Sustaining Remission of Psychotic Depression

Inclusion Criteria: 1. Aged 18-85 years, inclusive 2. Diagnosis: Diagnostic Statistical Manual-IV Trade Revision (DSM IV-TR) non-bipolar major depression with psychotic features established by both clinical interview with research psychiatrist and administration of SCID-IV. 3. Score \>2 on Schedule for Affective Disorders (SADS) delusion severity item 4. Score \>1 on any of the three conviction items of the Delusion Assessment Scale (DAS) (does not alter belief in response to reality testing) 5. 17-item HAM-D score of \>20 Exclusion Criteria: 1. Current or lifetime DSM-IV-TR history of schizophrenia or other psychotic disorders or meeting current criteria for brief psychotic disorder, body dysmorphic disorder or obsessive-compulsive disorder 2. Current or lifetime DSM-IV-TR bipolar affective disorder 3. History of DSM-IV-TR defined alcohol or substance abuse or dependence within the past three months 4. Dementia or clinically significant cognitive impairment prior to index episode of depression, and/or a mean score \>3 on 26-item caregiver assessment 5. Type 1 diabetes mellitus (defined as insulin-dependent diabetes mellitus with onset before age 35, and/or diabetes mellitus complicated by prior documented episode of ketoacidosis 6. Acute or unstable medical illness within the past 3 months; current abnormal serum free T4; current abnormally low vitamin B4 or folic acid level; medical conditions and/or medications for which psychotic or depressive symptoms can be a direct manifestation; neurological disease associated with extrapyramidal signs and symptoms; epilepsy, if the person has had one or more grand mal seizures within the past 12 months. 7. The need for treatment with any psychotropic medication other than sertraline, olanzapine or lorazepam; or with an anticonvulsant medication with mood-stabilizing properties. 8. Current pregnancy or plan to become pregnant during the course of the study; breast feeding in women with infants. 9. A documented history of being unable to tolerate olanzapine or sertraline including significant bradycardia (heart rate of \<50 bpm), and serum sodium level of 129mmol/L or below. 10. History of non-response of the index episode of psychotic depression to at least a 6-week trial of at least 150mg/day sertraline combined with 15mg/day olanzapine 11. Patients showing ongoing improvement in current episode of psychotic depression with treatment other than sertraline or olanzapine 12. Patients who are in immediate need of electroconvulsive therapy (ECT) (imminent risk of suicide, refusing to eat, catatonic)