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Stats › Options, shorts and positioning › Put writing

The put write index led the S&P 500 through 2015 and trailed it by 2023

Put write indexTo end 2015: 10.13%To August 2023: 9.40%9.40%S&P 500To end 2015: 9.85%To August 2023: 9.91%9.91%To end 2015To August 2023

Annualised returns from two separately published measurements with nearly identical start dates in mid 1986. The put write index's lead of 0.28 percentage points a year at end 2015 had become a deficit of 0.51 points by August 2023. The two sources are different authors and methods, and neither tests the difference.

At the end of 2015 the put write index had returned 10.13% a year against the index's 9.85%. Measured to August 2023 it returned 9.40% against 9.91%. The volatility and drawdown reduction persisted; the return advantage reversed.

10.13% against 9.85%Put write against S&P 500 annualised return, to end 2015
9.40% against 9.91%The same measured to 31 August 2023
10.26% against 15.38%Volatility, put write against the index, 2023 measurement
-32.66% against -50.96%Maximum drawdown, same measurement

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