OneChicago on Twitter OneChicago on Facebook OneChicago on LinkedIn

Announcements

Record Volume at OneChicago – June 2015 Up 35% over a year ago

Date: July 1, 2015 Re: Four Decimal Pricing for Spread Transactions Effective Date: July 20, 2015

Date: June 26, 2015 Re: June 30, 2015 Leap Second Event On June 30, 2015, a leap second will be added after 18:59:59 CDT. A leap second is a second which is added to the Coordinated Universal Time in order to synchronize atomic clocks with astronomical time. On June 30, 2015, clocks will advance as […]

Product News

DATE: 07/06/2015 RE: OCX.NoDivRisk® Adjustments The securities listed below will be trading ex-dividend on the Ex-Date noted. Corresponding OCX.NoDivRisk® SSF will be adjusted by the following amounts. Business Date Name Underlying Symbol Underlying ID Futures Symbol Adjustment Amount Ex-Date 2015-07-06 CLARCOR INC COM CLC 179895107 CLC1D -0.2000 2015-07-07 2015-07-06 COMMERCIAL METALS CO CMC 201723103 CMC1D […]

DATE: July 6, 2015 RE: Family Dollar Stores, Inc. (“FDO/FDO1C/FDO1D”) Merger Complete with Dollar Tree, Inc. (DLTR) Date: 7/6/15

DATE: July 6, 2015 RE: The Kroger Co. (“KR/KR1C/KR1D”) 2-for-1 Stock Split Ex-Date: 7/14/15

DATE: July 6, 2015 RE: KRAFT FOODS GROUP, INC. (“KRFT/KRFT1C/KRFT1D”) Merger Complete with H.J. Heinz Corporation Date: 7/6/15

DATE: 07/02/2015 RE: OCX.NoDivRisk® Adjustments The securities listed below will be trading ex-dividend on the Ex-Date noted. Corresponding OCX.NoDivRisk® SSF will be adjusted by the following amounts. Business Date Name Underlying Symbol Underlying ID Futures Symbol Adjustment Amount Ex-Date 2015-07-02 QUEST DIAGNOSTICS INC DGX 74834L100 DGX1D -0.3800 2015-07-06 2015-07-02 GLOBAL NET LEASE INCCOM GNL 379378102 […]

DATE: 07/01/2015 RE: OCX.NoDivRisk® Adjustments The securities listed below will be trading ex-dividend on the Ex-Date noted. Corresponding OCX.NoDivRisk® SSF will be adjusted by the following amounts. Business Date Name Underlying Symbol Underlying ID Futures Symbol Adjustment Amount Ex-Date 2015-07-01 BANK OF NOVA SCOTIA COM NPV BNS 064149107 BNS1D -0.5468 2015-07-02 2015-07-01 GENTEX CORP COM […]

DATE: 06/30/2015 RE: OCX.NoDivRisk® Adjustments The securities listed below will be trading ex-dividend on the Ex-Date noted. Corresponding OCX.NoDivRisk® SSF will be adjusted by the following amounts. Business Date Name Underlying Symbol Underlying ID Futures Symbol Adjustment Amount Ex-Date 2015-06-30 AMERICAN EAGLE OUTFITTERS NEW AEO 02553E106 AEO1D -0.1250 2015-07-01 2015-06-30 ISHARES CORE U.S. AGGREGATE BO […]

DATE: June 30, 2015 RE: Dresser Rand Group Inc (“DRC/DRC1D”) Cash Merger Complete with Siemens Energy, Inc. Ex-Date: 7/1/15

DATE: June 30, 2015 RE: Freeport-McMoRan Copper & Gold Inc. (“FCX/FCX1C”) Special Cash Distribution Ex-Date: July 13, 2015

DATE: June 30, 2015 RE: OmniVision Technologies, Inc. (“OVTI/OVTI1D”) Anticipated Cash Merger with Seagull Investment Holdings Limited Ex-Date: ???

