tag:blogger.com,1999:blog-897456774486153841.post890852388789501417..comments2024-03-28T06:07:36.391-07:00Comments on VIX and More: Graphical Comparison of Performance of PutWrite and BuyWrite IndicesBill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.comBlogger7125tag:blogger.com,1999:blog-897456774486153841.post-54318469277030636782009-01-12T20:18:00.000-08:002009-01-12T20:18:00.000-08:00It isn't clear from the graph that the put-write s...It isn't clear from the graph that the put-write strategy is outperforming the entire time. It looks like it gets to a higher point and then compounds the difference for a few years. This would be clearer on a log-graph, or if you plot the returns instead of the values.<BR/><BR/>jkwAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-46641215018481957682009-01-12T19:23:00.000-08:002009-01-12T19:23:00.000-08:00There was an ETN that was to be launched by the CB...There was an ETN that was to be launched by the CBOE that was based on the Put Write index (PUT). They were looking to launch last spring but it never listed yet. The symbol was to be XPT. I have not heard anything about it in a while however.PALAhttps://www.blogger.com/profile/00309268632565826773noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-9974607213472854252009-01-12T14:15:00.000-08:002009-01-12T14:15:00.000-08:00Good question about the dividends, Mark.From the C...Good question about the dividends, Mark.<BR/><BR/>From the CBOE paper on the BXM methodology (revised 6/30/08): "Dividends paid on the component stocks underlying the S&P 500 Index and the dollar value of option premium deemed received from the sold call options are functionally 're-invested' in the covered S&P 500 Index portfolio."<BR/><BR/>The BXM had a higher return than the PUT in 7 of the first 15 years. Whatever is driving better performance in the PUT seems to have picked up in 2003, as the PUT has outperformed the BXM in every year from 2003 to the present.<BR/><BR/>Cheers,<BR/><BR/>-BillBill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-81919681612779733082009-01-12T13:13:00.000-08:002009-01-12T13:13:00.000-08:00Bill,Just asking: Are you certain that the buy-wri...Bill,<BR/><BR/>Just asking: Are you certain that the buy-write data includes all dividends?<BR/><BR/>MarkAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-38776361495936764552009-01-12T13:05:00.000-08:002009-01-12T13:05:00.000-08:00F E A R is ALWAYS GREATER than GREED !!!F E A R is ALWAYS GREATER than GREED !!!Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-83588854401281454732009-01-12T11:27:00.000-08:002009-01-12T11:27:00.000-08:00Hi Eric,No ETFs that I am aware of. One commenter...Hi Eric,<BR/><BR/>No ETFs that I am aware of. One commenter mentioned ETJ (Eaton Vance Risk-Managed Diversified Equity Income Fund) previously, but the only data I found showed put writing as only 0.3% of the portfolio.<BR/><BR/>Cheers,<BR/><BR/>-BillBill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-53666331993313789172009-01-12T11:20:00.000-08:002009-01-12T11:20:00.000-08:00Thanks for pointing this out. I have been debatin...Thanks for pointing this out. I have been debating the merits of each PutWrite vs BuyWrite, especially coming out of this bear market.<BR/>Are there any ETFs that track this PUT index?Erichttps://www.blogger.com/profile/04630536319901757179noreply@blogger.com