Original SSF Product
Features
- • Provides delta exposure to the movements of the underlying stock at a lower overall finance cost
- • No short sale restriction, no locate requirement
- • Delivers into the physical stock at expiration
- • Theoretical price is SSF = Cash Equity + Cost of Carry – Present Value(Forecasted Dividends)[1]
Listings
- • Original SSFs on more than 1,300 underlying equities, including ETFs, MLPs, REITs, and ADRs
- • Tradable on OCX.BETS® as Exchange Futures for Physicals (EFPs) or Blocks, tradable on CBOEdirect as individual months or as calendar spreads
- • Products ending in “C” are original SSF products. For instance GE1C is the original SSF on General Electric
Stock vs. OCX.Original Comparison
- • Original SSFs gain/loss mirrors the cash equity gain/loss on a similar position for non hard-to-borrow equities when the dividend forecasted is accurate
- • Differences between actual and forecasted dividends will impact gain/loss of the position.
- ▫Actual dividends that are lower than forecasted will create a windfall for the long SSF position and harm a short position
- ▫Conversely, actual dividends that are higher than forecasted dividends will harm a long SSF position and create a windfall for a short position
Shares Rise 10%, then $0.50 Dividend
|
Stock |
OCX.Original |
|||||
|
Action |
Product |
Cash Price |
Action |
Product |
Futures Price |
|
| Buy 100 Shares |
ABC |
$40.00 |
Buy 1 SSF |
ABC1C |
$39.50 |
|
| Begin day, ex_date |
ABC |
$43.50 |
Begin day, ex_date |
ABC1C |
$43.50 |
|
| •Stock long holder has $400 profit ($0.50 dividend and $3.50 gain on 100 shares) | •Futures long holder has $400 (10% of stock price) profit ($43.50 – $39.50 = $4.00 gain x 100) | |||||
[1]Cost of carry is an interest rate component, which is usually positive except for hard-to-borrow equities whose borrow fee is expressed as a negative interest rate.
View as a PDF: Original SSF Overview
