Cboe S&P 500 One-Week PutWrite Index (WPUT) www.cboe.com/WPUT

NEW! - Bondarenko, Oleg. An Analysis of Index Option Writing with Monthly and Weekly Rollover. (2016)

The Cboe S&P 500 One-Week PutWrite Index is designed to track the performance of a hypothetical strategy that sells an at-the-money (ATM) S&P 500 Index (SPX) put option on a weekly basis. The maturity of the written SPX put option is one week to expiry. The written SPX put option is collateralized by a money market account invested in one-month Treasury bills.

The WPUT Index rolls on a weekly basis, typically every Friday.

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