Generating Alpha – Long Positions


Symbol Contract Future Ask Stock Last Dividend Discount # of Days Implied Annualized Discount
GPRO1D 2014-11 75.1100 77.2400 OCX.NoDivRisk $2.13 23 43.16%
GDP1D 2014-11 8.0700 8.2300 OCX.NoDivRisk $0.16 23 30.47%
GDP1D 2014-12 7.8900 8.2300 OCX.NoDivRisk $0.34 51 29.20%
KNDI1D 2014-12 15.9400 16.4500 OCX.NoDivRisk $0.51 51 21.90%
GDP1D 2015-03 7.5700 8.2300 OCX.NoDivRisk $0.66 142 20.36%
WTW1D 2014-11 25.7000 26.0300 OCX.NoDivRisk $0.33 23 19.84%
WTW1D 2014-12 25.3300 26.0300 OCX.NoDivRisk $0.70 51 18.98%
MYGN1D 2014-12 38.8900 39.8000 OCX.NoDivRisk $0.91 51 16.15%
WTW1D 2015-03 24.4100 26.0300 OCX.NoDivRisk $1.62 142 15.78%
GDP1D 2015-06 7.4300 8.2300 OCX.NoDivRisk $0.80 233 15.04%

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 2014-10-31, 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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