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SGI Vol Premium US ER

Index level: 1353.38 as of 17/08/2017

Main characteristics

Bloomberg Code SGIXVPUX
Inception Date 01/08/2007
Return Type Excess Return
Currency USD
CALCULATED_BY Standard & Poor's

Objective

The index is based on a systematic investment strategy consisting in selling variance swaps while holding a long position on the cash market.The short position in variance swap gives a positive exposure to the spread between the implied variance and the realized variance. The strike of each variance swap is deducted from the VIX level as of the relevant roll date.The volatility spread exposure is automatically reduced on the following roll date depending on risk indicators including the VAR.

Mechanism

The index is based on a systematic investment strategy consisting in selling variance swaps while holding a long position on the cash market.The short position in variance swap gives a positive exposure to the spread between the implied variance and the realized variance. The strike of each variance swap is deducted from the VIX level as of the relevant roll date.The volatility spread exposure is automatically reduced on the following roll date depending on risk indicators including the VAR.

The SGI Vol Premium US ER (USD - ER) (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® Total Return index is the exclusive property of S&P Dow Jones Indices, its affiliates and/or their third party licensor(s) and the CBOE Volatility Index® (the VIX®) is the property of the Chicago Board Options Exchange, Incorporated. The S&P 500® Total Return index and the VIX® have been licensed for use by SG in connection with the Index.
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