Generating Alpha – Long Positions


Symbol Contract Future Ask Stock Last Dividend Discount # of Days Implied Annualized Discount
GPRO1D 2014-11 69.8100 72.0200 OCX.NoDivRisk $2.21 30 36.83%
GDP1D 2014-11 9.3500 9.5000 OCX.NoDivRisk $0.15 30 18.97%
GDP1D 2014-12 9.2300 9.5000 OCX.NoDivRisk $0.27 58 17.66%
MYGN1D 2014-11 36.4700 36.9900 OCX.NoDivRisk $0.52 30 16.87%
MYGN1D 2014-12 36.0600 36.9900 OCX.NoDivRisk $0.93 58 15.61%
VHC1D 2015-03 5.2200 5.5500 OCX.NoDivRisk $0.33 149 14.37%
GDP1D 2015-03 8.9900 9.5000 OCX.NoDivRisk $0.51 149 12.98%
GDP1D 2015-06 8.8700 9.5000 OCX.NoDivRisk $0.63 240 9.96%
KNDI1D 2014-12 13.7900 13.9900 OCX.NoDivRisk $0.20 58 8.91%
KNDI1D 2014-11 13.9000 13.9900 OCX.NoDivRisk $0.09 30 7.75%

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 2014-10-24, 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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