OCX.NoDivRisk® Single Stock Futures
OneChicago has created a new single stock futures product called OCX.NoDivRisk®. The new product suite addresses customers’ concern regarding the informational disadvantage vis-à-vis dividend payments and their impact on the single stock futures prices by adjusting downward the previous day’s settlement price of the OCX.NoDivRisk contract on the morning of the ex-date.
- • Eliminates dividend risk for users of single stock futures (“SSF”)
- • Theoretical price is SSF=Cash Equity + Cost of Carry1
- • On the morning of ex-date, yesterday’s settlement is reduced by the distribution amount
- • OCX.NoDivRisk futures on ADRs are adjusted by the estimated gross amount on the ex-date, this may differ from the actual distribution due to currency fluctuations
- • OCX.NoDivRisk products are adjusted for all distributions including ordinary dividends, special dividends, capital gain distributions, etc.
1Cost 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.
- • OCX.NoDivRisk products are listed for 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 “D” are OCX.NoDivRisk products. For instance, GE1D is the OCX.NoDivRisk future on General Electric
Stock vs. OCX.NoDivRisk Comparison
- • OCX.NoDivRisk profit/loss mirrors the cash equity profit/loss on a similar position for non hard-to-borrow equities.
Shares Rise 10%, then $0.50 Dividend
|Action||Product||Cash Price||Action||Product||Futures Price||Adjusted Price|
|Buy 100 Shares||ABC||$40.00||Buy 1 SSF||ABC1D||$40.00||39.50|
|End of Day, ex_date||ABC||$43.50||End Of Day, ex_date||ABC1D||$43.50|
|●Stock long holder has $400 profit ($0.50 dividend and $3.50 gain on 100 shares)||●Futures long holder has $400 profit ($43.50 – $39.50 = $4.00 gain x 100)|
Please see these links for additional information:
PDF – OCX NoDivRisk Products
PDF – OCX NoDivRisk Large Trader Reporting Requirements
PDF – OCX NoDivRisk Listing Details
PDF – OCX NoDivRisk FAQ
PDF – OCX.NoDivRisk Rule Book Chapter 9 Appendices
PDF – OCX.NoDivRisk Fact Sheet