The exchange added that the Put index was also less volatile: its standard deviation was 61% of the S&P 500’s, and was also smaller than that of the BXM. The Put index also grew faster than the Buy index: 861% between June 1988 and May 2007, compared with a 731% increase for the BXM over the same period.
Finally, while buy-write strategies often tend to perform relatively well in markets with negative or slowly rising returns, the PutWrite strategy performs well in a flat or downward trending market, and historically has had its best performance during periods of higher volatility.
The CBOE said the index is intended as a benchmark only, and that there are no plans to launch products based on it.
The week on Risk.net, July 7-13, 2018Receive this by email