The CBOE began publishing the CBOE S&P 500 PutWrite Index on 20th June.
PUT is a new benchmark index that measures the performance of a hypothetical portfolio that sells S&P 500 Index (SPX) put options against collateralized cash reserves held in a money market account.
The PUT Index is similar in theory to the CBOE S&P 500 BuyWrite Index (BXM), which measures the performance of a hypothetical portfolio that sells SPX call options against a long portfolio of the stocks in the S&P 500 Index.
However, the PutWrite strategy sells SPX put options against cash that is held in reserve in a money market account. The number of puts sold is set to collateralize the exposure to S&P 500 downturns.
“CBOE is building on the tremendous success of the performance of the original CBOE BuyWrite Index, the BXM, by creating alternatives for investors with a variety of portfolio profiles and with different appetites for risk,” says CBOE Chairman and CEO William J. Brodsky. “Currently, there is an estimated $30 billion allocated to more than 45 buy-write investment products that have been launched since the 2002 introduction of the BXM Index. The PutWrite, along with the other CBOE BuyWrite Indexes, allows investors to pick the benchmark index that best suits their market views and investment goals.”