Qn re: ETF [PUTW] and AQR Research on PutWrite vs BuyWrite Equity Options Strategy

ibartman

PUTW is a WisdomTree ETF that offers the "PutWrite" strategy: http://www.etf.com/PUTW
Wikipedia link with various references: https://en.wikipedia.org/wiki/CBOE_S&P_500_PutWrite_Index

I am thinking about investing in WisdomTree's [PUTW] , but had question prompted by recent AQR research.

Wondered if anyone else had thought about similar issues, and what conclusions they may have reached.

FYI, see/read article at link:
https://www.aqr.com/~/media/files/perspectives/aqr-putwrite-vs-buywritevf.pdf
PutWrite versus BuyWrite: Yes, Put-Call Parity Holds Here Too, Roni Israelov, Managing Director AQR, Mar 2017

Briefly, this article describes how apparent superiority of P/W vs B/W option strategy depends upon performance of market during the one-day-in-the month that the options expire each month .

Article includes charts showing that apparent (recent) out-performance of PutWrite vs BuyWrite strategy is based on intra-day market performance during monthly options expiration/"roll" date.

(Using data from CBOE, I was able to more-or-less quickly replicate the AQR findings. If you exclude returns on options expiration date, there is virtually no difference between the two strategies.)

One options strategy is not exposed to the market during the morning of the "roll" date. The other strategy is not exposed to the market during the afternoon of the "roll" date.

So, if there is after-the-fact-recent trend in (random?) movement of market in morning vs afternoon on roll dates (option expiration dates), this results in apparent "superiority" of one options strategy vs the other.

Aside: PBP is a Powershares ETF that offers the "BuyWrite" strategy: http://www.etf.com/PBP
Wikipedia link with various references:https://en.wikipedia.org/wiki/CBOE_S&P_500_BuyWrite_Index

It seems that article concludes that best strategy is a blend of "Both" (i.e., P/W & B/W). But in looking at PUTW vs PBP (the only other ETF that would seem to be large/liquid enough to be a reasonable alternative) it seems that PUTW has lower tax cost than PBP (Per M*), and PUTW also has lower Expense Ratio the PBP:

PBP: 1 Yr Tax Cost 1.70% ER 0.75%

PUTW: 1 Yr Tax Cost 0.70% ER 0.38% (net waiver, gross ER @ 0.44%)

Anyone looked at / invest in either ETF or in funds with similar strategies? Thoughts? Thanks.