Generating Alpha – Long Positions


Symbol Contract Future Ask Stock Last Dividend Discount # of Days Implied Annualized Discount
WTW1D 2014-12 23.8000 24.8600 OCX.NoDivRisk $1.06 93 16.51%
TCS1D 2014-12 22.6100 23.5100 OCX.NoDivRisk $0.90 93 14.84%
WTW1D 2014-10 24.5600 24.8600 OCX.NoDivRisk $0.30 30 14.48%
TCS1D 2015-03 21.8400 23.5100 OCX.NoDivRisk $1.67 184 13.92%
RMTI1D 2015-03 9.1900 9.8300 OCX.NoDivRisk $0.64 184 12.83%
DDD1D 2014-12 47.3900 48.9300 OCX.NoDivRisk $1.54 93 12.18%
WTW1D 2015-03 23.3600 24.8600 OCX.NoDivRisk $1.50 184 11.81%
RMTI1D 2014-12 9.5500 9.8300 OCX.NoDivRisk $0.28 93 11.11%
TCS1D 2014-10 23.3000 23.5100 OCX.NoDivRisk $0.21 30 10.74%
KNDI1D 2014-12 14.6600 15.0200 OCX.NoDivRisk $0.36 93 9.30%

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 2014-09-19, 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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