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Performance
^PUT Performance Chart
CBOE S&P 500 PutWrite Index (^PUT) is up 3.6% since the beginning of the year. ^PUT is currently trading at $3,455 per share. Investors who bought $1,000 worth of ^PUT shares 5 years ago would now be looking at an investment worth $1,555.
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Returns By Period
CBOE S&P 500 PutWrite Index (^PUT) has returned 3.55% so far this year and 15.64% over the past 12 months. Over the last ten years, ^PUT has returned 8.30% per year, falling short of the S&P 500 Index benchmark, which averaged 13.53% annually.
CBOE S&P 500 PutWrite Index
- 1D
- 1.26%
- 1M
- 0.87%
- YTD
- 3.55%
- 6M
- 4.23%
- 1Y
- 15.64%
- 3Y*
- 10.99%
- 5Y*
- 9.23%
- 10Y*
- 8.30%
Benchmark (S&P 500 Index)
- 1D
- 1.75%
- 1M
- -0.09%
- YTD
- 8.02%
- 6M
- 7.15%
- 1Y
- 22.78%
- 3Y*
- 19.45%
- 5Y*
- 11.73%
- 10Y*
- 13.53%
^PUT Monthly Returns History
Based on dividend-adjusted daily data since Aug 2, 1996, ^PUT's average daily return is +0.04%, while the average monthly return is +0.72%. At this rate, an investment would double in approximately 8.1 years.
Historically, 73% of months were positive and 27% were negative. The best month was Oct 2011 with a return of +9.0%, while the worst month was Oct 2008 at -17.7%. The longest winning streak lasted 18 consecutive months, and the longest losing streak was 4 months.
On a daily basis, ^PUT closed higher 64% of trading days. The best single day was Mar 13, 2020 with a return of +35.3%, while the worst single day was Mar 16, 2020 at -28.4%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.20% | 0.07% | -2.32% | 2.99% | 2.25% | -0.59% | 3.55% | ||||||
| 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 | -2.37% | 0.21% | 3.97% | -4.18% | -1.78% | -3.14% | 3.46% | -4.28% | -5.91% | 4.56% | 2.65% | -0.43% | -7.66% |
| 2021 | 0.24% | 1.42% | 4.26% | 1.00% | 2.16% | 2.21% | 1.08% | 2.05% | -1.24% | 4.57% | -1.36% | 3.69% | 21.79% |
Benchmark Metrics
CBOE S&P 500 PutWrite Index has an annualized alpha of 3.04%, beta of 0.64, and R2 of 0.65 versus S&P 500 Index. Calculated based on daily prices since August 02, 1996.
- This index participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (59.71%) than losses (52.70%) - typical of diversified or defensive assets.
- This index generated an annualized alpha of 3.04% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- Beta of 0.64 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
- 3.04%
- Beta
- 0.64
- R²
- 0.65
- Upside Capture
- 59.71%
- Downside Capture
- 52.70%
Return for Risk
Risk / Return Rank
^PUT ranks 91 for risk / return — in the top 91% of indices on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for CBOE S&P 500 PutWrite Index (^PUT) and compare them to S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ^PUT | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.58 | ||
| Sortino ratioReturn per unit of downside risk | +0.88 | ||
| Omega ratioGain probability vs. loss probability | 1.59 | 1.34 | +0.25 |
| Calmar ratioReturn relative to maximum drawdown | 3.33 | 2.52 | +0.81 |
| Martin ratioReturn relative to average drawdown | 17.57 | 11.31 | +6.26 |
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 37.09%, occurring on Mar 9, 2009. Recovery took 419 trading sessions.
The current CBOE S&P 500 PutWrite Index drawdown is 0.84%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Financial crisis2007–2009 | -37.09%Mar 2009 | 9mo 23d | 1y 8mo | 2y 5moMay 2008 - Nov 2010 |
Dot-com crash2000–2002 | -31.32%Oct 2002 | 1y 7mo | 1y 6mo | 3y 2moFeb 2001 - Apr 2004 |
COVID crash2020 | -30.04%Mar 2020 | 7d | 10mo 3d | 10mo 10dMar 2020 - Jan 2021 |
COVID crash2020 | -24.92%Mar 2020 | 20d | 1d | 21dFeb 2020 - Mar 2020 |
Bear market2022 | -16.01%Sep 2022 | 5mo 12d | 8mo 15d | 1y 1moApr 2022 - Jun 2023 |
Drawdown Indicators
| ^PUT | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -37.09% | -56.78% | +19.69% |
Max Drawdown (1Y)Largest decline over 1 year | -4.72% | -9.10% | +4.38% |
Max Drawdown (3Y)Largest decline over 3 years | -15.06% | -18.90% | +3.84% |
Max Drawdown (5Y)Largest decline over 5 years | -16.01% | -25.43% | +9.42% |
Max Drawdown (10Y)Largest decline over 10 years | -30.04% | -33.92% | +3.88% |
Current DrawdownCurrent decline from peak | -0.84% | -2.83% | +1.99% |
Average DrawdownAverage peak-to-trough decline | -4.23% | -10.72% | +6.49% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.89% | 2.02% | -1.13% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Build a portfolio with ^PUT
Add CBOE S&P 500 PutWrite Index to a portfolio and analyze allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
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