Volatility Risk Premium
For wealth managers
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 systematic sale of call and put options.
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.
Explore more VRP solutions
Capturing the VRP systematically without leverage
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.
Why choose Parametric?
Which VRP solution is right for your client?
Parametric offers a range of VRP solutions using different combinations of collateralized equity index put and call options, which can be customized to meet your clients’ portfolio objectives.
Frequently asked questions
Get in touch
Want to know more about our Volatility Risk Premium solutions? Complete our contact form, and a representative will respond shortly.
More to explore
Midyear Outlook: Exceptional Uncertainty, Unexpected Market Resiliency

by Thomas Lee, Co-President and Chief Investment Officer
July 17, 2025
Welcome to the 2025 Midyear Outlooks from Parametric. Where does the time go?
Tax Loss Harvesting Through the Volatile First Half of 2025

by Jeremy Milleson, Director, Investment Strategy
July 9, 2025
Here’s why we believe that the success of active tax management may depend on finding a direct indexing partner who’s managed portfolios through up and down market cycles.