Put Selling

  • Michael J. Oyster


Oyster describes the Volatility Risk Premium (VRP) as perhaps the most significant, untapped resource available to investors today. Systematic put selling or writing strategies offer investors a means to monetize that resource at low cost and historical data makes a strong case for relative outperformance compared with US equity benchmarks. Oyster analyzes the past performance of the Cboe S&P 500 PutWrite Index (PUT) recognizing that PUT underperformance versus the S&P 500 Index occurred during especially bullish stock market periods and that PUT outperformed when the S&P 500 posted below-average returns. Oyster also describes put-call parity and offers an explanation of why the PUT has outperformed the Cboe S&P 500 BuyWrite Index (BXM) when the two have identical payoff profiles.

Copyright information

© The Author(s) 2018

Authors and Affiliations

  • Michael J. Oyster
    • 1
  1. 1.Chief Investment StrategistCincinnatiUSA

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