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Volatility Risk Premium

Parametric’s Volatility Risk Premium (VRP) solutions aim to provide a significant and persistent source of return without the use of leverage or market forecasts. Rather, they harvest the diversifying “Volatility Risk Premium” – a well-researched phenomenon based on the discrepancy between the implied and realized volatility of equity index options. Parametric has developed a series of sophisticated VRP strategies to meet investors’ different risk/return objectives.
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Upside Potential

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Downside Protection

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Uncorrelated Returns

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Why Parametric?

Parametric has over 30 years of experience managing derivatives strategies for investors. This includes a dedicated, experienced, and stable team with sole focus on options strategies. Our scientifically rigorous approach helps us create customized, repeatable outcomes for our clients that are driven by transparency and with a focus on managing risks and costs. 

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Systematic, Disciplined 

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Predictable, Transparent

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Trusted Industry

Additional insights and research

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Need a Refresher?
Read our 5 part series on the Volatility Risk Premium.

How to invest and related products
The Parametric Volatility Risk Premium Strategy is designed to be implemented in a separately managed account (SMA) maintained by a qualified custodian. Investors should contact their financial advisor to establish an SMA. Parametric also subadvises a fund with a similar strategy, offered and distributed by our affiliate, Eaton Vance Distributors Inc., a registered broker-dealer. Learn more

*We provide a link to the Eaton Vance website for your convenience only. It is for informational purposes only and is not an offer to buy or sell any security. Although Parametric is an affiliate of Eaton Vance, Parametric does not administer the website or control any of its content. Accordingly, this link is provided as is, without representation or warranty, express or implied, as to the accuracy of such content or its completeness or timeliness, all of which (including, without limitation, any implied warranties of merchantability or fitness for a particular purpose) Parametric expressly disclaims. This link’s appearance on Parametric’s website should not imply our endorsement of the linked site or its content. Parametric is not responsible for your use of the linked site, its content, or any other resources (including, without limitation, other linked sites and their contents) accessible through it. If you choose to leave this website and visit the linked site, you will be subject to its terms of use and privacy policies. By continuing to the linked site, you acknowledge and agree to the foregoing.

Derivatives such as futures, swaps, and other investment strategies have certain disadvantages and risks. Futures require the posting of initial and variation margin. Therefore, a portion of risk capital must be preserved for this purpose rather than being allocated to a manager. Liquid futures may not exist for published benchmarks, which may result in tracking error. Also, some intraperiod mispricing may occur. Swaps require periodic payments, may be less liquid than futures, and may have counterparty or credit risk. Some investment strategies require a cash investment equal to the desired amount of exposure.

The effectiveness of an options strategy depends on a general imbalance of natural buyers to natural sellers. This imbalance could decrease or be eliminated, which could have an adverse effect. A decision as to whether, when, and how to use options involves the exercise of skill and judgment, and even a well-conceived and well-executed options program may be adversely affected by market behavior or unexpected events. Successful options strategies may require the anticipation of future movements in securities prices, interest rates, and other economic factors. No assurance can be given that the judgments of Parametric in this respect will be correct.

Options are not suitable for all investors and carry additional risks. Investors must ensure that they have read and understood the current options risk disclosure document before entering into any options transactions. In addition, investors should consult with a tax, legal, and/or financial advisor prior to contemplating any derivative transactions. The options risk disclosure document can be accessed  here

For additional information please visit the Disclosure page.