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Indices

EURO iSTOXX® 50 Collar

Summary

The EURO iSTOXX® 50 Collar Index aims to replicate a hedging strategy on the EURO STOXX 50® using an option collar. The strategy consists of the daily purchase of a fraction of two quarterly put options with expiry dates 12 and 15 months in the future, respectively, and the daily sale of a fraction of two to six monthly call options with expiry dates 1 and 2 months in the future, while going long on the underlying EURO STOXX 50®. Each option stays in the option portfolio until its expiry. The quantity of options to be bought and sold daily is balanced in order to be in average long one put and short one call.
This option collar aims to implement a defensive strategy to “smooth down” the EURO STOXX 50® and reduce volatility. It provides long-term downside protection thanks to the long position on put options. Although the short position on call options prevents the strategy from recording large gains, their short expiry time (1 and 2 months) minimizes the potentially missed profits.

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Details

Symbol
ISX5ECCP
Calculation
End-of-day
Dissemination Period
20:00-20:00 CET
ISIN
CH0313264621
Bloomberg ID
BBG00LSZS0N9
Last Value
92.23 -0.12 (-0.13%)
As of 08:00 pm CET
Week to Week Change
0.47%
52 Week Change
-7.68%
Year to Date Change
-11.07%
Daily Low
92.226
Daily High
92.226
52 Week Low
89.64329 Sep 2022
52 Week High
104.4385 Jan 2022
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