13 Nov 2026
What Are Buy-Write and Put-Write Indexes?
Buy-write and put-write indexes are benchmarks that track the hypothetical performance of systematic option income strategies, most notably on the S&P 500. A buy-write index holds the stocks in an index and sells call options against them, while a put-write index holds Treasury bills and sells put options. Cboe publishes a family of these benchmarks with daily histories beginning in mid-1986, which gives investors a long record for studying how option income strategies have behaved across different markets.
Why do these indexes exist?
Before benchmarks existed, it was hard to judge an option income strategy fairly. Results depended on each manager’s choices about strikes, timing and expirations. Cboe introduced the S&P 500 BuyWrite Index (BXM) in 2002 and the S&P 500 PutWrite Index (PUT) in 2007, with histories calculated back to 1986.1 These indexes follow fixed, published rules, so they serve as reference points for funds and researchers.
What are the main indexes?
S&P 500 BuyWrite Index (BXM). Holds the S&P 500 and sells a one-month at-the-money S&P 500 call each month, holding it to expiration.
S&P 500 30-Delta BuyWrite Index (BXMD). Holds the S&P 500 and sells a one-month out-of-the-money call with a delta of about 0.30, leaving more room for gains before the strike.
S&P 500 PutWrite Index (PUT). Holds Treasury bills and sells a one-month at-the-money S&P 500 put each month, fully collateralized.
S&P 500 One-Week PutWrite Index (WPUT). Similar to PUT but sells weekly puts, collecting premium more often.
Cboe also publishes indexes for other option strategies and for other underlying indexes, such as the Nasdaq-100 and Russell 2000. Our article on what is a put-write ETF explains the put-writing mechanics.
How do buy-write and put-write indexes differ?
Both sell options to collect premium and give up gains above the strike in exchange. The differences:
Holdings. Buy-write indexes hold stocks; put-write indexes hold Treasury bills.
Income sources. Buy-write indexes earn dividends plus call premium; put-write indexes earn Treasury interest plus put premium.
Rate sensitivity. Put-write returns rise with short-term interest rates because collateral earns more.
Premium levels. At-the-money puts and calls on the same index tend to carry similar premiums, adjusted for interest rates and dividends, due to put-call parity.
What does the history show?
Studies of these indexes have found broadly similar long-term returns to the S&P 500 with lower volatility, but with substantial differences in particular periods.
PUT. Cboe reported that from July 1986 through August 2023, the PUT index had an annualized return of 9.40% versus 9.91% for the S&P 500, with a standard deviation of 10.26% versus 15.38%.2 A 2016 study by Professor Oleg Bondarenko found that from mid-1986 through 2015, PUT had an annual compound return of 10.13% compared with 9.85% for the S&P 500.3
BXMD. Cboe reported in 2019 that the 30-Delta BuyWrite Index had cumulative returns of 2,265% since mid-1986, about 13% higher than the S&P 500 over the same period.4
Patterns. The indexes have tended to outperform in flat or falling markets and to lag in strong rallies, because their gains are capped near the premium in rising months. Studies have also noted negative skew, meaning occasional large losses relative to typical monthly results.3
These results reflect specific periods and rules. Index results are hypothetical, exclude fees, taxes and trading costs, cannot be invested in directly and do not predict future results.
What do the indexes reveal about risk?
Lower standard deviation does not mean lower risk in every sense. Option income indexes give up much of the upside in strong months, so their strongest months are muted, while their losses in severe declines can still be large. Cboe reported a maximum drawdown of about minus 32.66% for the PUT index from 1986 through August 2023, compared with about minus 50.96% for the S&P 500.2 Researchers have pointed out that standard risk measures, which assume symmetrical returns, can understate the occasional large losses these strategies experience. Investors studying index histories should look at drawdowns and recovery periods alongside averages.
Why do fund results differ from the indexes?
ETFs that use option income strategies often depart from benchmark rules. They may sell options with different strikes or expirations, write calls on only part of the portfolio, use options on individual stocks, roll positions before expiration or hold different underlying stocks. They also pay fees and trading costs. Our articles on partial overwrite covered calls and how to compare covered call ETFs cover these design choices.
