The SGI Credit Europe Strangle Premium Index aims to generate steady returns through the systematic sale of short-term swaptions on the European Credit Benchmark, the iTraxx Main 5Y Index.
The Index consists of the deemed sale of a roll of 4 4-week OTC strangle options comprising:
-Short positions of 4-week Receiver options on the 5-year iTraxx Main on-the-run series.
-Short positions of 4-week Payer options on the 5-year iTraxx Main on-the-run series
The strategy sells 1/4 of the nominal every week in order to mitigate downside risk by smoothing entry points.
Every week, the strike level of each option sold is adjusted in order to reach a Delta sensitivity of 0% at launch (+/- 25% delta for each option).
The leverage is kept constant at x5.
Options are held until maturity, with no delta heding.
The SGI Credit Europe Strangle Premium Index is administered and calculated by Markit. For more information, see www.markit.com. Markit makes no representation and expressly disclaims all warranties of accuracy, merchantability or fitness for a particular purpose or use with respect to The SGI Credit Europe Strangle Premium Strategyor any data included therein, or any data from which it is based or as to results to be obtained from the use of the The SGI Credit Europe Strangle Premium Strategy. Markit does not sponsor, endorse, sell, or promote any investment fund or other vehicle that is offered by Société Générale or third parties and that seeks to provide an investment return based on the returns of the The SGI Credit Europe Strangle Premium Strategy.