CBOE S&P 500 PutWrite Index (^PUT)
Share Price Chart
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Performance
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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Return
CBOE S&P 500 PutWrite Index had a return of 10.00% year-to-date (YTD) and 6.11% in the last 12 months. Over the past 10 years, CBOE S&P 500 PutWrite Index had an annualized return of 6.89%, while the S&P 500 had an annualized return of 9.89%, indicating that CBOE S&P 500 PutWrite Index did not perform as well as the benchmark.
| Period | Return | Benchmark |
|---|---|---|
| 1 month | 2.04% | 2.09% |
| Year-To-Date | 10.00% | 9.53% |
| 6 months | 9.49% | 3.16% |
| 1 year | 6.11% | 2.54% |
| 5 years (annualized) | 5.79% | 9.02% |
| 10 years (annualized) | 6.89% | 9.89% |
Monthly Returns Heatmap
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 3.60% | 0.05% | 2.99% | 1.41% | ||||||||
| 2022 | 2.65% | -0.43% |
Risk-Adjusted Performance
This table presents a comparison of risk-adjusted performance metrics for CBOE S&P 500 PutWrite Index (^PUT) and S&P 500 (^GSPC). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer Index | |
|---|---|---|---|---|---|
^PUT CBOE S&P 500 PutWrite Index | 0.56 | ||||
^GSPC S&P 500 | 0.02 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below shows the maximum drawdowns of the CBOE S&P 500 PutWrite Index. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.
The maximum drawdown since January 2010 for the CBOE S&P 500 PutWrite Index is 28.93%, recorded on Mar 23, 2020. It took 201 trading sessions for the portfolio to recover.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -28.93% | Feb 21, 2020 | 22 | Mar 23, 2020 | 201 | Jan 7, 2021 | 223 |
| -16.01% | Apr 21, 2022 | 113 | Sep 30, 2022 | — | — | — |
| -15.52% | Oct 4, 2018 | 56 | Dec 24, 2018 | 245 | Dec 13, 2019 | 301 |
| -8.77% | Aug 18, 2015 | 6 | Aug 25, 2015 | 48 | Nov 2, 2015 | 54 |
| -8.23% | Aug 16, 2011 | 34 | Oct 3, 2011 | 9 | Oct 14, 2011 | 43 |
Volatility Chart
The current CBOE S&P 500 PutWrite Index volatility is 2.04%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.