Generating Alpha – Long Positions

 

Symbol Contract Future Ask Dividend Discount # of Days Implied Annualized Discount
GPRO1D 2014-12 68.6900 OCX.NoDivRisk $2.07 30 35.10%
GDP1D 2014-12 10.3800 OCX.NoDivRisk $0.22 30 24.93%
KNDI1D 2015-03 12.9100 OCX.NoDivRisk $1.16 121 24.58%
GDP1D 2015-03 9.9700 OCX.NoDivRisk $0.63 121 17.70%
WTW1D 2015-03 25.7400 OCX.NoDivRisk $1.41 121 15.46%
WTW1D 2014-12 26.8100 OCX.NoDivRisk $0.34 30 15.03%
KNDI1D 2014-12 13.9100 OCX.NoDivRisk $0.16 30 13.68%
RMTI1D 2015-03 8.6000 OCX.NoDivRisk $0.40 121 13.24%
RMTI1D 2015-06 8.3400 OCX.NoDivRisk $0.66 212 12.47%
KNDI1D 2015-06 13.0800 OCX.NoDivRisk $0.99 212 11.97%

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 15:54:01 EST on 2014-11-21, 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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