Generating Alpha – Long Positions


Symbol Contract Future Ask Stock Last Dividend Discount # of Days Implied Annualized Discount
GPRO1D 2014-09 44.3900 45.6000 OCX.NoDivRisk $1.21 25 38.31%
GPRO1D 2014-10 43.4900 45.6000 OCX.NoDivRisk $2.11 53 31.51%
VHC1D 2014-09 14.9300 15.2500 OCX.NoDivRisk $0.32 25 30.38%
VHC1D 2014-10 14.6000 15.2500 OCX.NoDivRisk $0.65 53 29.10%
VHC1D 2014-12 13.9400 15.2500 OCX.NoDivRisk $1.31 116 26.80%
WTW1D 2014-09 24.0100 24.4600 OCX.NoDivRisk $0.45 25 26.52%
WTW1D 2014-10 23.7200 24.4600 OCX.NoDivRisk $0.74 53 20.57%
WTW1D 2014-12 22.9200 24.4600 OCX.NoDivRisk $1.54 116 19.56%
VHC1D 2015-03 13.5700 15.2500 OCX.NoDivRisk $1.68 207 19.26%
ARCO1D 2014-09 7.0000 7.0900 OCX.NoDivRisk $0.09 25 18.28%

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 14:54:01 EST on 2014-08-27, and will have fresh updates throughout the trading day. HOVER over the symbol to see the range of the implied annualized discount for 2014-08-27.

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

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