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

CBOE S&P 500 PutWrite Index (^PUT)

Index · Currency in USD · Last updated May 20, 2025

Share Price Chart

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Compare to other instruments

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CBOE S&P 500 PutWrite Index

Popular comparisons:
^PUT vs. SPY ^PUT vs. ^SP500TR
Popular comparisons:
^PUT vs. SPY ^PUT vs. ^SP500TR

Performance

Performance Chart

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S&P 500

Returns By Period

CBOE S&P 500 PutWrite Index (^PUT) returned -3.52% year-to-date (YTD) and 7.72% over the past 12 months.

^PUT

YTD

-3.52%

1M

3.40%

6M

-2.62%

1Y

7.72%

3Y*

N/A

5Y*

N/A

10Y*

N/A

^GSPC (Benchmark)

YTD

1.39%

1M

12.89%

6M

1.19%

1Y

12.45%

3Y*

15.19%

5Y*

14.95%

10Y*

10.86%

*Annualized

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
20252.00%0.03%-4.75%-1.63%0.92%-3.52%
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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ^PUT is 61, 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 6161
Overall Rank
The Sharpe Ratio Rank of ^PUT is 5555
Sharpe Ratio Rank
The Sortino Ratio Rank of ^PUT is 4949
Sortino Ratio Rank
The Omega Ratio Rank of ^PUT is 8181
Omega Ratio Rank
The Calmar Ratio Rank of ^PUT is 5252
Calmar Ratio Rank
The Martin Ratio Rank of ^PUT is 6565
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 May 20, 2025 (values are recalculated daily):

  • 1-Year: 0.53
  • All Time: 1.03

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. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.

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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 6.54%.

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

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

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