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SGI JPY FX Covered Call index

Index level: 890.26 as of 23/11/2017

Main characteristics

Bloomberg Code SGIFXCCY
Inception Date 14/07/2014
Return Type Excess Return
Currency USD
CALCULATED_BY S&P Dow Jones

Objective

The SGI – JPY FX Covered Call index aims to synthetically replicate a systematic short 1-Month 25 Delta Call option strategy on USD/JPY.

Mechanism

The Index Strategy is based on six sub indices. Every sub index consists of the synthetic sale every 30 Calculation Date of a 1 Month 25 Delta Call on the USD/JPY whose premium is deemed paid at maturity in USD. Each sub index has been launched with a 5-day lag. The Index is the average value of those six sub indices.


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