SGI Vol Premium 3 is a systematic rules based index, aiming to capture the spread between implied volatility and realized volatility by rolling positive variance swaps. These positions are rolled on a weekly basis (5 business days).
The SGI Vol Premium 3 Index tracks the performance of a hypothetical portfolio holding variance swaps, rolling short positions on variance swaps with listed maturity close to 1 month. The positions in the variance swaps attempt to capture the spread between implied and realized volatility. The strike of each variance swap corresponds to the prevailing implied volatility.