Generating Alpha – Long Positions

 

Symbol Contract Future Ask Dividend Discount # of Days Implied Annualized Discount
GDP1D 2015-03 2.5700 OCX.NoDivRisk $0.15 61 32.67%
GDP1D 2015-02 2.6400 OCX.NoDivRisk $0.08 33 32.20%
GDP1D 2015-06 2.4500 OCX.NoDivRisk $0.27 152 23.60%
GDP1D 2015-09 2.4100 OCX.NoDivRisk $0.31 243 16.95%
DO1D 2015-02 31.4400 OCX.NoDivRisk $0.44 33 15.15%
DO1D 2015-03 31.1700 OCX.NoDivRisk $0.71 61 13.22%
WTW1D 2015-06 16.8200 OCX.NoDivRisk $0.58 152 7.91%
LINE1D 2015-03 9.1400 OCX.NoDivRisk $0.06 61 3.85%
LINE1D 2015-06 9.0700 OCX.NoDivRisk $0.13 152 3.35%
TCS1D 2015-09 17.6100 OCX.NoDivRisk $0.39 243 3.23%

The above SSFs are currently offered below the last stock tick. Meaning that you can buy the future, hold to expiration and get the stock at a discount to the current cash price. All prices above were last updated at 12:03:01 EST on 2015-01-20, and will have fresh updates throughout the trading day.

If you are currently long the stock, you can buy the exchange for physical (EFP), thus converting your long stock position to long futures, capturing the discount. More information on EPF can be found here

Disclaimer

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