Cboe S&P 500 PutWrite Index (PUT)
The Cboe S&P 500 PutWrite IndexSM (PUT) tracks the value of a hypothetical portfolio of securities (PUT portfolio) that yields a buffered exposure to S&P 500 stock returns. The PUT portfolio is composed of one- and three-month Treasury bills and of a short position in at-the-money put options on the S&P 500 index (SPX puts). The number of puts sold is selected to ensure that the value of the portfolio does not become negative when the portfolio is rebalanced.
The PUT portfolio is rebalanced monthly, typically on the third Friday of the month when SPX options expire. A new number of SPX puts is then sold.