OCX.NoDivRisk®

OCX.NoDivRisk^®

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.

Product Highlights

• 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.}

Listings

• 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

Stock			OCX.NoDivRisk
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)