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SGI Equity Strangle Premium US Portfolio Index

Index level: 1071.86 as of 24/05/2017

Main characteristics

Bloomberg Code SGIXESPU
Inception Date 23/02/2015
Return Type Total Return
Currency USD
CALCULATED_BY S&P Dow Jones

Objective

The SGI Equity Strangle Premium US Portfolio Index aims to provide an exposure to the performance of a short two-week strangle strategy on S&P 500 PR Index.

Mechanism

The Index consists in rolling a short position of two-week OTC strangles comprising short positions of 2-week Put options and of 2-week Call options on the S&P 500 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 0% (+/- 25% delta for each option).


The SGI Equity Strangle Premium US Portofolio 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 maintain and calculate the Index. S&P® is a registered trademarks 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 Custom” and its related stylized mark(s) are service marks of S&P Dow Jones Indices and have been sublicensed for certain purposes by SG. Neither S&P Dow Jones Indices, SPFS, Dow Jones nor any of their affiliates shall be liable for any errors or omissions in calculating the Index.
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