SG investable index captures volatility spread on S&P 500
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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