Single Stock Futures

Single-stock futures are securities that share some of the features of Equities and also some of traditional commodity. There are interest rate benefits that cannot be found with other products.

Theoretical Pricing Models

OCX.Original Products

F = S ∙ (1 + r) – Div

Where F is the single-stock futures contract price, S is the underlying stock price, r is the annualized interest rate which may be negative due to hard to borrow pressure, and Div is the expected dividend.

Another valuation of single stock futures can be found through the following:

F = [S – PV (Div)] ∙ er∙(T-t)

Where F is single stock futures contract price, S is the underlying stock price, PV(Div) is the present value of any dividends entitled to the holder of the underlying between T and t, r is the interest rate which may be negative due to hard to borrow pressure, and e is the base of the natural log.


OCX.NoDivRisk Products

F = S ∙ (1 + r)

Where F is the single-stock futures contract price, S is the underlying stock price, r is the annualized interest rate which may be negative due to hard to borrow pressure.

Another valuation of single stock futures can be found through the following:

F = S ∙ er∙(T-t)

Where F is single stock futures contract price, S is the price of the underlying (the stock price), T-t is the days to expiration, r is the interest rate which may be negative due to hard to borrow pressure, and e is the base of the natural log.

Click Here to learn more about how to price an EFP.


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