Abstract
This paper focuses on the return and the risk of one of CBOE options-selling strategies, CBOE S&P 500 PutWrite Index （PUT）. In this strategy, we divide risk into three components, which include passive equity, short volatility and dynamic equity. We will target on the impact to PUT within these risk components. From the empirical results, we find that active equity exposure is a significant source of risk. And this paper also figures out the benefit of using the dynamic equity in different market conditions. In the end, we use S&P500 futures to propose a risk-managed PutWrite strategy to hedge away this active equity exposure and analyze how the adjustment affects the return and risk.