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Dynamic Put Selling

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

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Dynamic Put Selling may make sense for investors who seek to increase returns on underlying fixed income portfolios or cash. The strategy seeks to earn the VRP by selling put options on the S&P 500® Index. 

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

The effectiveness of the option strategy depends on a general imbalance of natural buyers over natural sellers of index options. 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 -executed options programs 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 assurances can be given that the judgment 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, or financial advisor prior to contemplating any derivative transactions. The options risk disclosure document can be accessed here:


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Intended benefits of Dynamic Put Selling

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Enhanced return

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The strategy seeks to generate consistent positive returns by selling fully collateralized equity index put options against underlying collateral.

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Diversifying risk premium

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The strategy seeks to enhance returns of the underlying bond portfolio or cash without taking additional duration or credit risk.

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Diversified exposures

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The strategy executes multiple tranches with short expiration dates, improving diversification  and reducing path dependency.

There is no guarantee that the strategy will be successful. Investing in an options strategy involves risk. All investments are subject to loss.

Why choose Parametric?

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Total firm

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VRP solutions

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Years of
firm experience

As of 12/31/2022

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Volatility Risk Premium

Parametric's volatility risk premium (VRP) 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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