@article {Ungar43, author = {Jason Ungar and Matthew T Moran}, title = {The Cash-secured PutWrite Strategy and Performance of Related Benchmark Indexes}, volume = {11}, number = {4}, pages = {43--56}, year = {2009}, doi = {10.3905/JAI.2009.11.4.043}, publisher = {Institutional Investor Journals Umbrella}, abstract = {The put-write strategy of selling cash-secured S\&P 500 Index put options has the potential to appeal to investors who wish to add income and attempt to boost risk-adjusted returns, in return for risking under-performance during bull markets. An investor who engages in a cash-secured (or collateralized) put sale strategy sells (or {\textquotedblleft}writes{\textquotedblright}) a put option contract and at the same time deposits the full cash amount necessary for a possible purchase of underlying shares in his brokerage account. The first major benchmark index for the cash-secured put strategy is the CBOE S\&P 500 PutWrite Index (PUT), which was introduced in 2007 and has daily historical data back to June 30, 1986. This article analyzes the performance and volatility of the CBOE S\&P 500 PutWrite Index. Over the period studied, the PUT Index outperformed the S\&P 500 Index with significantly lower volatility. A key factor in the superior performance of the PUT Index was the fact that the S\&P 500 options were richly priced{\textemdash}the implied volatility for the S\&P 500 options usually was higher than the subsequent realized volatility of the S\&P 500 Index. TOPICS: Mutual funds/passive investing/indexing, options, performance measurement, risk management}, issn = {1520-3255}, URL = {https://jai.pm-research.com/content/11/4/43}, eprint = {https://jai.pm-research.com/content/11/4/43.full.pdf}, journal = {The Journal of Alternative Investments} }