SG investable index captures volatility spread on S&P 500

News

Societe Generale Index (SGI) has launched the SG Vol Premium US index, an investable volatility index designed to capture the spread between the implied and realised volatility on the S&P 500 by rolling variance swaps. The strike of each variance swap is directly derived from the Vix Index, computed by the Chicago Board of Exchange, which reflects a market estimate of future one-month volatility on the S&P 500, based on the weighted average of the implied volatilities.

The index tracks the

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