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

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