The document outlines the calculation methodology for the DB Commodity WTI Short Volatility II Index, including the formulae for implied volatility and index level calculations. It specifies the rebalancing process and notional holdings for the index.
documents/vol00010-efta01457136-pdf.pdf
{"document_type":"tabular","key_locations":["London"],"document_subtype":"financial index calculation","key_organizations":["DB Commodity"],"reference_numbers":["DB-SDNY-0116548","SDNY_GM_00262732","EFTA01457136"]}