Cboe Russell 2000 Putwrite Index (PUTR)
The Cboe Russell 2000 PutWrite IndexSM (PUTR) tracks the value of a hypothetical portfolio of securities (PUTR portfolio) that yields a buffered exposure to Russell 2000® stock returns. The PUTR portfolio is composed of an investment of $K in one-month Treasury bills and of a short position in an at-the-money puts on the Russell 2000 Index (RUT put), where K is the strike price of the put option.
The PUTR portfolio is rebanced monthly, typically on the third Friday of the month when RUT options expire. A new RUT put is then sold.