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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.

Limited downside

Risk-Managed Put Selling seeks to provide additional returns on top of a fixed income portfolio or cash by allowing investors to benefit from the VRP. The strategy looks to manage risk by using some of the premium received from selling put options on the S&P 500® Index to buy put options with lower strikes. The resulting put spread generates upfront premium for the investor while establishing a well-defined maximum risk of loss if the S&P 500® Index decreases significantly.

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 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.

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
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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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