S&P GSCI Crude Oil Covered Call Index Methodology

Transcription

1 S&P GSCI Crude Oil Covered Call Index Mehodology S&P Dow Jones Indices: Index Mehodology April 2017

2 Table of Conens Inroducion 2 Highlighs 2 The S&P GSCI Crude Oil Covered Call Index Mehodology 2 Definiions 3 Index Consrucion 4 Approaches 4 Index Calculaions 4 Index Mainenance 7 Rebalancing 7 Index Governance 8 Index Commiee 8 Index Policy 9 Announcemens 9 Index Disseminaion 10 Tickers 10 S&P Dow Jones Indices Conac Informaion 11 Index Managemen 11 Produc Managemen 11 Media Relaions 11 Clien Services 11 Disclaimer 12 S&P Dow Jones Indices: S&P GSCI Crude Oil Covered Call Index Mehodology 1

3 Inroducion The S&P GSCI Crude Oil Covered Call Index seeks o simulae a covered call sraegy on he mos acive crude oil fuures conrac. This mehodology was creaed by S&P Dow Jones Indices o achieve he aforemenioned objecive of measuring he underlying ineres of each index governed by his mehodology documen. Any changes o or deviaions from his mehodology are made in he sole judgmen and discreion of S&P Dow Jones Indices so ha he index coninues o achieve is objecive. Highlighs A covered call sraegy is an income generaing sraegy ha is generally used in a neural o bullish marke environmen, where a slow and seady rise in marke prices is anicipaed. The index reflecs an invesmen in he rolling acive WTI Crude Oil fuures conrac raded on he NYMEX, an exchange owned by he CME Group, and he sysemaic wriing (selling) of ou-of-he-money (OTM) calls on he same conrac. The index seeks o provide higher reurns han he S&P GSCI Crude Oil Index, wih lower volailiy, in mos marke environmens wih he excepion of when he crude oil fuures marke is rallying rapidly. The S&P GSCI Crude Oil Covered Call Index Mehodology This mehodology uses various erms and definiions from he S&P GSCI Index Mehodology, henceforh referred o as he S&P GSCI Mehodology. Where no specifically noed oherwise in his documen, he rules of he S&P GSCI Mehodology will prevail. Where he erms in his documen are also defined in he S&P GSCI Mehodology, he definiions in his documen prevail. S&P Dow Jones Indices: S&P GSCI Crude Oil Covered Call Index Mehodology 2

4 Definiions Call opion. A conrac beween a buyer and seller whereby he buyer acquires he righ, bu no he obligaion, o purchase a specific securiy a a fixed price on or before a specified dae. The seller of he call assumes he obligaion of delivering he securiy. Srike price. The price a which he underlying will be delivered in he even he opion is exercised. Volailiy. The degree o which he price of an underlying securiy ends o flucuae over ime. S&P Dow Jones Indices: S&P GSCI Crude Oil Covered Call Index Mehodology 3

5 Index Consrucion Approaches The index is calculaed on a hypoheical porfolio consising of a long fuures posiion and a shor OTM call posiion, boh of which are rolled monhly. The fuures and opions roll over a five-day period, saring on he firs business day of each monh. Index Calculaions Calculaing he Toal Reurn of he Porfolio The index is calculaed based on he oal reurn of a hypoheical porfolio consising of a long fuures posiion and a shor OTM call. If i s no during a roll period, he reurn and he index value are calculaed as follows: R = F F C 1 C 1 1 I = I 1 (1 + R ) where: R I F = Index reurn on day = Index level on day = Closing price of he fuures conrac on day F -1 = Closing price of he fuures conrac on day -1 C = Closing price of he call opion on day C -1 = Closing price of he call opion on day -1 Five Day Roll Crude oil fuures and opions are no held o mauriy. Insead, he long fuures and shor opions posiions roll o he nex monh over a five-day period, wih 20% being replaced every business day. The roll period is he firs five business days of each monh. The opion chosen o be rolled ino is always based on he same conrac monh as he fuures ha are being rolled ino. Wih he subsiuion of he roll during he 1 s hrough he 5 h business days for he index, he roll rules and procedures followed are hose as specified in he S&P GSCI Mehodology. Table 1: Conracs Included in he S&P GSCI Crude Oil Covered Call Designaed Conrac Trading Commodiy Ticker Faciliy Expiraions a Monh Begin (1) Monh NYM / ICE WTI Crude Oil CL G H J K M N Q U V X Z F S&P Dow Jones Indices: S&P GSCI Crude Oil Covered Call Index Mehodology 4

