27 The options book on the index

Funds’ Index Protection Is at a Five-Quarter High

Net protection is what is left once funds’ upside bets on an index are set against their downside ones. On the large-cap index and the small-cap index alike, funds ended June holding more of it than at any time in the previous year.

$400bn

of net protection on the S&P 500 tracker at 30 June - the most in five quarters

Net put position held by funds Put less call notional, in US dollars
Large caps S&P 500 tracker · SPY
  1. 2025 Q2 $289bn
  2. 2025 Q3 $359bn
  3. 2025 Q4 $248bn
  4. 2026 Q1 $249bn
  5. 2026 Q2 $400bn
Small caps Russell 2000 tracker · IWM
  1. 2025 Q2 $55.4bn
  2. 2025 Q3 $74.4bn
  3. 2025 Q4 $46.5bn
  4. 2026 Q1 $62.2bn
  5. 2026 Q2 $80bn

The small-cap position is the bigger bet. Against the size of the funds themselves: $80bn of net protection on a fund worth about $77bn, against $400bn on one worth $833bn.

The one outlier

7×

Chip ETF puts

From $12.6bn to $93bn over five quarters, nearly all of it last quarter.

3 to 1

Chip downside to upside

Against under two to one a year ago.

1.76–2.02×

Every other big ETF

Where they all sat across the whole year on that same measure. Nothing else happened.

Index protection is not a forecast - most of it insures shares the funds already own. What it shows is how much cover they thought worth paying for, and in this quarter they paid for more of it than at any point in a year.

Wall St. Rank net put and net call screens, filtered to exchange-traded funds, one quarter at a time. Net position is put notional less call notional, as the screen itself reports it. Fund sizes are current and the positions are as at each quarter end. The chip figures are gross put notional on the semiconductor ETF; the options book page reports the same book net of calls, which is why its figures are smaller.

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