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Volatility Risk Premium

The volatility risk premium (VRP) is the compensation earned by investors for providing protection against unexpected market volatility. Parametric’s VRP solutions are a suite of strategies that seek to capture this unique and diversifying risk premium through the systemic sale of call and put options.

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The VRP can be a persistent source of return over time that may allow investors to access attractive risk-adjusted returns and increase overall portfolio diversification.

Investing in an options strategy involves risk. All investments are subject to loss. Learn more.

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Capturing the VRP effectively and consistently 

Equity index options may be thought of as financial insurance contracts, and investors pay a premium for insurance-like protection against unfavorable outcomes. The size of the VRP is driven by a range of behavioral, structural, and economic factors that may lead to an imbalance between buyers and sellers of index options.

A defensively structured portfolio can capture the VRP by selling fully collateralized options without introducing leverage. Our rules-based solutions favor diversification, accessibility, and transparency.

Using different combinations of collateralized equity index put and call option positions, your institution can access VRP strategies across a range of equity market betas.

Which VRP solution is right for you?

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Why choose Parametric?


Total firm AUM


VRP solutions AUM


Years of firm experience

As of 3/31/2024
Benchmarking Defensive Equity


Benchmarking Defensive Equity

An important consideration for any strategy is determining its appropriate benchmark for evaluating performance. Parametric's Defensive Equity (DE) strategy fits squarely within the category of options-selling strategies, also known as volatility risk premium (VRP) strategies, an investment universe where benchmarking considerations are more nuanced.

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Liability-driven investing, Volatility, Overlay, Fixed income, Commodity, Options, Institutional investor, +4