WisdomTree lists its new ETP on systematic put option selling on Borsa Italiana, Xetra and the London Stock Exchange

TER of 0.34%. The strategy tracks a BNP Paribas index that sells three deep out-of-the-money put options on the S&P 500 every day.

The product

WisdomTree listed the WisdomTree 1-Day Equity Put Premium today — Monday 12 May 2026 — on Borsa Italiana, Deutsche Börse Xetra and the London Stock Exchange. The product has the ISIN XS3330165328 and applies a Total Expense Ratio of 0.34% per annum.

This is a fully collateralised and UCITS-eligible Exchange Traded Product, designed for investors who wish to gain access to a systematic put option selling strategy without directly managing positions in derivatives.

The benchmark index

The ETP tracks the Daily US Equity Put Premium Total Return Index, which in turn mirrors the composition of the Daily US Equity Put Premium Excess Return Index — both developed by BNP Paribas — adding interest income and adjusting for fees and costs.

The tracking mechanism is linear: if the Total Return Index rises by 1% in a single day, the ETP rises by 1% (net of fees); if the index falls by 1%, the ETP falls by 1%. There are no intraday compounding effects nor any stated leverage on the ETP as such, but the underlying index incorporates a total exposure equal to 300% of the capital, as explained below.

How the strategy works

On each trading day, the index figuratively sells three deep out-of-the-money (DOTM) put options with daily expiry on the S&P 500 Index. Each position has a notional value equal to 100% of the invested capital: the aggregate exposure therefore always amounts to 300%.

The economic logic is clear. Anyone selling a put option immediately receives a premium from the buyer. This premium compensates the seller for the risk they assume: if the S&P 500 falls below the strike price during the day, the seller incurs a loss. Since the options sold are very short-term — lasting just one trading day — and with strike prices significantly below the current market price (deep out-of-the-money), the unit premiums are modest in absolute terms. However, the premium is collected every trading day, and the cumulative effect of small but recurring premiums constitutes the strategy’s primary source of income.

The choice of DOTM options is deliberate. These options structurally incorporate higher premiums than would be justified by the statistical probability of exercise alone, due to two well-documented phenomena:

• Accelerated time decay (theta decay) in options nearing expiry: in the final hours of an option’s life, the time value rapidly approaches zero, favouring the seller.
• Implied volatility skew: deeply out-of-the-money put options incorporate implied volatility that is systematically higher than that of at-the-money options, reflecting the structural demand for downside protection from institutional investors. Those selling these options capitalise on this volatility premium.

The risk-return profile

The strategy aims to generate returns with low correlation to equity markets under most market conditions. In sideways or moderately bullish markets, the systematic selling of puts collects premiums without the options being exercised.

The main risk lies in episodes of rapid and sharp declines in the S&P 500, when DOTM options can become in-the-money in a single trading session. In such scenarios — typically associated with geopolitical shocks, liquidity crises or systemic events — losses can be significant. The product document specifies that the maximum loss is limited to the amount invested.

The structure of three simultaneous daily positions — each with different strike prices and/or expiries within the same trading session — introduces an element of intraday diversification that reduces reliance on a single strike price.

The context: why selling DOTM puts generates structural premiums

Financial literature has documented for decades the existence of a systematic volatility risk premium in the S&P 500 options market. Institutional investors purchase out-of-the-money puts for hedging purposes with relatively inelastic demand, regardless of the current market valuation. This structural pressure tends to make such options expensive relative to the actual risk — that is, DOTM put options on the S&P 500 have historically incorporated implied volatility higher than ex-post realised volatility.

Those who systematically sell these options receive, over time, compensation for the tail risk they assume. The positive expected return of this strategy is widely recognised, although it is accompanied by an asymmetric return profile: small, frequent gains; rare but potentially severe losses.

Operational characteristics

The ETP is fully collateralised: the issuer’s obligations to the security holder are guaranteed by a separately held portfolio of assets. This structure eliminates direct counterparty risk to WisdomTree.

In terms of trading, the product relies on multiple market makers and authorised participants, who ensure continuous liquidity on the secondary market across the three listing venues. The strategy’s daily replicability and the transparency of the index methodology help to maintain narrow bid-ask spreads.

The product is UCITS-eligible, making it accessible to a wide range of European investors — including pension funds, insurance companies and asset managers subject to UCITS regulatory requirements — and facilitating its inclusion in portfolios that already comply with this framework.