The SGI EUR FX Smile Premium Index is a systematic index that aims to capture the spread between implied and realized volatility observed on the EUR/USD. The Index aims to provide consistent and stable returns, while exhibiting low correlation with traditional asset classes.
The SGI EUR FX Smile Premium Index tracks the performance of the EUR/USD rolling short positions in 25 delta strangles with a 1-month maturity on EUR versus US dollar. The position of the Index is delta hedged on a daily basis by taking positions on the underlying forward.
SGI EUR FX Smile Premium Index (the “Index”) is the property of SG, which has contracted with S&P Opco, LLC (a subsidiary of S&P Dow Jones Indices LLC) (“S&P Dow Jones Indices”) to calculate the Index. S&P® is a registered trademark of Standard & Poor’s Financial Services LLC (“SPFS”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); and, these trademarks have been licensed to S&P Dow Jones Indices.] “Calculated by S&P Dow Jones Indices” and its related stylized mark(s) have been licensed for use by [SG]. Neither S&P Dow Jones Indices, SPFS, Dow Jones, nor any of their affiliates sponsor and promote the Index and none shall be liable for any errors or omissions in calculating the Index.