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SGI Vol Premium 3

Index level: 1478.23 as of 12/03/2019

Main characteristics

Bloomberg code SGIXVP3
Inception date 08/01/2012
Return type Excess Return
Currency USD

Objective

SGI Vol Premium 3 Index (the “Index”) is a systematic and rule based index that aims to capture the potential volatility risk premium that may be observed on the S&P 500 Index between the implied and realized volatility. The Index is designed to track the performance of a hypothetical portfolio of rolling short positions in a group of five (5) hypothetical 1-month variance swaps on the S&P 500 Index.

Mechanism

The Index portfolio comprises hypothetical short positions in 5 variance swaps each representing 1/5th of the portfolio (entered into over 5 successive business days). Each new variance swap’s characteristics are as follows:

 

- Strike; corresponding to the prevailing implied volatility

- Maturity; corresponding to the listed maturity closest to 1 month or slightly longer

- Nominal; resulting in a hypothetical exposure equal to 35% of the Index level

 

Shortly before each variance swap’s maturity, the hypothetical position is rolled (spread over 5 successive business days). The previous variance swap positions are deemed unwound (mark-to-market value is deemed realized), and hypothetical short positions in new variance swaps are deemed taken.

The Index began publishing on Ausust 1, 2012. Therefore, all data for the Index for the period prior to Ausust 1, 2012 represent Standard & Poor's ("S&P"s) application of the Index methodology in order to reconstruct hypothetical historical data. Results during the period prior to Ausust 1, 2012 may have been different(perhaps considerably) had the Index actually been in existence. The SGI Vol Premium 3 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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