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PPUT3M Cboe S&P 500 Tail Risk Index

The Cboe S&P 500 Tail Risk Index (PPUT3M) is a benchmark index designed to track the performance of a hypothetical risk-management strategy that consists of (a) holding the S&P 500 portfolio and collecting dividends and (b) buying 10% out-of-the-money SPX puts that expire on the quarterly cycle, i.e. March, June, September and December.

As of 09/21/2023

Index Information
Provider:     CBOE
Category1:  Alternatives
Category2:  Options
Category3:  Puts
Currency:    USD
Inception date:  01/01/1900
Backtesting data exists:  
Weighting methodology:   Other

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