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SG Systematic Short Straddle Index

Index level: 1163.31 as of 12/12/2017

Main characteristics

Bloomberg Code SGIXS4SE
Inception Date 20/03/2013
Return Type Excess Return
Currency USD
CALCULATED_BY S&P Dow Jones

Objective

The SG Systematic Short Straddle Index is designed to track  the performance of a short straddle strategy that is based on a hypothetical portfolio of short positions in listed put and call options on the S&P 500 Price Return Index.

Mechanism

The Strategy consists in selling a roll of 20-Scheduled Trading Day ATM Straddles comprising,  a Short position of 1-month Put options on the S&P 500 Index and a  short position of 1-month Call options on the S&P 500 Index. The strategy sells 1/20 of the nominal every day in order to mitigate downside risk by smoothing entry points.


The SG Systematic Short Straddle (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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