The DB Commodity WTI Short Volatility index is based on a systematic short volatility strategy. It comprises three equally weighted sub-indices reweighted annually, each replicating a strategy to sell straddles on 3-month futures on WTI. The index return is based on the return from the straddle position and the delta hedged position.
documents/vol00010-efta01457135-pdf.pdf
{"title":"OHIO Index Guide - DB Commodity WTI Short Volatility II Index","document_date":"2014-03-24","document_type":"tabular","key_locations":["London","Hong Kong","New York"],"key_organizations":["Deutsche Bank"],"reference_numbers":["DB-SDNY-0116545","SDNY_GM_00262729","EFTA01457135"]}