Simple Stock Index Option Strategies

Do simple stock index option strategies (stock-covered calls, cash-covered puts and collars) outperform the underlying index? To investigate, we examine performances of:

1. CBOE S&P 500 BuyWrite Index (BXM),CBOE S&P 500 PutWrite Index (PUT) and CBOE S&P 500 95-110 Collar Index (CLL), with S&P 500 Total Return Index (SPTR) as a benchmark.
2. Invesco S&P 500 BuyWrite ETF (PBP), designed to track BXM, and WisdomTree CBOE S&P 500 PutWrite Strategy Fund (PUTW), designed to track PUT, with SPDR S&P 500 ETF Trust (SPY) as a benchmark.

We focus on monthly return statistics, compound annual growth rates (CAGR) and maximum drawdowns (MaxDD) for comparisons. Using end-of-month levels for SPTR, BXM, PUT and CLL since June 1986, total returns for SPY and PBP since December 2007 (limited by PBP) and total returns for SPY and PUTW since February 2016 (limited by PUTW), all through March 2022, we find that:

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