Cboe S&P 500 5% Put Protection Index (PPUT)

The Cboe S&P 500 5% Put Protection IndexSM (PPUT) tracks the value of a hypothetical portfolio of securities (PPUT portfolio) designed to protect an investor from negative S&P 500 returns. The PPUT portfolio is composed of  S&P 500® stocks and of a long position in a one-month 5% out-of-the-money put option on the S&P 500 (SPX put).

The PPUT portfolio is rebalanced monthly, typically on the third Friday of the month, when the SPX put expires. A new SPX put is then bought.