DeltaShift
For institutional investors
Parametric’s DeltaShift is a managed call-options-writing strategy that can be used in conjunction with single stocks and equity indexes. DeltaShift seeks to dampen volatility while enhancing equity portfolio return by capturing the volatility risk premium (VRP).
This strategy is most often implemented as an overlay without the need to adjust equity holdings or manager allocations. DeltaShift is also offered as a funded strategy with a long-term average beta of approximately 0.9. It is designed to provide a buffer against downside risk while still maintaining some upside participation in strong up markets.
Investing in an options strategy involves risk. All investments are subject to loss. Learn more.
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Downside buffer with upside participation
DeltaShift’s goal is to reduce volatility in an equity portfolio while also maintaining some upside potential.
DeltaShift seeks to outperform the S&P 500® while reducing equity portfolio volatility. It also seeks favorable long-term performance against traditional call overwriting indexes. Compared to long-only equity investments, DeltaShift performs best in down, sideways, and moderately up markets, but the strategy can underperform in strong equity markets.
Portfolio construction
Model beta: 0.9
Intended benefits of DeltaShift

Flexible implementation
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DeltaShift may be implemented as either a fully funded strategy or as an overlay across a range of underlying portfolios, including active equities, index funds, ETFs, and single stocks.

Systematic options sales
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We sell short-dated equity call options observed to trade at a higher implied volatility versus realized volatility to capture the VRP.

Reduced volatility
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A covered call portfolio accesses the VRP by selling covered options without the use of leverage. Compared to a long-only equity portfolio, DeltaShift is designed to deliver a reduction in portfolio volatility while also maintaining some upside participation.

Improved liquidity
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DeltaShift aims to generate excess cash during down markets that may serve as a cash flow hedge in periods of market stress.
Illustrative DeltaShift results
Rules-based risk management example:
- Traditional call writing is a trade-off between receiving an up-front payment in exchange for giving away upside, which is capped at a target level.
- Unlike traditional covered call writing, a key goal of DeltaShift is to maintain substantial—but not all—upside participation during times of sharp appreciation.
- During these times, we expect the total portfolio value to continue to appreciate without being capped, but it may underperform the index itself.
Why choose Parametric?
$389B
Total firm
AUM
$15.5B
VRP solutions
AUM
30+
Years of
firm experience
As of 12/31/2022

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