db Index Development
24 March 2014 OHIO Index Guide
DB Commodity WTI Short Volatility II Index
Summary
The DB Commodity WTI Short Volatility index is based on a systematic short volatility
strategy. The Index comprises of 3 equally weighted sub-indices reweighted on an
annual basis. Each sub-index replicates a strategy to sell straddles on 3 month futures
on WTI. The delta of the straddles in each sub-index is calculated on a daily basis and
hedged at the market close. The straddle position is held to option expiry and then rolled
for further 3 months. The index return is based on the return from straddle position and
the delta hedged position.
Index Suite
The index is calculated and published to Bloomberg in the following versions;
DB Commodity WTI Short Volatility II Index
:din win!:
ER USD
ium DBCMWSV2
DB Commodity WTI Short Volatility II Sub index I ER USD DBCMWS12
DB Commodity WTI Short Volatility II Sub index II ER USD DBCMWS22
DB Commodity WTI Short Volatility II Sub index Ill ER USD DBCMWS32
Index Development Contacts:
London
Hong Kong
New York
A Passion to Perform. Deutsche Bank
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0116545
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