News Story by Pensions & Investments Highlights Put-write Strategy, PUT Index and New Wilshire Paper

An October 3 news story – “Funds go exotic with put-write options to stem volatility” – in Pensions & Investments noted that put-write options strategies “are finding their way into more pension fund allocations to protect against volatility and, in some cases, take the place of fixed income as an income provider.” 

The news story noted that a new paper by Wilshire — Three Decades of Options-Based Benchmark Indices with Premium Selling or Buying: A Performance Analysis (2016) found that the CBOE S&P 500 PutWrite Index (PUT) “with an annualized 10.1% return, outperformed the CBOE S&P 500 buy-write index’s 8.9% and the S&P 500 stock index’s 9.9% over 30 years …”    


Below are two of the many 30-year charts in the new paper by Wilshire. In the two charts the PUT Index ranked in the top two indexes in terms of both returns and volatility. Exhibit 8 of the Wilshire paper notes that the fact that SPX implied volatility usually exceeded realized volatility could be helpful to index options sellers.


Note in the chart below that the PUT Index had lower volatility than the stock indexes and all the other options indexes (even the CBOE S&P 500 5% Put Protection Index (PPUT)).



The new October 3 story in Pensions & Investments is at

More information on the PUT Index is at

Links to papers by Wilshire and other firms that analyzed put-write strategies are at