^PUT vs. SPY

Last updated Jun 5, 2026

^PUT (CBOE S&P 500 PutWrite Index) is an index, while SPY (State Street SPDR S&P 500 ETF) is S&P 500 fund tracking the S&P 500 Index. Over the past 3 years, ^PUT returned 11.43%/yr vs 21.43%/yr for SPY. Their correlation of 0.87 suggests significant overlap in exposure.

Performance

^PUT vs. SPY - Performance Comparison

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

Returns By Period

In the year-to-date period, ^PUT achieves a 4.42% return, which is significantly lower than SPY's 8.45% return.

^PUT

• 1D: 0.16%
• 1M: 1.91%
• YTD: 4.42%
• 6M: 5.27%
• 1Y: 17.48%
• 3Y*: 11.43%
• 5Y*: —
• 10Y*: —

SPY

• 1D: -2.58%
• 1M: 0.51%
• YTD: 8.45%
• 6M: 8.18%
• 1Y: 25.79%
• 3Y*: 21.43%
• 5Y*: 13.32%
• 10Y*: 15.16%

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

^PUT vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
^PUT CBOE S&P 500 PutWrite Index	4.42%	9.19%	17.84%	14.32%	-0.98%
SPY State Street SPDR S&P 500 ETF	8.45%	17.72%	24.89%	26.18%	-3.81%

Correlation

The correlation between ^PUT and SPY is 0.85, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.85
Correlation (3Y) Calculated over the trailing 3-year period	0.86
Correlation (All Time) Calculated using the full available price history since Dec 15, 2022	0.87

The correlation between ^PUT and SPY has been stable across timeframes, ranging from 0.85 to 0.87 - a consistent structural relationship.

Return for Risk

^PUT vs. SPY — Risk / Return Rank

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

^PUT

^PUT Risk / Return Rank: 93
^PUT Sharpe Ratio Rank: 90
^PUT Sortino Ratio Rank: 95
^PUT Omega Ratio Rank: 98
^PUT Calmar Ratio Rank: 88
^PUT Martin Ratio Rank: 95

SPY

SPY Risk / Return Rank: 66
SPY Sharpe Ratio Rank: 66
SPY Sortino Ratio Rank: 63
SPY Omega Ratio Rank: 66
SPY Calmar Ratio Rank: 60
SPY Martin Ratio Rank: 73

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. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for CBOE S&P 500 PutWrite Index (^PUT) and State Street SPDR S&P 500 ETF (SPY). 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	SPY	Difference
Sharpe ratio: Return per unit of total volatility	2.79	2.14	+0.65
Sortino ratio: Return per unit of downside risk	3.94	2.88	+1.06
Omega ratio: Gain probability vs. loss probability	1.70	1.39	+0.31
Calmar ratio: Return relative to maximum drawdown	3.60	2.92	+0.69
Martin ratio: Return relative to average drawdown	19.41	13.50	+5.90
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. SPY - Sharpe Ratio Comparison

The current ^PUT Sharpe Ratio is 2.79, which is higher than the SPY Sharpe Ratio of 2.14. The chart below compares the historical Sharpe Ratios of ^PUT and SPY, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	^PUT	SPY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.79	2.14	+0.65
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.78	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.85	—
Sharpe Ratio (All Time) Calculated using the full available price history	1.34	0.58	+0.76

Drawdowns

^PUT vs. SPY - Drawdown Comparison

The maximum ^PUT drawdown since its inception was -15.06%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ^PUT and SPY.

Drawdown Indicators

	^PUT	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-15.06%	-55.19%	+40.13%
Max Drawdown (1Y) Largest decline over 1 year	-4.72%	-8.88%	+4.16%
Max Drawdown (3Y) Largest decline over 3 years	-15.06%	-18.76%	+3.70%
Max Drawdown (5Y) Largest decline over 5 years	—	-24.50%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-33.72%	—
Current Drawdown Current decline from peak	0.00%	-2.90%	+2.90%
Average Drawdown Average peak-to-trough decline	-1.30%	-9.05%	+7.75%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.88%	1.91%	-1.03%

Volatility

^PUT vs. SPY - Volatility Comparison

The current volatility for CBOE S&P 500 PutWrite Index (^PUT) is 0.73%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 3.73%. This indicates that ^PUT experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	^PUT	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.73%	3.73%	-3.00%
Volatility (6M) Calculated over the trailing 6-month period	5.15%	9.31%	-4.16%
Volatility (1Y) Calculated over the trailing 1-year period	6.09%	12.12%	-6.03%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	9.57%	17.09%	-7.52%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	9.57%	17.95%	-8.38%

Frequently Asked Questions

Can I hold both ^PUT and SPY in my portfolio?

^PUT and SPY have a correlation of 0.85, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ^PUT or SPY?

SPY has higher volatility (3.73%) compared to ^PUT (0.73%). In terms of maximum drawdown, ^PUT dropped -15.06% vs SPY's -55.19%.

Which has better risk-adjusted returns?

^PUT currently has the higher Sharpe Ratio (2.79 vs 2.14), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.