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SGI GBP FX Smile Premium

Index level: 934.38 as of 15/08/2019
Factsheet DAILY_FACTSHEET

Main characteristics

Bloomberg Code SGIFXSGP
Inception Date 29/01/2013
Return Type Excess Return
Currency USD
Calculated By S&P Dow Jones

Objective

The SGI GBP FX Smile Premium Index is a systematic index that aims to capture the spread between implied and realized volatility observed on the GBP/USD. The Index aims to provide consistent and stable returns, while exhibiting low correlation with traditional asset classes.

Mechanism

The SGI GBP FX Smile Premium Index tracks the performance of the GBP/USD rolling short positions in 25 delta strangles with a 1-month maturity on GBP versus US dollar. The position of the Index is delta hedged on a daily basis by taking positions on the underlying forward.

SGI GBP 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.

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