How can investors use these indexes?
As a reference. Comparing a fund with a relevant buy-write or put-write index shows how its design choices affected results.
To understand trade-offs. Index histories show the general pattern of option income strategies: income and lower volatility in exchange for capped upside.
To compare designs. At-the-money versus out-of-the-money strikes, and monthly versus weekly expirations, have produced different results over time.
With caution. Long-term averages can mask long stretches of underperformance relative to stocks, especially during sustained rallies.
Frequently asked questions
What is the BXM index?
The Cboe S&P 500 BuyWrite Index, ticker BXM, is a benchmark that tracks a hypothetical portfolio holding the S&P 500 and selling a one-month at-the-money S&P 500 call option each month. Introduced in 2002 with history back to 1986, it is one of the longest-running benchmarks for covered call strategies and is widely used for comparison.
What does 30-delta mean?
Delta measures how much an option’s price is expected to change for a small move in the underlying index. A 30-delta call is out of the money, with a strike above the current index level, and its price moves about 0.30 points for each one-point index move. Selling 30-delta calls collects less premium than at-the-money calls but leaves more room for gains.
Why might a put-write index outperform a buy-write index?
Differences arise from collateral income versus dividends, the timing of option sales and the relative pricing of puts and calls. When short-term interest rates are high, Treasury collateral earns more, which can benefit put-write strategies. Put options have also often carried higher implied volatility than calls at similar strikes, which can add to premium. Results vary by period.
Can I invest directly in a Cboe strategy index?
No. Indexes are calculations, not investment products. Some ETFs and mutual funds seek to track or are benchmarked against these indexes, but they incur fees and trading costs and may not follow the rules exactly. Investors should review a fund’s prospectus to see whether it tracks an index and how closely.
Do these indexes include taxes?
No. Index returns are calculated before taxes, fees and trading costs. Actual fund results depend on how distributions are characterized, including any return of capital, which is a tax classification that reduces cost basis, and on Section 1256 treatment for certain index options. Investors in taxable accounts may see after-tax results that differ from index returns.
How often do these indexes sell options?
Most of the original Cboe buy-write and put-write indexes sell monthly options that expire on the third Friday of each month. The WPUT index sells weekly options. Cboe has added indexes using other frequencies and strikes, reflecting the growth of shorter-dated options. More frequent selling collects premium more often but can produce different outcomes.
- Cboe Global Markets, index methodology documents for the Cboe S&P 500 BuyWrite Index and Cboe S&P 500 PutWrite Index; Wikipedia, “CBOE S&P 500 PutWrite Index.”
- Cboe, “Generating Income and Managing Risk: Cash-Secured Put Writing in a Low Equity Return Environment,” Cboe Insights, 2023.
- Oleg Bondarenko, “An Analysis of Index Option Writing with Monthly and Weekly Rollover,” January 2016, as summarized by Cboe’s Indexology blog and CXO Advisory.
- Cboe, “Key Cboe Benchmark Indexes Using SPX Options Offer Strong Risk-Adjusted Returns,” Cboe Insights, 2019.
Cite this page: Adam Patti, "What Are Buy-Write and Put-Write Indexes?," VistaShares, updated November 13, 2026, https://www.vistashares.com/buy-write-put-write-indexes/. Plain-text version.
This material is provided for educational purposes only. It is not investment, legal or tax advice, and it is not a recommendation or an offer to buy or sell any security. Information is drawn from sources believed to be reliable as of the date of publication, is not guaranteed as to accuracy or completeness, and may change without notice. Figures attributed to third parties are their estimates. Projections and forecasts are not guarantees of future results. Investors should consult their own financial, legal and tax professionals before making investment decisions. Investments involve risk, including possible loss of principal. Strategies that use options involve additional risks, including limited participation in market gains, the risk that options do not perform as intended, and changes in distributions. Tax treatment depends on individual circumstances and on current law, which may change.