PERFORMANCE

EFFECTIVE MANAGEMENT REDUCES THE POTENTIAL FOR STOCK SALES
A sold call option is an obligation to sell stock at a particular price in the future if the underlying stock appreciates beyond the strike price. In practice, careful risk management can give the seller significant control over the number of shares sold. By carefully selecting options that offer a rewarding trade-off between income from premiums and potential for stock sales and by utilizing a "net share settlement" process where appropriate, Parametric provides the options management expertise that can significantly lower the potential for stock sales.

A call writing program may seek more cash generation in the form of higher option premiums by writing calls that have a higher likelihood of "exercise" — resulting in more underlying stock shares being sold or "called-away." As an example of this tradeoff, Parametric's research indicates that the DeltaShift process can produce 3-6% incremental return while expecting to sell 2-3% of the underlying stock position.* An investor could choose to increase the expected cash inflows through the sale of calls with a higher likelihood of exercise; however, doing so would also increase the expected number of shares sold.

* These expectations are based upon a Parametric Risk Advisors' simulation of the expected experience of a call-writing program utilizing a representative large cap U.S. stock. In performing the analysis, Parametric Risk Advisors used a variety of assumptions including an annual yield of 1% and an annual volatility of 20%. Changes to these or other assumptions would alter the outcome of the analysis and the expectations of incremental return and selling experience. This example is not reflective of the experience of any particular Parametric client and should not be deemed sufficient to make investment recommendations or decisions regarding the buying or selling of options. It should not be presumed that any strategies employed will be profitable or will be equal to the above example. Individual results will vary. Options are not suitable for all investors. Please refer to Disclosures and About Options for other important disclosures about options risk and Parametric Risk Advisors, LLC.