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CBOE Holdings, Inc. (BATS: CBOE | NASDAQ: CBOE) today announced CBOE and WisdomTree Investments, Inc. (NASDAQ: WETF), received the Index/ETF Product of the Year Award for the CBOE S&P
500 PutWrite Index (PUT) and the WisdomTree CBOE S&P 500 PutWrite Strategy Fund (PUTW). The award was announced Monday at the 22nd annual William F. Sharpe Indexing Achievement Awards, presented by Investment Management Networking (IMN) and The Journal of Index Investing in Dana Point, California.
WisdomTree launched the exchange-traded fund based on CBOE’s S&P 500 PutWrite Index on February 24, 2016. Fund assets under management in PUTW were approximately $164 million as of June 27, 2017, according to the fund manager.
The CBOE S&P 500 PutWrite Index (PUT) is designed to measure 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 number of put options sold varies from month to month, but is limited so that the amount held in Treasury bills can finance the maximum possible loss from the final settlement of the SPX puts.
CBOE began publishing daily data on the value of the CBOE S&P 500 PutWrite Index in 2007. Also in 2007, the CBOE S&P 500 PutWrite Index won the award for the Most Innovative Benchmark Index at the Annual Super Bowl of Indexing Conference, the former name of the IMN’s yearly index industry event.
More recently, two research papers published in 2016, “An Analysis of Index Option Writing with Monthly and Weekly Rollover” by Oleg Bondarenko of the University of Illinois at Chicago, and “Three Decades of Options-Based Benchmark Indices with Premium Selling or Buying: A Performance Analysis” by Wilshire Analytics Applied Research Group, found that the PUT Index had higher risk-adjusted returns and lower volatility than the S&P 500 stock index over the period of about 30 years. Links to both papers and additional information on the PUT strategy is available at www.cboe.com/PUT.
