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Dynamic Long VIX futures Index

Index level: 1116.41 as of 17/05/2018

Main characteristics

Bloomberg Code DLVIX
Inception Date 31/08/2012
Return Type Total Return
Currency USD
Calculated By Chicago Board Options Exchange Incorporated

Objective

The Dynamic Long VIX Futures Index is a dynamic allocation between a hypothetical money market instrument and a dynamic strategy (the “Volatility Strategy”), designed to provide efficient long exposure to the first five nearby futures contracts on  the VIX Index.

Mechanism

The strategy consists  of rolling a long position in VIX futures. This aims to:

-Deliver positive performance when volatility rises through a dynamic exposure to VIX Forward Term structure.

-Reduce the cost of carry thanks to SG roll methodology.

-Ensure liquidity by investing only in short-term and mid term  futures.

When VIX Future Term structure is in contango, mid term maturities are rolled to minimize cost of carry. When VIX Future Term structure is in backwardation, short term maturities are rolled to maximize gain of carry


The Dynamic Long VIX Futures Index is the exclusive property of SG.   SG has contracted with the Chicago Board Options Exchange Incorporated (“CBOE”) to maintain and calculate the Index.  The VIX® is the property of the Chicago Board Options Exchange, Incorporated. The VIX® Index have been licensed for use by SG in connection with the Index.  Neither CBOE nor any of its affiliates shall have any liability for any errors or omissions in calculating the Index.

 

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