The idea behind the index is to sell cash secured at-the-money SPX puts that expire in one month.
This chart comes from the CBOE (pdf) that explains the index. Cash secured put selling is a fairly conservative strategy for people who know what they are doing, and understand leverage.
I will say that I am amazed that it had periods of out-performance when the market was declining.
What is also interesting is that according to page four of the PDF, PUT has a lower standard deviation than the Buy Write Index (BWV), and a version of the S&P 500 they refer to as S&P 500 Total Return.
Another article you can read on this is from Index Universe, which is where I first found ^PUT. I doubt CBOE brought this out as merely an academic exercise. I suspect that we will see an exchange-traded something that mimics it, soon.
A common theme to my writing has been that investment products will evolve in such a way that do-it-yourselvers who are able to spend the time, will be able build very sophisticated portfolios for themselves.
The idea of having 1/3 of your equity portfolio in eight or nine products that take different routes to reliable 7-8% returns with a lot less volatility that the stock market makes sense for investors who have saved properly and really understand the concept of risk adjusted returns.