Generating Alpha – Long Positions


Symbol Contract Future Ask Dividend Discount # of Days Implied Annualized Discount
GDP1D 2015-01 5.0900 OCX.NoDivRisk $0.18 30 41.38%
GDP1D 2015-03 4.8000 OCX.NoDivRisk $0.47 93 34.85%
GDP1D 2015-06 4.5200 OCX.NoDivRisk $0.75 184 28.11%
GPRO1D 2015-01 53.0400 OCX.NoDivRisk $0.79 30 17.62%
GPRO1D 2015-03 51.8200 OCX.NoDivRisk $2.01 93 14.46%
RMTI1D 2015-06 7.8800 OCX.NoDivRisk $0.45 184 10.59%
WTW1D 2015-03 28.1900 OCX.NoDivRisk $0.70 93 9.40%
WTW1D 2015-06 28.0000 OCX.NoDivRisk $0.89 184 6.04%
RMTI1D 2015-03 8.2500 OCX.NoDivRisk $0.08 93 3.73%
WTW1D 2015-01 28.8100 OCX.NoDivRisk $0.08 30 3.33%

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 2014-12-19, 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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