DATE: June 30, 2015 RE: Danaher Corporation (“DHR/DHR1D”) Partial Exchange Offer Offer Expires: July 9, 2015

DATE: 06/29/2015 RE: OCX.NoDivRisk® Adjustments The securities listed below will be trading ex-dividend on the Ex-Date noted. Corresponding OCX.NoDivRisk® SSF will be adjusted by the following amounts. Business Date Name Underlying Symbol Underlying ID Futures Symbol Adjustment Amount Ex-Date 2015-06-29 AMERICAN EXPRESS CO AXP 025816109 AXP1D -0.2900 2015-06-30 2015-06-29 PIMCO ETF TRUST TOTAL RETURN A […]

DATE: June 29, 2015 RE: Integrys Energy Group Inc. (“TEG/TEG1D”) Merger Complete with Wisconsin Energy Corporation (WEC) Date: 6/30/15

DATE: June 29, 2015 RE: Netflix, Inc. (“NFLX/NFLX1C/NFLX1D”) 7-for-1 Stock Split Date: 7/15/15

DATE: June 29, 2015 RE: Freescale Semiconductor Holdings I, Ltd. (“FSL/FSL1C”) Anticipated Merger with NXP Semiconductors N.V. (NXPI) Date: ???

DATE: June 29, 2015 RE: Kraft Foods Group Inc (“KRFT/KRFT1C/KRFT1D”) Anticipated Merger with H.J. Heinz Holding Corporation Date: ???

OneChicago LLC

HAS RELOCATED TO:

311 South Wacker Drive, Suite 1700
Chicago, Illinois 60606

**new phone numbers**
Main Phone (312) 883-3410
Operations (312) 883-3411
Compliance (312) 883-3409
Sales & Marketing (312) 883-3432


The OCC Financial Guarantee

As world financial markets progress, expand and link into a global marketplace and as counterparty credit risk multiplies and becomes more complex, OCC’s guarantee function continues to protect clearing members and their customers. OCC has received an ‘AA+’ credit rating from Standard & Poor’s (S&P) because of its ability to fulfill obligations as the counterparty for exchange-traded derivatives.

OCC stands behind every cleared trade that has been executed on the markets and exchanges it serves, in addition to stock loan transactions executed through the Stock Loan program. OCC assures performance to selling (lending) and purchasing (borrowing) clearing members, eliminating counterparty risk. OCC in effect becomes the buyer (borrower) to every clearing member representing a seller (lender) and the seller (lender) to every clearing member representing a buyer (borrower). The substitution of OCC as counterparty is achieved through a legally binding novation process that has withstood the test of time. This process supports fungibility for the contracts OCC clears and facilitates a liquid secondary market.



Generating Alpha – Short Positions


Symbol Contract Future Bid # of Days Implied Annualized Premium
AET1D 2015-07-17 117.2600 11 0.07%
CCK1D 2015-07-17 53.1400 11 0.06%
OII1D 2015-07-17 45.3900 11 0.05%
DLPH1D 2015-07-17 84.7500 11 0.05%
EMN1D 2015-07-17 78.3800 11 0.04%
LAZ1D 2015-07-17 55.4000 11 0.04%
FB1D 2015-07-17 87.5500 11 0.04%
ZTS1D 2015-07-17 48.3400 11 0.04%
HTS1D 2015-07-17 16.7600 11 0.04%
HW1D 2015-07-17 17.3600 11 0.04%

The above SSF are currently bid above the last stock tick. Meaning you can sell the future, hold to expiration and get the short stock at a premium to the current cash price. All prices above were last updated at 15:55:40 ET on 2015-07-06, and will have fresh updates throughout the trading day.

If you are currently short the stock, you may want to consider selling spreads using SSF to increase your income. Simultaneously buying the expiring SSF and selling the longer dated contract will trigger the transfer of your stock position through the expiration process and the new delta exposure with the longer dated SSF at the more favorable financing rate.

Disclaimer

SEE MORE …



OneChicago Articles

About OneChicago:
OneChicago is an all-electronic exchange for trading Single Stock Futures (SSFs). Founded in 2002, we provide liquidity, anonymity, and market price transparency for equity alternative products. Contracts are cleared through the AA+-rated Options Clearing Corporation and regulated by both the SEC and CFTC.

