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The SGI Enhanced BuyWrite US Index (the Index) tracks the performance of an enhanced buy-write strategy based on the S&P 500® Total Return Index (the Underlying Index).
Generally, a “buy-write” or “covered call” strategy is an investment strategy in which an investor simultaneously buys stocks and sells (or “writes”) call options on each purchased stock with strike prices equal to or slightly higher than the prices of the stocks at the time the options are priced.
In consideration for giving up the potential appreciation of the stock above the strike price, the investor receives an “option premium” for the sale of the call options which helps mitigate any depreciation of the stock underlying the call option.
The buy-write strategy used by the Index is “enhanced” because it adjusts the call options’ strike prices according to market trends.
The Index tracks the performance of a buy-write strategy consisting of:
1. A hypothetical long investment in the S&P 500 Total Return Index; and
2. The hypothetical sale of a succession of 1-month call options on the S&P 500® Index (the “SPX Index”) listed on the Chicago Board Options Exchange.
The two positions are deemed held in equal notional amounts. The strike prices of the call options are determined based on market trends, as measured by comparing the performance of the Underlying Index over the previous month to the performance of the Underlying Index over the previous twelve months.
In a bullish (or upwardly-trending) market, the Index approach is similar to that of a traditional buy-write strategy, in that the strike price of the option is set above the then-current level of the SPX Index (approximately 105% of the level of the SPX Index). The option is therefore out-of-themoney for the option buyer, which decreases the corresponding option premium deemed incorporated in the Index, but allows for participation in the appreciation of the SPX Index up to the strike price (i.e. above the then-current level of the SPX Index).
In a bearish (or downwardly-trending) market, however, the strike price of the option is set below the then-current level of the SPX Index (approximately 95% of the level of the SPX Index). The option is therefore in-the-money, which increases the option premium deemed incorporated in the Index, but eliminates any opportunity for participation in any performance of the SPX Index above the then-current level.
Index Adjustment Factor =
0.50% p.a. deducted daily from the Index level