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STRATEGY INDICES

EURO iSTOXX 50 Short Strangle KWCDC

Index Description

The EURO iSTOXX® 50 Short Strangle KWCDC Index is an innovative investment tool that measures the performance of a hypothetical portfolio reflecting a short strangle investment strategy based on the EURO STOXX 50® Index, Europe's leading blue-chip index for the Eurozone. The EURO iSTOXX 50 Short Strangle KWCDC Index reflects a strategy in which an investor sells a EURO STOXX 50 call and put option, both with a strike 5% out of the money, while earning the Korean 3-Month Certificate of Deposit rate on the notional.

Key facts

  • A short strangle option strategy is a limited-profit, unlimited-risk options strategy
  • Suitable for investors that expect the underlying to experience little volatility in the near term
  • Short strangles are credit spreads
  • EURO STOXX 50 Index options are among the most liquid listed options in Europe

Descriptive Statistics

Index Market Cap (EUR ) Components (EUR ) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
EURO iSTOXX 50 Short Strangle KWCDC N/A N/A N/A N/A N/A N/A N/A N/A N/A
EURO STOXX 50 Short Strangle N/A N/A N/A N/A N/A N/A N/A N/A N/A

Risk and return figures1

Index returns Return (%) Annualized return (%)
Last month YTD 1Y 3Y 5Y Last month YTD 1Y 3Y 5Y
EURO iSTOXX 50 Short Strangle KWCDC 0.6 1.6 3.1 18.8 -5.7 N/A N/A 3.2 6.0 -1.2
EURO STOXX 50 Short Strangle 0.3 -0.2 -0.7 9.1 -15.2 N/A N/A -0.7 3.0 -3.3
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO iSTOXX 50 Short Strangle KWCDC N/A N/A 3.1 7.6 11.6 N/A N/A -0.2 0.5 -0.2
EURO STOXX 50 Short Strangle N/A N/A 12.5 18.0 21.0 N/A N/A 0.6 0.2 0.3
Index to benchmark Correlation Tracking error (%)
EURO iSTOXX 50 Short Strangle KWCDC -0.4 -0.1 0.0 0.0 0.2 4.2 3.8 4.4 10.7 15.1
Index to benchmark Beta Annualized information ratio
EURO iSTOXX 50 Short Strangle KWCDC -0.4 -0.1 0.0 0.0 0.2 0.6 1.0 0.8 0.2 0.1

1For information on data calculation, please refer to STOXX calculation reference guide

2Based on EURIBOR1M

(EUR, Total Return), all data as of June 28, 2024

STRATEGY INDICES

EURO iSTOXX 50 Short Strangle KWCDC

Fundamentals

Index Price/earnings incl. negative Price/earnings excl. negative Price/book Dividend yield (%)3 Price/sales Price/cash flow
Trailing Projected Trailing Projected Trailing Trailing Trailing
EURO iSTOXX 50 Short Strangle KWCDC N/A N/A N/A N/A N/A N/A N/A N/A
EURO STOXX 50 Short Strangle N/A N/A N/A N/A N/A N/A N/A N/A

Performance and annual returns

Methodology

The EURO iSTOXX 50 Short Strangle KWCDC combines a cash position and EURO STOXX 50 call and put options. The strategy sells a EURO STOXX 50 Index call and put option simultaneously.

The composition of the index is adjusted on a monthly basis, i.e. it requires a monthly rolling procedure on each third Friday of a month when the old EURO STOXX 50 call and put options cease trading at 12:00 CET; they are then replaced by a new EURO STOXX 50 call and put option. New one-month call options must have a remaining lifetime of one month. For the EURO iSTOXX 50 Short Strangle KWCDC the options must be 5% out of the money, i.e. the lowest (highest) strike above (below) or equal to the EURO STOXX 50 Index settlement price plus (minus) 5% for the call (put) option.

The detailed methodology including the calculation formula can be found in our rulebooks: www.stoxx.com/rulebooks

Quick Facts

Review frequency Monthly
Calculation/distribution 15 sec
Calculation hours 09:00:00 17:30:00
Base value/base date 10000 as of Jan. 18, 2008
History Since Jan. 18, 2008
Inception date Dec. 18, 2019
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

CONTACT DETAILS

  • STOXX customer support
  • P +41 43 430 7272
  • customersupport@stoxx.com
  • https://qontigo.com/support/

DISCLAIMER

STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not make any warranties or representations, express or implied, with respect to the timeliness, sequence, accuracy, completeness, currentness, merchantability, quality or fitness for any particular purpose of its index data and exclude any liability in connection therewith. STOXX, Deutsche Börse Group and their licensors, research partners or data providers are not providing investment advice through the publication of indices or in connection therewith. In particular, the inclusion of a company in an index, its weighting, or the exclusion of a company from an index, does not in any way reflect an opinion of STOXX, Deutsche Börse Group or their licensors, research partners or data providers on the merits of that company. Financial instruments based on the STOXX indices, DAX indices or on any other indices supported by STOXX are in no way sponsored, endorsed, sold or promoted by STOXX, Deutsche Börse Group or their licensors, research partners or data providers.

BACKTESTED PERFORMANCE

This document contains index performance data based on backtesting, i.e. calculations of how the index might have performed prior to launch if it had existed using the same index methodology and based on historical constituents. Backtested performance information is purely hypothetical and is provided in this document solely for information purposes. Backtested performance does not represent actual performance and should not be interpreted as an indication of actual performance.

CUSTOMIZATION

The index can be used as a basis for the definition of STOXX Customized Indices, which can be tailored to specific client or mandate needs. STOXX offers a wide range of customization, in terms of component selection, weighting schemes and personalized calculation methodologies.

CONTACT DETAILS

  • STOXX customer support
  • P +41 43 430 7272
  • customersupport@stoxx.com
  • https://stoxx.com/support/

DISCLAIMER

STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not make any warranties or representations, express or implied, with respect to the timeliness, sequence, accuracy, completeness, currentness, merchantability, quality or fitness for any particular purpose of its index data and exclude any liability in connection therewith. STOXX, Deutsche Börse Group and their licensors, research partners or data providers are not providing investment advice through the publication of indices or in connection therewith. In particular, the inclusion of a company in an index, its weighting, or the exclusion of a company from an index, does not in any way reflect an opinion of STOXX, Deutsche Börse Group or their licensors, research partners or data providers on the merits of that company. Financial instruments based on the STOXX indices, DAX indices or on any other indices supported by STOXX are in no way sponsored, endorsed, sold or promoted by STOXX, Deutsche Börse Group or their licensors, research partners or data providers.

BACKTESTED PERFORMANCE

This document contains index performance data based on backtesting, i.e. calculations of how the index might have performed prior to launch if it had existed using the same index methodology and based on historical constituents. Backtested performance information is purely hypothetical and is provided in this document solely for information purposes. Backtested performance does not represent actual performance and should not be interpreted as an indication of actual performance.

CUSTOMIZATION

The index can be used as a basis for the definition of STOXX Customized Indices, which can be tailored to specific client or mandate needs. STOXX offers a wide range of customization, in terms of component selection, weighting schemes and personalized calculation methodologies.