Generating Alpha – Long Positions


Symbol Contract Future Ask Dividend Discount # of Days Implied Annualized Discount
GDP1D 2014-12 8.9300 OCX.NoDivRisk $0.34 25 52.93%
GDP1D 2015-01 8.7300 OCX.NoDivRisk $0.54 53 39.65%
GDP1D 2015-03 8.4500 OCX.NoDivRisk $0.82 116 27.51%
GPRO1D 2015-01 76.1700 OCX.NoDivRisk $2.82 53 24.28%
GPRO1D 2014-12 77.7200 OCX.NoDivRisk $1.27 25 23.18%
KNDI1D 2015-03 13.2000 OCX.NoDivRisk $1.06 116 23.09%
GDP1D 2015-06 8.1400 OCX.NoDivRisk $1.13 207 21.25%
KNDI1D 2014-12 14.0800 OCX.NoDivRisk $0.18 25 18.19%
WTW1D 2015-03 27.2600 OCX.NoDivRisk $1.32 116 14.33%
RMTI1D 2015-03 8.6500 OCX.NoDivRisk $0.32 116 11.10%

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 2014-11-26, and will have fresh updates throughout the trading day.

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. More information on EPF can be found here

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