Refinance—-it is that simple
If you were paying 8% on a home mortgage, what would you do? You would refinance it, of course.
If you were paying 8% on an equity margin loan, what would you do? You would refinance it, of course.

Today, many people have margin loans outstanding with their brokers at high interest rates. Those margin loans are financing their portfolio. Single stock futures can be used to provide the same stock exposure at a lower cost—in essence—refinancing your stock portfolio at a lower rate.

As a Delta One product, single stock futures have the same profit/loss profile as the underlying stock. They are priced at the stock plus interest. Generally, that interest rate today is around 50 to 75 basis points (½ to ¾ of 1%). That is significantly less than the 8% margin loan. For a $100,000 portfolio, a margin loan of $50,000 at 8% will cost you $4,000 a year in interest. That same $100,000 portfolio established in single stock futures at 75 basis points over the stock price would cost you $750 to carry for a year. OneChicago exchange fees would add an additional $385 for a grand total of $1,135–A savings of $6,865 each year. And where I come from, that is serious money.

Single Stock Futures- An Alternative to Securities Lending:
Securities lending is a process that involves both market and counterparty risk. Securities lending is similar to an EFP transaction utilizing single stock futures (SSF) with some very stark differences that simplifies the procss, significantly enhances the total return, and removes counterparty risk from the process.
Click to View PDF

Basis Point Discussion:
When an investor buys an asset, they expect the return to be commensurate to a certain level of risk. Too often the investor is disregarding the opportunity cost of receiving a risk-free rate of return as well. Single stock futures lower this opportunity cost by enabling an investor to finance an equity position more efficiently, thus improving the risk-reward ratio of their investment.
Click to View Basis Point Discussion PDF

EFPs Using Single Stock Futures:
OneChicago has brought the financing of equity positions onto an exchange traded format through an Exchange Future for Physical (EFP) transaction. An EFP is the simultaneous selling of a stock and buying of a Single Stock Future (SSF) for a long equity position or buying of a stock and selling of a SSF for a short equity position. SSF have an interest rate built into their price that is determined by a true competitive marketplace. Like repos and reverse repos in the debt markets, EFPs provide a cheap and efficient financing vehicle.
Click to View PDF

How futures can simplify securities lending/borrowing:
Single stock futures provide significant cost advantages and flexibility for both the lenders and borrowers of stock by enabling them to exchange positions without many of the restrictions and intermediaries that exist with existing programs. As a result, the lenders and borrowers are able to reduce revenue sharing agreements, fees, counterparty risk, and the risk of the recall of positions.
Click to View PDF

Calculate the savings with Single-Stock Futures:
When looking to raise capital, single stock futures provide efficiency, transparency, and anonymity to the financing process. In the bond world, investors have the repo market. In the equity world, investors have the security futures market. By utilizing the security futures market, investors have the ability to utilize their equity positions as collateral for short-term loans at rates that are competitively determined by the marketplace.
Click to View PDF



Use Futures To Go Short

The following is an abridged version of a column that appeared on RealMoney.com on July 22, 2008.

The entire sturm und drang about naked short selling last week might have been interesting had it not been so unnecessary. Single stock futures (SSFs) can and have been used to do the exact same trade since November 2002. Advocates on both sides of the debate are arguing about the best way to escape a room whose door is and has been open.
Using Single Stock Futures
Let’s distinguish between short-selling and naked short-selling. The former involves locating a stock, borrowing the shares and selling them; the latter skips the location of the stock and borrowing same. As option market makers in particular have emphasized in recent days, their ability to engage in naked short-selling until such time as shares can be located and borrowed is vital to their ability to function in today’s electronic markets. Both market makers and normal short-sellers have a vital role to play in markets. (more…)


Single Stock Futures

Single-stock futures are securities that share some of the features of Equities and also some of traditional commodity. There are interest rate benefits that cannot be found with other products.

Theoretical Pricing Models

OCX.Original Products

F = S ∙ (1 + r) – Div

Where F is the single-stock futures contract price, S is the underlying stock price, r is the annualized interest rate which may be negative due to hard to borrow pressure, and Div is the expected dividend.

