrite Index
- 1D
- 1.64%
- 1M
- -2.62%
- YTD
- -1.39%
- 6M
- 3.38%
- 1Y
- 10.80%
- 3Y*
- 10.76%
- 5Y*
- —
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since Dec 14, 2022, ^PUT's average daily return is +0.05%, while the average monthly return is +0.93%. At this rate, your investment would double in approximately 6.2 years.
Historically, 78% of months were positive and 22% were negative. The best month was Nov 2024 with a return of +4.5%, while the worst month was Mar 2025 at -4.8%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 2 months.
On a daily basis, ^PUT closed higher 68% of trading days. The best single day was Apr 9, 2025 with a return of +8.8%, while the worst single day was Apr 4, 2025 at -5.7%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.20% | 0.07% | -2.62% | -1.39% | |||||||||
| 2025 | 2.00% | 0.03% | -4.75% | -1.63% | 0.96% | 3.20% | 1.20% | 1.40% | 1.89% | 2.21% | 1.46% | 1.10% | 9.19% |
| 2024 | 1.43% | 1.65% | 1.85% | -0.77% | 1.46% | 1.57% | 1.59% | 2.39% | 1.50% | -0.48% | 4.54% | -0.10% | 17.84% |
| 2023 | 3.60% | 0.05% | 2.99% | 1.41% | 1.44% | 2.47% | 1.59% | -2.35% | -2.09% | 0.13% | 3.01% | 1.39% | 14.32% |
| 2022 | -0.98% | -0.98% |
Benchmark Metrics
CBOE S&P 500 PutWrite Index has an annualized alpha of 2.44%, beta of 0.57, and R² of 0.76 versus S&P 500 Index. Calculated based on daily prices since December 15, 2022.
- This index participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (53.65%) than losses (42.63%) — typical of diversified or defensive assets.
- This index generated an annualized alpha of 2.44% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
- Beta of 0.57 indicates this index moves significantly less than S&P 500 Index — a genuinely defensive profile with reduced participation in both market rallies and downturns.
- Alpha
- 2.44%
- Beta
- 0.57
- R²
- 0.76
- Upside Capture
- 53.65%
- Downside Capture
- 42.63%
Return for Risk
Risk / Return Rank
^PUT ranks 74 for risk / return — better than 74% of indices on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for CBOE S&P 500 PutWrite Index (^PUT) and compare them to a chosen benchmark (S&P 500 Index).
| ^PUT | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.79 | 0.90 | -0.10 |
Sortino ratioReturn per unit of downside risk | 1.26 | 1.39 | -0.13 |
Omega ratioGain probability vs. loss probability | 1.27 | 1.21 | +0.06 |
Calmar ratioReturn relative to maximum drawdown | 2.94 | 1.40 | +1.54 |
Martin ratioReturn relative to average drawdown | 14.94 | 6.61 | +8.34 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore ^PUT risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the CBOE S&P 500 PutWrite Index. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the CBOE S&P 500 PutWrite Index was 15.06%, occurring on Apr 8, 2025. Recovery took 109 trading sessions.
The current CBOE S&P 500 PutWrite Index drawdown is 3.11%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -15.06% | Feb 21, 2025 | 33 | Apr 8, 2025 | 109 | Sep 12, 2025 | 142 |
| -5.66% | Aug 1, 2023 | 63 | Oct 27, 2023 | 42 | Dec 28, 2023 | 105 |
| -4.96% | Jul 23, 2024 | 10 | Aug 5, 2024 | 8 | Aug 15, 2024 | 18 |
| -4.72% | Feb 12, 2026 | 32 | Mar 27, 2026 | — | — | — |
| -3.61% | Mar 7, 2023 | 5 | Mar 13, 2023 | 6 | Mar 21, 2023 | 11 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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