...but I'm not sure how.
Quite a while back I wrote a post or two about the S&P 500 Put Write Index which has symbol PUT. It is a fairly new index that is based on selling naked index puts along the lines of the S&P 500 Buy Write Index which has symbol BXM. If you look at a
long term chart for BXM, these are easy to find, you will see that BXM has done a good job of smoothing out the ride. The link above only goes back a little over five years, if you can find a chart that goes back to the late 1990s you'll see it smoothed out the ride during the tech decline while lagging in the bubble build up.
You can go to the CBOE website for more information on PUT. You can see from the table that BXM outperformed the S&P 500 but that PUT outperformed BXM. If you click through you will also see that PUT had a lower standard deviation than BXM which had a lower standard deviation than SPX. Below is a chart from the CBOE that captures a very long term backtest of PUT.
There is an ETF that tracks BXM; the PowerShares S&P 500 Buy Write Portfolio (PBP) which a few clients own but there is no Put Write ETF. However IndexUniverse reports that one might be on the way. Sort of.
The U.S. Equity Synthetic Reverse Convertible Index Fund (proposed symbol (RVCT) will sell cash secured puts on the 12 most volatile stocks in the S&P 500.