This simulation study illustrates the pattern characteristics of protective put option in Amman Stock Exchange , as one of the hedging strategies that is well known in the developed stock exchanges, and demonstrates how this strategy can be used to modify the risk-return of the underlying stocks. A portfolio of 15 purposively selected stocks to present the most volatile stocks at Amman Stock Exchange. Black and Schloes option pricing model was used to simulate the option prices; and a hedging mechanism was employed quarterly. Risk (Systematic and Unsystematic) were calculated and AIMR Presentation Standards were used to compare the performance of the hedged portfolio with the unhedeged one. The results confirmed that this strategy sucesseded to lower the total risk of the hedged portfolio of a bout 23%. But the benefits of risk reduction were dimensioned when portfolio performance Risk – Adjusted measures were used such as RVAR for Sharpe and RVOL for Treynor. One explanation of this surprising result is that this study has used a sample of the most volatile stocks in the exchange which reflected in high levels of hedging costs, a matter which go a long with the premises of Option Pricing Theory.