Was curious to see performance of $PUT Write Index vs $SPX after reading @SqueezeMetrics $VEX paper. Writing 1 mo. ATM puts + prem in 3 mo Tbills outperformed from 11/24/87 through 3/9/09 (peak). Has vastly underperformed since and still in downtrend. $spy $es_f @TKPTrader https://t.co/HEuZwwyxar