Selling Insurance- An Option for Diversification

This chart description is for illustrative purposes only and its accuracy cannot be guaranteed. Please see full disclosures at end of PDF document in the web post. General description: Combination line and column chart showing volatility spread and calendar year returns for the CBOE S&P 500 PutWrite Index and S&P 500. Chart subtitle: Over the last few decades, options-based strategies have generated compelling patterns of performance thanks to differences between implied and realized market volatility. Chart source: Source: Bloomberg and eVestment as of September 30, 2023. Volatility spread is calculated as the difference between implied volatility, as measured by the VIX Index, and realized volatility of the S&P 500 Index over the subsequent 1-month period (21 trading days). Realized volatility is calculated as the standard deviation of daily logarithmic returns multiplied by an annualization factor. Chart visual description: Left Y-axis is labeled Spread and ranges from -80% to +40%. X-axis labels span years from 1990 to 2023. Right Y-axis is labeled Cal. Year Return from -40% to +40%. Each data set has its own X-axis, so orange line chart corresponding to Volatility Spread floats above column chart for calendar year returns. Average Volatility Spread line is dotted in dark orange at 4.5%. CBOE S&P 500 PutWrite Index is plotted in green columns and S&P 500 Index is plotted in blue columns. Chart data description: Data for index returns is annual; data for volatility is daily. Please contact us for the full dataset. End chart description. See disclosures at end of document.

Posted on October 3, 2023October 3, 2023 Full size 1911 × 1033

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