Generating Alpha – Long Positions

 

Symbol Contract Future Ask Dividend Discount # of Days Implied Annualized Discount
GDP1D 2014-12 9.5700 OCX.NoDivRisk $0.38 26 52.93%
GPRO1D 2014-12 72.2000 OCX.NoDivRisk $2.42 26 44.90%
GDP1D 2015-01 9.3500 OCX.NoDivRisk $0.60 54 40.24%
GDP1D 2015-03 9.0500 OCX.NoDivRisk $0.90 117 27.86%
KNDI1D 2015-03 13.2700 OCX.NoDivRisk $1.09 117 23.37%
GDP1D 2015-06 8.7200 OCX.NoDivRisk $1.23 208 21.42%
KNDI1D 2014-12 14.2100 OCX.NoDivRisk $0.15 26 14.47%
WTW1D 2015-03 27.3800 OCX.NoDivRisk $1.35 117 14.46%
RMTI1D 2015-03 8.6900 OCX.NoDivRisk $0.36 117 12.25%
RMTI1D 2015-06 8.4500 OCX.NoDivRisk $0.60 208 11.49%

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 2014-11-25, 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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