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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

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^PUT vs. SPY ^PUT vs. ^SP500TR
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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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S&P 500

Returns By Period

CBOE S&P 500 PutWrite Index (^PUT) has returned -0.18% so far this year and 8.68% over the past 12 months.


^PUT

YTD
-0.18%
1M
2.35%
6M
-1.03%
1Y
8.68%
3Y*
N/A
5Y*
N/A
10Y*
N/A

^GSPC (Benchmark)

YTD
5.92%
1M
3.83%
6M
4.26%
1Y
11.91%
3Y*
16.90%
5Y*
14.47%
10Y*
11.61%
*Multi-year figures are annualized to reflect compound growth (CAGR)

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.

Based on daily data since Dec 2022, the average daily return (also called the expected return) is 0.05%, while the average monthly return is 0.92%.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20252.00%0.03%-4.75%-1.63%0.96%1.62%-1.92%
20241.43%1.65%1.85%-0.77%1.46%1.57%1.59%2.39%1.50%-0.48%4.54%-0.10%17.84%
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%
2022-0.98%-0.98%
Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ^PUT is 59, indicating average performance compared to other indices on our website. Here’s a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of ^PUT is 5959
Overall Rank
The Sharpe Ratio Rank of ^PUT is 5555
Sharpe Ratio Rank
The Sortino Ratio Rank of ^PUT is 5151
Sortino Ratio Rank
The Omega Ratio Rank of ^PUT is 7676
Omega Ratio Rank
The Calmar Ratio Rank of ^PUT is 5656
Calmar Ratio Rank
The Martin Ratio Rank of ^PUT is 5757
Martin 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.


The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

CBOE S&P 500 PutWrite Index Sharpe ratios as of Jul 8, 2025 (values are recalculated daily):

  • 1-Year: 0.59
  • All Time: 1.14

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

The chart below shows the rolling Sharpe ratio of CBOE S&P 500 PutWrite Index compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

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. The portfolio has not yet recovered.

The current CBOE S&P 500 PutWrite Index drawdown is 3.30%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-15.06%Feb 21, 202533Apr 8, 2025
-5.66%Aug 1, 202363Oct 27, 202342Dec 28, 2023105
-4.96%Jul 23, 202410Aug 5, 20248Aug 15, 202418
-3.61%Mar 7, 20235Mar 13, 20236Mar 21, 202311
-2.14%Apr 12, 20246Apr 19, 202413May 8, 202419
Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.


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