6 Table 2: Monh Leer Codes Monh January February March April May June July Augus Sepember Ocober November December Leer Code F G H J K M N Q U V X Z Deermining he Srike of he Call Opion The index deermines he srike price of he call opion o be rolled ino based on he marke price level implied by he realized volailiy of he crude oil marke. Afer he close of he las rading day of each monh, he annualized realized volailiy of he pas 21 rading days of he index is calculaed. The 21-day realized (hisorical) volailiy is calibraed wih he number of calendar days lef o expiraion in he opion conrac monh o be rolled ino. We denoe his as vol. r i = S S i i 1 1 r i = j= 0 r i j sdev = j= 0 ( r i j r i ) 2 realized volailiy = sdev* 252 vol = realized volailiy* # calendar days o exp ire 365 where: S i = Closing price of he S&P GSCI Crude Oil Spo Index on he i h rading day r i = Daily reurn of he S&P GSCI Crude Oil Spo Index on he i h rading day r = The 21-day average daily reurn of he S&P GSCI Crude Oil Spo Index on he i h rading day i The srike of he call opion, K, is 1 vol above he close of he fuures conrac o be rolled ino on he las rading day of each monh. K = F ( 1 vol) + S&P Dow Jones Indices: S&P GSCI Crude Oil Covered Call Index Mehodology 5

7 where: F = Closing price of he fuures conrac o be rolled ino. If he calculaed srike price, K, falls beween wo opion srikes, he call opion ha is immediaely above K is chosen Five-Day Saggered Roll The roll period sars on he firs business day of each calendar monh. Wih each successive day, 20% of he expiring fuures and opions are replaced by he conracs a he close and assumed official selemen prices. Exhibi 1 shows an example of he weighs of he wo mauriies. The reurn of he porfolio and he index value are calculaed as follows: R W = W 1 1 ( F ( F 1 C C 1 ) + W ) + W 1 1 ( F ( F 1 C C 1 ) 1 ) I = I 1 (1 + R ) where: W = Weigh of he fuures / opions F = Closing price of he fuures C = Closing price of he call opion W = Weigh of he fuures / opions F = Closing price of he fuures = Closing price of he call opion C S&P Dow Jones Indices: S&P GSCI Crude Oil Covered Call Index Mehodology 6

8 Index Mainenance Rebalancing Since he index is based on one underlying securiy, here is no periodic rebalancing. In calculaing he index, fuures and opions are rolled on he firs five business days of each monh, excluding weekends and holidays. S&P Dow Jones Indices: S&P GSCI Crude Oil Covered Call Index Mehodology 7

9 Index Governance Index Commiee The S&P GSCI Commiee mainains he S&P Crude Oil Covered Call Index. The Index Commiee mees regularly. A each meeing, he Index Commiee reviews any significan marke evens. In addiion, he Index Commiee may revise index policy for he iming of rebalancing or oher maers. S&P Dow Jones Indices considers informaion abou changes o is indices and relaed maers o be poenially marke moving and maerial. Therefore, all Index Commiee discussions are confidenial. For informaion on Qualiy Assurance and Inernal Reviews of Mehodology, please refer o S&P Dow Jones Indices Commodiies Indices Policies & Pracices documen locaed under he Resource Cener on our Web sie, S&P Dow Jones Indices: S&P GSCI Crude Oil Covered Call Index Mehodology 8

10 Index Policy Announcemens Announcemens of he daily index values are made afer he fuures marke close each day. Announcemens of he call srike price o be rolled ino are made following he close of business on he las business day of each monh. The index is calculaed daily when he NYMEX, an exchange owned by he CME Group, crude oil fuures and opions are open for official rading and official selemen prices are provided, excluding holidays and weekends. In siuaions where an exchange is forced o close early due o unforeseen evens, such as compuer or elecric power failures, weaher condiions or oher evens, S&P Dow Jones Indices will calculae he value of he index based on mos recen opion price published by he NYMEX, an exchange owned by he CME group. If an exchange fails o open due o unforeseen circumsances, S&P Dow Jones Indices may deermine no o publish he index for ha day. For informaion on Calculaions and Pricing Disrupions, Exper Judgmen, Daa Hierarchy and Unexpeced Exchange Closures, please refer o S&P Dow Jones Indices Commodiies Indices Policies & Pracices documen locaed under he Resource Cener on our Web sie, S&P Dow Jones Indices: S&P GSCI Crude Oil Covered Call Index Mehodology 9

11 Index Disseminaion Hisorical index reurns are available hrough S&P Dow Jones Indices index daa group for subscripion via FTP. Tickers Index Bloomberg Reuers S&P GSCI Crude Oil Covered Call Index SPCLCL.SPCLCL S&P GSCI Crude Oil Covered Call Index ER SPCLCLP.SPCLCLP S&P GSCI Crude Oil Covered Call Index T R SPCLCLTR.SPCLCLTR S&P Dow Jones Indices: S&P GSCI Crude Oil Covered Call Index Mehodology 10

12 S&P Dow Jones Indices Conac Informaion Index Managemen David M. Blizer, Ph.D. Managing Direcor & Chairman of he Index Commiee Produc Managemen Jodie Gunzberg Vice Presiden of Commodiies Media Relaions Soogyung Jordan Communicaions Clien Services S&P Dow Jones Indices: S&P GSCI Crude Oil Covered Call Index Mehodology 11

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