Are Equity Put-Write ETFs Working?

Is systematically selling cash-covered equity put options, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider six equity put-write ETFs, three dead and three living:

1. US Equity High Volatility Put Write (HVPW) - oriented toward individual stocks (dead).
2. ALPS Enhanced Put Write Strategy (PUTX) - index-oriented (dead).
3. WisdomTree Equity Premium Income Fund (WTPI) - seeks to track the performance, before fees and expenses, of the Volos US Large Cap Target 2.5% PutWrite Index. Renamed from PUTW in April 2025 with investment policy changes.
4. BMO US Put Write ETF (USD) (ZPW-U.TO) - writes short-dated out-of-the-money put options on large-cap U.S. stocks based on available option premiums, putting proceeds in cash equivalents.
5. Cboe(R) Validus S&P 500(R) Dynamic Putwrite Index ETF (PUTD) - employs a rules-driven approach to maintain a portfolio of put options written on the S&P 500 Index that will beat the index based on total return, with lower volatility and drawdown (dead).
6. Innovator Equity Premium Income - Daily PutWrite ETF (SPUT) - invests at least 80% of net assets (including borrowings) in a daily put-write options strategy.

As performance measurements, we consider monthly return correlation with SPDR S&P 500 ETF Trust (SPY) and CBOE S&P 500 PutWrite Index (PUT), average monthly return, standard deviation of monthly returns and monthly reward/risk (average return divided by standard deviation). We also look at compound annual growth rate (CAGR) and maximum drawdown (MaxDD) based on monthly data. We use SPY and PUT as benchmarks. Using monthly returns for the six ETFs as available through October 2025, and contemporaneous monthly returns for SPY and PUT, we find that: