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CBOE S&P 500 PutWrite Index (^PUT)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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CBOE S&P 500 PutWrite Index

Popular comparisons: ^PUT vs. SPY

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.


150.00%200.00%250.00%300.00%350.00%December2024FebruaryMarchAprilMay
164.69%
340.70%
^PUT (CBOE S&P 500 PutWrite Index)
Benchmark (^GSPC)

S&P 500

Returns By Period

CBOE S&P 500 PutWrite Index had a return of 5.68% year-to-date (YTD) and 10.28% in the last 12 months. Over the past 10 years, CBOE S&P 500 PutWrite Index had an annualized return of 6.68%, while the S&P 500 had an annualized return of 10.87%, indicating that CBOE S&P 500 PutWrite Index did not perform as well as the benchmark.


PeriodReturnBenchmark
Year-To-Date5.68%11.56%
1 month2.61%7.13%
6 months7.65%17.26%
1 year10.28%26.92%
5 years (annualized)8.47%13.56%
10 years (annualized)6.68%10.87%

Monthly Returns

The table below presents the monthly returns of ^PUT, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.43%1.65%1.85%-0.77%5.68%
20233.60%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%
20210.24%1.42%4.26%1.00%2.16%2.21%1.08%2.05%-1.24%4.57%-1.36%3.69%21.79%
2020-1.09%-7.38%-13.42%5.23%4.44%1.04%4.10%2.02%1.06%-2.94%8.86%2.23%2.13%
20192.77%1.40%1.21%1.58%-3.75%4.77%1.43%-1.74%0.90%2.33%1.12%0.94%13.51%
20180.90%-2.16%-1.34%2.05%1.99%0.16%2.60%1.54%0.22%-5.59%1.68%-7.56%-5.93%
20171.96%1.18%0.50%0.95%1.12%0.56%1.02%-0.02%0.76%0.58%1.32%0.42%10.85%
2016-4.64%1.52%2.01%0.49%1.15%1.74%1.28%0.78%0.30%0.21%2.38%0.45%7.77%
2015-1.93%2.64%-0.22%1.83%1.09%-0.31%2.85%-4.03%-0.18%4.58%0.60%-0.42%6.40%
2014-1.91%4.14%0.76%0.79%1.71%0.30%-0.55%3.55%-1.08%-2.44%0.33%0.80%6.38%
20132.18%0.44%1.61%1.16%-0.56%0.06%1.42%-1.41%1.11%3.28%1.07%1.34%12.28%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ^PUT is 74, suggesting that the investment has average results relative to other indices in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of ^PUT is 7474
^PUT (CBOE S&P 500 PutWrite Index)
The Sharpe Ratio Rank of ^PUT is 6767Sharpe Ratio Rank
The Sortino Ratio Rank of ^PUT is 6262Sortino Ratio Rank
The Omega Ratio Rank of ^PUT is 9191Omega Ratio Rank
The Calmar Ratio Rank of ^PUT is 8383Calmar Ratio Rank
The Martin Ratio Rank of ^PUT is 6565Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for CBOE S&P 500 PutWrite Index (^PUT) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


^PUT
Sharpe ratio
The chart of Sharpe ratio for ^PUT, currently valued at 1.95, compared to the broader market-1.000.001.002.003.001.95
Sortino ratio
The chart of Sortino ratio for ^PUT, currently valued at 2.63, compared to the broader market-2.00-1.000.001.002.003.004.002.63
Omega ratio
The chart of Omega ratio for ^PUT, currently valued at 1.43, compared to the broader market0.801.001.201.401.601.43
Calmar ratio
The chart of Calmar ratio for ^PUT, currently valued at 1.95, compared to the broader market0.001.002.003.004.005.001.95
Martin ratio
The chart of Martin ratio for ^PUT, currently valued at 6.07, compared to the broader market0.005.0010.0015.0020.006.07
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.34, compared to the broader market-1.000.001.002.003.002.34
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.31, compared to the broader market-2.00-1.000.001.002.003.004.003.31
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.41, compared to the broader market0.801.001.201.401.601.41
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.90, compared to the broader market0.001.002.003.004.005.001.90
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.93, compared to the broader market0.005.0010.0015.0020.008.93

Sharpe Ratio

The current CBOE S&P 500 PutWrite Index Sharpe ratio is 1.95. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of CBOE S&P 500 PutWrite Index with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio1.001.502.002.503.00December2024FebruaryMarchAprilMay
1.95
2.30
^PUT (CBOE S&P 500 PutWrite Index)
Benchmark (^GSPC)

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%December2024FebruaryMarchAprilMay00
^PUT (CBOE S&P 500 PutWrite Index)
Benchmark (^GSPC)

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 28.93%, occurring on Mar 23, 2020. Recovery took 201 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-28.93%Feb 21, 202022Mar 23, 2020201Jan 7, 2021223
-16.01%Apr 21, 2022113Sep 30, 2022174Jun 12, 2023287
-15.52%Oct 4, 201856Dec 24, 2018245Dec 13, 2019301
-8.77%Aug 18, 20156Aug 25, 201548Nov 2, 201554
-8.23%Aug 16, 201134Oct 3, 20119Oct 14, 201143

Volatility

Volatility Chart

The current CBOE S&P 500 PutWrite Index volatility is 1.23%, 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.


0.00%1.00%2.00%3.00%4.00%December2024FebruaryMarchAprilMay
1.23%
3.15%
^PUT (CBOE S&P 500 PutWrite Index)
Benchmark (^GSPC)