You have to validate the disclaimer to access this website.

Main characteristics

Bloomberg Code SGIXVP3
Inception Date 01/08/2012
Return Type Excess Return
Currency USD
CALCULATED_BY S&P Dow Jones

Objective

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).

Mechanism

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.


The SGI Vol Premium 3 (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. The S&P 500® Index is the exclusive property of S&P Dow Jones Indices, its affiliates and/or their third party licensor(s). Each of the CBOE SPX far-term VIX Index® (the VIF®) and the CBOE near-term VIX Index® (the VINX®) is the exclusive property of the Chicago Board Options Exchange, Incorporated. Each of the S&P 500® Index, the VIF® and the VINX® have been licensed for use by SG in connection with the Index.
Login to add this product to your favorites