^PUT vs. ^SP500TR

Last updated Apr 2, 2026

Compare and contrast key facts about CBOE S&P 500 PutWrite Index (^PUT) and S&P 500 Total Return (^SP500TR).

Performance

^PUT vs. ^SP500TR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in CBOE S&P 500 PutWrite Index (^PUT) and S&P 500 Total Return (^SP500TR). The values are adjusted to include any dividend payments, if applicable.

^PUT vs. ^SP500TR - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
^PUT CBOE S&P 500 PutWrite Index	-1.08%	9.19%	17.84%	14.32%	-0.98%
^SP500TR S&P 500 Total Return	-3.64%	17.88%	25.02%	26.29%	-3.83%

Returns By Period

In the year-to-date period, ^PUT achieves a -1.08% return, which is significantly higher than ^SP500TR's -3.64% return.

^PUT

• 1D: 1.95%
• 1M: -2.35%
• YTD: -1.08%
• 6M: 3.54%
• 1Y: 10.91%
• 3Y*: 10.87%
• 5Y*: —
• 10Y*: —

^SP500TR

• 1D: 0.72%
• 1M: -4.34%
• YTD: -3.64%
• 6M: -1.43%
• 1Y: 18.20%
• 3Y*: 18.60%
• 5Y*: 11.96%
• 10Y*: 14.17%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Return for Risk

^PUT vs. ^SP500TR — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^PUT

^PUT Risk / Return Rank: 76
^PUT Sharpe Ratio Rank: 50
^PUT Sortino Ratio Rank: 53
^PUT Omega Ratio Rank: 87
^PUT Calmar Ratio Rank: 93
^PUT Martin Ratio Rank: 96

^SP500TR

^SP500TR Risk / Return Rank: 72
^SP500TR Sharpe Ratio Rank: 66
^SP500TR Sortino Ratio Rank: 69
^SP500TR Omega Ratio Rank: 74
^SP500TR Calmar Ratio Rank: 67
^SP500TR Martin Ratio Rank: 83

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

^PUT vs. ^SP500TR - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for CBOE S&P 500 PutWrite Index (^PUT) and S&P 500 Total Return (^SP500TR). 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.

	^PUT	^SP500TR	Difference
Sharpe ratio Return per unit of total volatility	0.81	1.00	-0.18
Sortino ratio Return per unit of downside risk	1.29	1.52	-0.23
Omega ratio Gain probability vs. loss probability	1.28	1.23	+0.05
Calmar ratio Return relative to maximum drawdown	3.01	1.54	+1.47
Martin ratio Return relative to average drawdown	15.39	7.32	+8.06
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^PUT vs. ^SP500TR - Sharpe Ratio Comparison

The current ^PUT Sharpe Ratio is 0.81, which is comparable to the ^SP500TR Sharpe Ratio of 1.00. The chart below compares the historical Sharpe Ratios of ^PUT and ^SP500TR, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	^PUT	^SP500TR	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.81	1.00	-0.18
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.71	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.79	—
Sharpe Ratio (All Time) Calculated using the full available price history	1.20	0.62	+0.58

Correlation

The correlation between ^PUT and ^SP500TR is 0.88, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Drawdowns

^PUT vs. ^SP500TR - Drawdown Comparison

The maximum ^PUT drawdown since its inception was -15.06%, smaller than the maximum ^SP500TR drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for ^PUT and ^SP500TR.

Drawdown Indicators

	^PUT	^SP500TR	Difference
Max Drawdown Largest peak-to-trough decline	-15.06%	-55.25%	+40.19%
Max Drawdown (1Y) Largest decline over 1 year	-10.24%	-12.12%	+1.88%
Max Drawdown (5Y) Largest decline over 5 years	—	-24.49%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-33.79%	—
Current Drawdown Current decline from peak	-2.81%	-5.55%	+2.74%
Average Drawdown Average peak-to-trough decline	-1.34%	-8.20%	+6.86%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.92%	2.55%	-1.63%

Volatility

^PUT vs. ^SP500TR - Volatility Comparison

The current volatility for CBOE S&P 500 PutWrite Index (^PUT) is 3.88%, while S&P 500 Total Return (^SP500TR) has a volatility of 5.38%. This indicates that ^PUT experiences smaller price fluctuations and is considered to be less risky than ^SP500TR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	^PUT	^SP500TR	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.88%	5.38%	-1.50%
Volatility (6M) Calculated over the trailing 6-month period	5.50%	9.55%	-4.05%
Volatility (1Y) Calculated over the trailing 1-year period	13.52%	18.32%	-4.80%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	9.79%	16.90%	-7.11%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	9.79%	18.05%	-8.26%