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SGI FX Smile Premium G4 Index

Index level: 854.90 as of 06/01/2020

Main characteristics

Bloomberg code SGIFXG4
Inception date 01/29/2013
Return type Excess Return
Currency USD

Objective

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.

Mechanism

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.

The SGI SGI FX Smile Premium G4 Index began publishing on January 29, 2013. Therefore, all data for the Index for the period prior to January 29, 2013 represent S&P Dow Jones ("S&P DJ"s) application of the Index methodology in order to reconstruct hypothetical historical data for the period prior to January 29, 2013 consistent with the Index methodology. Results prior to January 29, 2013 may have been different had the Index actually been in existence. The SGI SGI FX Smile Premium G4 Index (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 trademark 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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