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Risk-Managed Put Selling

Parametric’s Risk-Managed Put Selling program aims to capture the volatility risk premium (VRP) by selling put spreads on S&P 500® Index options.

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Risk-Managed Put Selling may make sense for investors who seek to increase returns on underlying fixed income portfolios or cash. The strategy has a predefined maximum loss per 28-day period.

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

Explore our full suite of VRP solutions

Intended benefits of Risk-Managed Put Selling

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Limited downside

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Risk-Managed Put Selling limits maximum losses during any consecutive 28-day period.

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Enhanced returns

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Risk-Managed Put Selling aims to generate options profits to enhance returns on an underlying fixed income portfolio or cash.

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Low correlation

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Risk-Managed Put Selling generates returns that are generally uncorrelated to fixed income and have low correlation to most traditional return strategies.

How it works

We systematically sell S&P 500®  put option spreads to harvest the VRP. The options can be sold against a portion or all of a portfolio. The underlying collateral can be any marginable security, such as stocks, bonds, or cash.

Short-dated put option spreads are sold across multiple tranches to maximize the benefits of time decay, minimize event-specific risk, and reduce path risk.

Why choose Parametric?


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VRP solutions AUM


Derivative investment professionals

As of 3/31/2024
Volatility Risk Premium


Volatility Risk Premium

Parametric's volatility risk premium solutions are strategies that seek to benefit from the VRP, a distinct and diversifying risk premium that options buyers pay to options sellers. We’ve historically observed that this premium can be a persistent source of return, better positioning your clients’ portfolios to weather market volatility over a full market cycle and improve overall performance.

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