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SGI Interest Rates Strangle Premium Euro Index

Index level: 1087.53 as of 17/08/2017

Main characteristics

Bloomberg Code SGIXIRSP
Inception Date 25/02/2014
Return Type Excess Return
Currency EUR
CALCULATED_BY S&P Dow Jones

Objective

The SGI Automatic Roll Trading Strangles (ARTS) aims to capture the spread between implied and realized volatility observed on 10-year EUR swap rate by rolling short positions in 1-month swaption strangles.

Mechanism

The strategy consists in selling 1-month Strangles on 10Y EUR Swap rate on a systematic basis with the following strike details:

Sale of a 1-month payer swaption on 10Y EUR Swap rate, strike at-the-money forward +25 bps

Sale of a 1-month receiver swaption on 10Y EUR Swap rate, strike at-the-money forward -25 bps

Everyday 1/20 of the nominal is sold for a fixed maturity of 1 month and the leverage will be maintained at the level of 10 x on a daily basis. Each option is carried until the Expiry Date.


SGI Interest Rates Strangle Premium Euro 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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