http://www.cboe.com/micro/put/PUTIndexEnnisKnupp.pdf The CBOEÂ® S&P 500 PutWrite Index (ticker symbol PUTSM) systematically sells one-month, at-the-money put options on the S&P 500 Index collateralized by a portfolio of Treasury bills. Since its 1986 inception, the PUT Index has earned higher returns than the S&P 500 Index with lower volatility. Calculated by the Chicago Board Options Exchange, the PUT Index tends to outperform in quiet and falling markets, and underperform in months when stock prices rise sharply. Exhibit 2 shows the cumulative return to the CBOE S&P 500 PutWrite Index from June 30, 1986 until October 31, 2008. This time period covers both bull and bear markets, with a variety of extremely rapid stock market declines, such as those seen in October 1987, August 1998, September 2001, as well as the recent declines experienced in September and October 2008. The systematic sale of put options over the entire time period would have earned an annualized return of 10.32%, before fees, with an annualized standard deviation of returns of 9.91%. The risk and return of the PUT Index compare favorably to the S&P 500, which earned annualized returns of 8.77% with a volatility of 15.39% over the same time period. The CBOE S&P 500 PutWrite Index was announced in June 2007 and the track record of returns was generated using historical options prices, with the assumption that each put option was sold at the bid price.