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