SGI VRR US Index - Vol Roll on Rates (USD - Total Return)

Index level: 1509.591 as of 30/11/2022

Main characteristics

Bloomberg Code SGBVVRRU
Inception Date 23/04/2018
Return Type Total Return
Currency USD
Calculated By Solactive


The Index aims to generate a systematic positive carry from the backwardation in the USD swaption volatility term structure by investing in delta hedged swaption triangles.



The VRR Strategy is a systematic investment strategy that takes advantage of the backwardated term structure of the USD rates volatility. It sets up a “cheap” long forward volatility position every week built with simple ATMf straddles using the expiry/tenor that offers the highest expected carry.

The SGI VRR US Index - Vol Roll on Rates (USD - Total Return) is the exclusive property of Societe Generale. Societe Generale has signed a contract with Solactive AG wherein Solactive AG undertakes to calculate and maintain the Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trade mark or the Index Level at any time or in any other respect.