Another valuation of single stock futures can be found through the following:

F = [S – PV (Div)] ∙ er∙(T-t)

Where F is single stock futures contract price, S is the underlying stock price, PV(Div) is the present value of any dividends entitled to the holder of the underlying between T and t, r is the interest rate which may be negative due to hard to borrow pressure, and e is the base of the natural log.


OCX.NoDivRisk Products

F = S ∙ (1 + r)

Where F is the single-stock futures contract price, S is the underlying stock price, r is the annualized interest rate which may be negative due to hard to borrow pressure.

Another valuation of single stock futures can be found through the following:

F = S ∙ er∙(T-t)

Where F is single stock futures contract price, S is the price of the underlying (the stock price), T-t is the days to expiration, r is the interest rate which may be negative due to hard to borrow pressure, and e is the base of the natural log.

Click Here to learn more about how to price an EFP.



Generating Alpha – Long Positions


Symbol Contract Future Ask # of Days Implied Annualized Discount
GDX1C 2015-09-18 17.2000 74 -0.17%
TCS1D 2015-08-21 17.0000 46 -0.16%
TCS1D 2015-09-18 16.8000 74 -0.16%
TCS1D 2015-07-17 17.2800 11 -0.15%
JNK1D 2015-09-18 37.7700 74 -0.06%
JNK1C 2015-09-18 37.7700 74 -0.06%
UAL1D 2015-07-17 53.8200 11 -0.06%
MYGN1D 2015-08-21 33.7900 46 -0.03%
WMB1D 2015-09-18 56.8500 74 -0.03%
OPK1D 2015-09-18 16.6200 74 -0.02%

The above SSFs are currently offered below the last stock tick. Meaning that you can buy the future, hold to expiration and get the stock at a discount to the current cash price. All prices above were last updated at 15:55:40 ET on 2015-07-06, and will have fresh updates throughout the trading day.

If you are currently long the stock and paying a higher interest rate, you may want to consider buying spreads using SSF. Simultaneously selling expiring SSF and purchasing the longer dated contract will trigger the transfer of your stock position through the expiration process and the new delta exposure with the longer dated SSF at the more favorable financing rate. 

Disclaimer

SEE MORE …



EFP’s

Single Stock Futures (SSF) at OneChicago, are a tool used to improve financing of equity positions. Utilizing our Exchange Future for Physical (EFP) transaction allows customers holding long stock or short stock to transfer into an equivalent delta position at a competitive, market derived interest rate built into the SSF. In addition it can be used to put idle cash to work by both buying a stock while simultaneously selling the SSF. The resulting position is perfectly hedged as the two legs will move in lock step with each other as expiration approaches and with the passage of time the premium built into the SSF decays as yield into the customer’s account.



OneChicago is an Equity Finance Exchange offering security futures products

  1. Security futures allow participants to carry equity positions at more favorable financing rates due to the embedded interest rate component.
  2. The OCX.NoDivRisk exchange for physical (“EFP”) is equivalent to a stock loan transaction. More information on EFPs can be found here.
  3. The EFP is the economic equivalent of an equity swap or equity repo in a central counterparty, exchange traded, transparent environment. More information on EFPs can be found here.


Synthetic Secured Lending Using Single Stock Futures EFPs

The structure of the single stock futures (SSF) market makes it as ideally suited for borrowing and lending money at the AA+ credit rating of the Options Clearing Corporation as European-exercise index options on the S&P 500 (SPX). The reason is simple: Just as trades in European-exercise options cannot be exercised until the expiration date, neither can trades in SSFs.

In addition, as long and short positions in SSFs deliver into long and short positions, respectively, in the underlying stock or exchange-traded fund, there is no basis risk. The future will be priced at the stock plus the interest rate cost of carry minus the future value of the expected dividend. As expiration approaches, the future’s price converges to the stock’s price and then delivers into the stock itself.

View PDF







Click Here to Request a New Product Listing





July 2015
S M T W T F S
« Jun    
 1234
567891011
12131415161718
19202122232425
262728293031  




  • Quick Links