PUTR Archives - Cboe Blogs

  • Market News | Education | Sep 28, 2016, 4:25 AM

    New Paper by Fund Evaluation Group Analyzes CBOE Russell Benchmark Index Suite with Strong Performance by PUTR Index

    New Paper by Fund Evaluation Group Analyzes CBOE Russell Benchmark Index Suite with Strong Performance by PUTR Index

    This week a new paper by Fund Evaluation Group (FEG) --  Evaluating Options For Enhanced Risk-Adjusted Returns: CBOE Russell 2000 Option Benchmark Suite and Case Studies on Fund Use of Options (2016) - was released and presented at the Fifth Annual CBOE Risk Management Conference (RMC) Europe. A link to the new 18-page paper is at www.cboe.com/benchmarks, and below in this blog are 6 of the 30 exhibits in the paper. DESCRIPTIONS OF INDEXES ANALYZED PUTR INDEX HAD HIGHEST GROWTH PUTR[...]

  • Market News | Strategy | Dec 9, 2015, 2:00 PM

    Is The Fed’s CCAR Pushing Up the SKEW Index and Driving More Demand for O-T-M SPX Puts?

    Is The Fed’s CCAR Pushing Up the SKEW Index and Driving More Demand for O-T-M SPX Puts?

    In a December 8 Bloomberg news report - “Who's the Bear Driving Up the Price of U.S. Stock Options?” - Joseph Ciolli wrote – “For more than a year, dealers in the U.S. equity derivatives market have noted a widening gap in the price of certain options. If you want to buy a put to protect against losses in the Standard & Poor’s 500 Index, often you’ll pay twice as much as you would for a bullish call betting on gains. New research suggests the divergence is[...]

  • Market News | Trader Talk | Nov 24, 2015, 10:48 AM

    CBOE Launches 5 New Strategy Benchmark Indexes on Russell® 2000 Index

    CBOE Launches 5 New Strategy Benchmark Indexes on Russell® 2000 Index

    Monday marked the launch of 5 Strategy Benchmark Indexes based on the Russell 2000 Index.  Created by the Chicago Board Options Exchange, these options based strategies have been used previously as risk management and yield-enhancing tools. CBOE Russell 2000 PutWrite Index (PUTR) The CBOE Russell 2000 PutWrite Index is designed to track the performance of a hypothetical strategy that sells a monthly at-the-money (ATM) Russell 2000 Index put option. The written Russell 2000 put option is collateralized[...]