Volatility control is one of the most common and essential, but least understood, parts of the proprietary index puzzle. By shifting constantly allocations between a higher-volatility proprietary index and low or zero volatility position in cash or fixed income, volatility control can deliver consistent option pricing and strong return optics (100%+ participation with no cap) without completely sacrificing the return edge of the proprietary index. But there's a dark side - volatility control is quite complex. The return for the client at the end of the year is the result of potentially hundreds of different allocations throughout the year, making the final performance virtually untraceable.