Traders Magazine Professor George Skiadopoulos, Queen Mary University of London and University of Piraeus A common finding when it comes to options trading is that selling index put option contracts (such as those written on the S&P 500) tends to offer average returns and Sharpe ratios which seem to be excessive when compared to equities. Academic literature has well documented that selling index put options yields high average returns. This is also well known among practitioners: these trades have been highly profitable, except in instances where sales coincide with spikes in volatility, such as when Lehman Brothers crashed, or in the initial heat of the pandemic in March 2020.