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SGI Equity Strangle Premium Euro Index

Index level: Index level is not available

Main characteristics

Bloomberg Code SGIXESPE
Inception Date 25/02/2014
Return Type Total Return
Currency EUR
CALCULATED_BY Stoxx

Objective

The SGI Equity Strangle Premium Euro Portfolio aims to provide an exposure to the performance of a short two weeks strangle strategy on EuroStoxx 50 PR Index.

Mechanism

The Index consists of rolling a short position in two weeks OTC strangles comprising Short positions of 2-week Put options on the Eurostoxx 50 Index and short positions of 2-week Call options on the EuroStoxx 50 Index. Every day 1/10 of the nominal is sold and the strike level of each option is adjusted in order to reach a Delta sensitivity of + 25% (call) or - 25% (put).


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