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SGI VRR US Index - Vol Roll on Rates (USD - Total Return)

Index level: 1198.94 as of 10/08/2020

Main characteristics

Bloomberg Code SGBVVRRU
Inception Date 23/04/2018
Return Type Total Return
Currency USD
Calculated By Bloomberg


The Index aims to generate a systematic positive carry from the backwardation in the USD swaption volatility term structure by investing in delta hedged swaption triangles.



The VRR Strategy is a systematic investment strategy that takes advantage of the backwardated term structure of the USD rates     volatility. It sets up a “cheap” long forward volatility position every week built with simple ATMf straddles using the expiry/tenor that offers the highest expected carry.

Bloomberg Finance L.P. and its affiliates (collectively, “Bloomberg”) are not affiliated with Société Générale and do not approve, endorse, review, or recommend the SGI VRR US Index - Vol Roll on Rates. Bloomberg does not guarantee the timeliness, accurateness, or completeness of any data or information relating to the SGI VRR US Index - Vol Roll on Rates.  Bloomberg makes no warranty, express or implied, as to the SGI VRR US Index - Vol Roll on Rates or any data or values relating thereto or results to be obtained therefrom, and expressly disclaims all warranties of merchantability and fitness for a particular purpose with respect thereto.  To the maximum extent allowed by law, Bloomberg, its licensors, and its and their respective employees, contractors, agents, suppliers, and vendors shall have no liability or responsibility whatsoever for any injury or damages—whether direct, indirect, consequential, incidental, punitive, or otherwise—arising in connection with the SGI VRR US Index - Vol Roll on Rates or any data or values relating thereto—whether arising from their negligence or otherwise.

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