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SGI Equity Smile Premium Euro Index

Index level: 1016.83 as of 14/12/2017

Main characteristics

Bloomberg Code SGIXEQSE
Inception Date 01/02/2013
Return Type Excess Return
Currency EUR
CALCULATED_BY Stoxx

Objective

The SGI Equity Smile Premium Euro Index aims to generate carry by capturing the equity call-implied volatility risk premium and to limit downside risks through efficient hedging.

Mechanism

The Investor sells a new OTM call option every day for 1/20th of the nominal and holds it to maturity (1 month). The option basket is delta-hedged daily to take into account the Spot/Vol correlation using a volatility smile model.


The SGI Equity Smile Premium Euro  is calculated and maintained by STOXX Limited, Zurich, Switzerland, specifically for SG
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