BNP Paribas Nasdaq Night Owl Index

introducing the

NASDAQ NIGHT OWL INDEX

The Nasdaq Night Owl Index (“the Index”) is a rules-based index that aims to extract the overnight return, or “night effect”, of the Nasdaq-100 Index®. It targets an annual realized volatility of 15% by leveraging a risk mitigation strategy from BNP Paribas and a reactive risk control mechanism powered by Salt Financial.

The night effect is a well-known phenomenon whereby overnight markets have historically outperformed the daytime trading session on a risk-adjusted basis.

For an explanation of how the night effect works, please click here.

For a list of selected risks and considerations with the Nasdaq Night Owl Index, click here.

THE NASDAQ NIGHT OWL INDEX IS DESIGNED AROUND 3 KEY FEATURES

The Index has been designed to benefit from the night effect, a well-researched phenomenon¹ that suggests overnight markets have historically outperformed the daytime trading session on a risk-adjusted basis. The methodology controls for costs and only rebalances to isolate the night effect when deemed to be most advantageous:

If volatility is high² and recent overnight returns have been negative³, then the Index triggers the strategic overnight allocation.
Otherwise, the Index maintains equity exposure throughout both day & overnight sessions.

¹ Bondarenko, Oleg, and Dmitriy Muravyev. “Market Return Around the Clock: A Puzzle.” Journal of Financial and Quantitative Analysis 58, no. 3 (2023): 939–67. Turc, Julien and Gava Jérôme and McNeal, Roxton. “The Early Bird Catches the Intraday Trend.” The Journal of Investing 31, no. 1 (2021): 47-75.
² VIX is greater than 5% over its trailing monthly average.
³ Average trailing 5-day overnight return is negative.
⁴ A residual exposure to the Nasdaq-100 Index may remain during certain circumstances, subject to the vol control methodology or rebalancing constraints. BNP Paribas, for illustrative purposes only.

The Nasdaq Night Owl Index is solely comprised of equities, providing dynamic exposure to futures linked to one of the world’s preeminent large-cap growth indexes, the Nasdaq-100 Index®.

The Nasdaq-100 Index® defines today’s modern-day industrials, comprised of 100 of the largest and most innovative non-financial companies listed on the Nasdaq Stock Market based on market capitalization.

It includes growth-oriented industries such as:

Powered by Salt Financial’s truVol^® Risk Control Engine and BNP Paribas’ Defensive Futures Overlay, the Index targets an annual realized volatility of 15%.

Salt Financial’s truVol® Risk Control Engine

Unlike traditional methodologies that only consider closing prices, truVol® captures more granular price data throughout each trading day and can react to market moves same-day. This allows it to respond faster to market events and deliver more accurate forecasts.

BNP Paribas’ Defensive Futures Overlay

This overlay employs BNP Paribas’ intraday short hedge strategy, designed to dynamically respond to significant market moves throughout the trading day.

For more information, please click here.

Harness the night effect with the Nasdaq Night Owl Index, the Index
that works day and night to generate enhanced Nasdaq returns.

DOWNLOAD MATERIALS

BROCHURE

A detailed overview of the Index with information
on performance and definitions of key terms.

FACTSHEET

A summary of the Index with
key statistics on performance.

ABOUT BNP PARIBAS

A factsheet with more information about
the Index sponsor, BNP Paribas.

Want to know more about the
Nasdaq Night Owl Index? Contact us at:

nasdaq.night.owl.index@us.bnpparibas.com

Important Information

The Nasdaq Night Owl Index(the “Index”) is the exclusive property of BNP Paribas or one of its affiliates (BNP Paribas and its affiliates are hereinafter called “BNPP”) and is determined, composed and calculated by BNPP. “BNP”, “BNPP”, “BNP Paribas” and “Nasdaq Night Owl Index”(collectively, the “BNPP Marks”) are trademarks or service marks of BNPP.

The Nasdaq Night Owl Index methodology embeds certain costs which cover among other things, rebalancing and replication costs. Such costs (if any) may vary over time with market conditions.

BNP Paribas may license the Nasdaq Night Owl Index to one or more companies (each, a “Company”) for use in a product offered or issued by the Company. The products are not, in whole or in part, sponsored, structured, priced, endorsed, offered, sold, issued or promoted by BNP Paribas or any of its affiliates, or any third party licensor of information to BNP Paribas. BNP Paribas reserves the right to amend or adjust the Nasdaq Night Owl Index methodology from time to time and accepts no liability for any such amendment or adjustment. BNP Paribas is not under any obligation to continue the calculation, publication or dissemination of the Nasdaq Night Owl Index and accepts no liability for any suspension or interruption in the calculation thereof. Neither BNP Paribas nor any of its affiliates accepts any liability in connection with the publication or use of the level of the Nasdaq Night Owl Index at any given time.

BNP Paribas may enter into derivative transactions or issue financial instruments (the “Index Products”) linked to the Nasdaq Night Owl Index. The Nasdaq Night Owl Index Products are not in any way sponsored, endorsed, sold or promoted by the sponsor of any index component (or part thereof) which may comprise the Nasdaq Night Owl Index (the “Underlying Index”) that is not affiliates with BNP Paribas (each such sponsor, an “Underlying Index Sponsor”). The Underlying Index Sponsors make no representation whatsoever, whether express or implied, either as to the results to be obtained from the use of the relevant Underlying Index and/or the levels at which the relevant Underlying Index stands at any particular time on any particular date or otherwise. No Underlying Index Sponsor shall be liable (whether in negligence or otherwise) to any person for any error in the relevant Underlying Index and the relevant Underlying Index Sponsor is under no obligation to advise any person of any error therein. None of the Underlying Index Sponsors makes any representation whatsoever, whether express or implied, as to the advisability of purchasing or investing in, or assuming any risk in connection with, the Nasdaq Night Owl Index Products. BNP Paribas shall have no liability to any party for any act or failure to act by any Underlying Index Sponsor in connection with the calculation, adjustment or maintenance of the relevant Underlying Index and have no affiliation with or control over any Underlying Index or the relevant Underlying Index Sponsor or the computation, composition or dissemination of any Underlying Index. Although BNP Paribas will obtain information concerning each Underlying Index from publicly available sources that it believes reliable, it will not independently verify this information. Accordingly, no representation, warranty or undertaking (express or implied) is made and no responsibility is accepted by BNP Paribas as to the accuracy, completeness and timeliness of information concerning any Underlying Index. BNP Paribas may act in a number of different capacities in relation to the Nasdaq Night Owl Index and/or products linked to the Nasdaq Night Owl Index, which may include, but not be limited to, acting as hedging counterparty, index sponsor and/or index calculation agent.