Bloomberg code | SGIFXG4 |
---|---|
Inception date | 01/29/2013 |
Return type | Excess Return |
Currency | USD |
The SGI FX - G4 Smile Premium Index (the Index) was launched on January 29, 2013 and aims, through 3 sub-indices, to synthetically capture the spread between implied and realized volatility observed on the G4 currencies (USD versus EUR, GBP, and JPY) by hypothetically rolling delta hedged strategies.
The SGI FX - G4 Smile Premium Index tracks the performance of 3 sub-indices, hypothetically rolling short positions in 25 delta strangles that are hypothetically delta-hedged with a 1-month maturity on the 3 G4 currencies versus the US Dollar (GBP, JPY, and EUR). The position of the Index is delta hedged by taking positions on the underlying forward.