A Volatility Chart

Options Absolute Return Strategy (OARS)

Our Option Absolute Return strategy ("OARS") seeks to generate absolute returns of 2-3% annually that is generally negatively correlated to the equity benchmark indices while limiting downside risk to 5% or 10%.

Strategy Goals

Our approach attempts to capture the persistent relationship of implied volatility generally exceeding subsequent realized volatility embedded in options pricing by systematically selling options while adhering to pre-defined risk limits defining a maximum potential loss in any 28 day period.

Investment Philosophy

Writing a call and put spread combination.

 


Source: Parametric.

Provided for illustrative purposes only. Generally illustrates how the profit and loss of writing put and call option spread combinations may change over time. Individual option spread positions generally will be entered into with respect to approximately 1/12th (for 5% max drawdown implementation) of an account’s specified program size. There is no guarantee that the investment objectives can be achieved. Investment management techniques require market liquidity in the specific option. Parametric and each strategy may not be able to achieve its goals as described above.

Options Absolute Return Strategy (OARS) is offered by Parametric Investment & Overlay Strategies.  For additional information please visit the Disclosure page.

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Volatility Management

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Volatility Management

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