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Announcements

DATE: April 9, 2014 RE: Delayed New Listing

April 2, 2014 Trading Community Notice RE: April Expiration on Thursday

Date: April 1, 2014 RE: OneChicago Market Data Feeds Effective Date: July 1, 2014  

Product News

DATE: 04/22/2014 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 2014-04-22 BANK NEW YORK MELLON CORP BK 064058100 BK1D -0.1700 2014-04-23 2014-04-22 FASTENAL COM STK USD0.01 [...]

DATE:  April 21, 2014 To:  New Products From:  OneChicago Operations RE:  Contract Delistings  

DATE: April 21, 2014 RE:  STERLING FINANCIAL CORPORATION (“STSA/STSA1C “) Merger Complete with Umpqua Holdings Corporation (UMPQ)

DATE:April 21, 2014 RE:NORTHWEST BANCSHARES, INC. (“NWBI/ NWBI1C/NWBI1D”) Special Cash Distribution Ex-Distribution Date: April 29, 2014

DATE: 04/21/2014 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 2014-04-21 ECOPETROL SA SPON ADR EA REPR EC 279158109 EC1D -2.6460 2014-04-22 2014-04-21 ROYAL BANK OF [...]

DATE: 04/17/2014 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 2014-04-17 CIA BRASILEIRA DISTR(PAO DE AC CBD 20440T201 CBD1D -0.2582 2014-04-21 2014-04-17 CLOROX CO DEL CLX [...]

DATE: April 17, 2014 RE: HI-TECH PHARMACAL CO., INC. (“HITK/HITK1C/HITK1D”) CASH SETTLEMENT/ACCELERATION OF MATURITIES

DATE:April 16, 2014 RE:James River Coal Company (“JRCC/JRCC1D”) Underlying Change Effective Date April 17th, 2014

DATE: 04/16/2014 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 2014-04-16 APACHE CORP USD0.625ISIN #US03 APA 037411105 APA1D -0.2500 2014-04-17 2014-04-16 ARM HOLDINGS PLC ADSREP 3 [...]

DATE: 04/15/2014 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 2014-04-15 BRASKEM S.A. ADR EA REP 2 PRF BAK 105532105 BAK1D -0.5509 2014-04-16 2014-04-15 CATERPILLAR INC [...]

DATE: 04/14/2014 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 2014-04-14 BANCO SANTANDER-CHILE ADR-EACH BSAC 05965X109 BSAC1D -1.0205 2014-04-15 2014-04-14 CRACKER BARREL OLD CTRY STORE CBRL [...]

DATE: 04/11/2014 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 2014-04-11 EOG RESOURCES INC EOG 26875P101 EOG1D -0.1250 2014-04-14 The OCC will adjust the start of [...]

DATE: April 11, 2014 RE: Jos. A. Banks Clothiers, Inc. (“JOSB/JOSB1C/JOSB1D”) ***FURTHER EXTENDED Tender Offer Expiration Date: April 23, 2014 (Formerly April 9, 2014)  

DATE: 04/10/2014 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 2014-04-10 ABBVIE INC COM USD0.01 ABBV 00287Y109 ABBV1D -0.4200 2014-04-11 2014-04-10 ABBOTT LABORATORIES COM NPV ABT [...]

DATE: 04/09/2014 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 2014-04-09 CHESAPEAKE ENERGY CORP COM USD CHK 165167107 CHK1D -0.0875 2014-04-10 2014-04-09 UNIVERSAL CORP VA UVV [...]

DATE: April 9, 2014 RE: Safeway Inc. (“SWY/SWY1C/SWY1D) Stock Distribution  **UPDATE** Ex-Distribution Date: April 15, 2014

Highest EFP Bid Prices

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. Below are bids and offers in EFPs available for trading at OneChicago with the implied interest rates displayed.

Dividend Size Bid Rate Bid Ask Ask Rate Size



Generating Alpha – Short Positions


Symbol Contract Future Bid Stock Last Dividend Premium # of Days Implied Annualized Premium
PCL1D 2014-05 42.7800 42.7600 OCX.NoDivRisk $0.02 26 0.65%
PG1D 2014-12 81.7100 81.3700 OCX.NoDivRisk $0.34 243 0.62%
PG1D 2014-09 81.5700 81.3700 OCX.NoDivRisk $0.20 152 0.58%
TGT1D 2014-12 60.5600 60.3300 OCX.NoDivRisk $0.23 243 0.56%
SBUX1D 2014-12 71.4100 71.1400 OCX.NoDivRisk $0.27 243 0.56%
PCL1D 2014-06 42.8000 42.7600 OCX.NoDivRisk $0.04 61 0.55%
POT1D 2014-12 35.7500 35.6200 OCX.NoDivRisk $0.13 243 0.54%
BA1D 2014-12 128.4600 128.0100 OCX.NoDivRisk $0.45 243 0.52%
PCL1D 2014-12 42.9100 42.7600 OCX.NoDivRisk $0.15 243 0.52%
OXY1D 2014-12 97.3700 97.0300 OCX.NoDivRisk $0.34 243 0.52%

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 15:54:01 EST on 2014-04-22, and will have fresh updates throughout the trading day. HOVER over the symbol to see the range of the implied annualized discount for 2014-04-22.

If you are currently short the stock, you can sell the exchange for physical (EFP), thus converting your short stock position to short futures, capturing the premium and eliminating your short interest charges. See current EFP prices at EFP prices. Learn more about EFPs at EFP education.

Disclaimer

SEE MORE …



Generating Alpha – Long Positions


Symbol Contract Future Ask Stock Last Dividend Discount # of Days Implied Annualized Discount
GNK1D 2014-09 1.4700 1.6900 OCX.NoDivRisk $0.22 152 35.69%
RMTI1D 2014-09 9.3700 10.5300 OCX.NoDivRisk $1.16 152 26.14%
RMTI1D 2014-06 10.1000 10.5300 OCX.NoDivRisk $0.43 61 24.15%
CUDA1D 2014-05 27.5300 27.9900 OCX.NoDivRisk $0.46 26 22.85%
CUDA1D 2014-06 26.9400 27.9900 OCX.NoDivRisk $1.05 61 22.23%
RMTI1D 2014-12 9.0300 10.5300 OCX.NoDivRisk $1.50 243 21.14%
CUDA1D 2014-09 25.8000 27.9900 OCX.NoDivRisk $2.19 152 18.61%
CUDA1D 2014-12 25.4400 27.9900 OCX.NoDivRisk $2.55 243 13.56%
ARNA1D 2014-06 6.2200 6.3500 OCX.NoDivRisk $0.13 61 12.10%
VJET1D 2014-06 16.8800 17.2200 OCX.NoDivRisk $0.34 61 11.69%

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 15:54:01 EST on 2014-04-22, and will have fresh updates throughout the trading day. HOVER over the symbol to see the range of the implied annualized discount for 2014-04-22.

If you are currently long the stock, you can buy the exchange for physical (EFP), thus converting your long stock position to long futures, capturing the discount. See current EFP prices at EFP prices. More information on EPF can be found here

Disclaimer

SEE MORE …



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



Use Futures To Go Short

http://theocc.com/clearing/clearing-infomemos/infomemos1.jspThe 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…)


OneChicago is an Equity Finance Exchange offering security futures products

  1. Securities 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.


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.



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. We also offer, OCX.BETS®, the only off-exchange electronic matching system for Block and EFPS transactions.
Click to View OneChicago Fact Sheet

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 securities futures market. By utilizing the securities 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



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.



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