Historical Performance of Put-Writing Strategies Oleg Bondarenko Published 31 January 2019 Economics Social Science Research Network This paper analyzes the historical performance of two Cboe put-writing indices through the end of 2018. PUT and WPUT indices are found to have had a strong performance in several areas: 1) Long-term performance. Over more than 32-year period, PUT has the annual compound return comparable to that of the S&P 500 Index, but with a substantially lower standard deviation. As a result, the annualized Sharpe ratio is 0.65 for PUT and 0.49 for S&P 500. 2) Annual premium income: From 2006 to 2018, the average annual gross premium collected is 22.1% for PUT and 37.1% for WPUT. Premiums for WPUT are smaller, but collected weekly instead of monthly, which results in higher aggregate premiums. 3) Lower risk: Since the launch of Weekly options in 2006, WPUT has lower standard deviation, market beta, and drawdowns than PUT and S&P 500. In particular, the maximum drawdowns are 24.2% (WPUT), 32.7% (PUT), and 50.9% (S&P 500). 4) PUT versus option buying strategy PPUT: Since 1986, PUT has a much higher annual compound return that PPUT (9.54% versus 6.64%), a lower standard deviation (9.95% versus 12.08%), much higher risk-adjusted measures, and a less severe drawdown (the maximum drawdown of -32.7% versus -38.9%, the longest drawdown of 40 months versus 80 months). PUT has a negative exposure to the volatility risk, which accounts for 0.29% of its average monthly return. In contrast, PPUT has a positive exposure to the volatility risk, which accounts for -0.17% of its average monthly return.
Maybe say why you think this? I'm not saying I agree with this, I haven't done the research myself, but would be more productive to say why you disagree. Also, I'm curious if this is still the case since 2019. Options markets have changed a lot in the last few years.
Search for Reel Ken on SA. Has some interesting articles imo. Doesn’t work that well, but can spark some good ideas.
B/c I cannot verify anything of it, even data of WPUT and PPUT aren't available at YahooFinance except just the last day (or just the last month on chart) How has the author measured the performance? By using these indices, or used these indices just for signal generation and made the (paper-) trades with other tickers? I think it's unclear. Therefore for me a questionable research.