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 perfor

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: