S&P/TSX 60 Delta Hedged Straddle 0.5% Vega Index

The S&P/TSX 60 Delta Hedged Straddle 0.5% Vega Index is designed to measure the performance of a strategy comprising a short three-month at-the-money straddle on the iShares S&P/TSX 60 ETF (XIU), scaled using a 0.5% vega and delta hedged using S&P/TSX 60 futures.

• S&P/TSX 60 Delta Hedged Straddle 1% Vega Index
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