Generating Alpha – Long Positions

 

Symbol Contract Future Ask Stock Last Dividend Discount # of Days Implied Annualized Discount
GPRO1D 2014-11 65.9300 68.0000 OCX.NoDivRisk $2.07 25 44.19%
GDP1D 2014-11 8.5500 8.7400 OCX.NoDivRisk $0.19 25 31.30%
GDP1D 2014-12 8.3600 8.7400 OCX.NoDivRisk $0.38 53 29.53%
KNDI1D 2014-12 14.9800 15.4800 OCX.NoDivRisk $0.50 53 22.00%
WTW1D 2014-11 28.9700 29.3900 OCX.NoDivRisk $0.42 25 20.58%
GDP1D 2015-03 8.0300 8.7400 OCX.NoDivRisk $0.71 144 20.31%
WTW1D 2014-12 28.5700 29.3900 OCX.NoDivRisk $0.82 53 18.95%
WTW1D 2015-03 27.5500 29.3900 OCX.NoDivRisk $1.84 144 15.65%
GDP1D 2015-06 7.8900 8.7400 OCX.NoDivRisk $0.85 235 14.90%
IEZ1D 2014-11 60.1400 60.7600 OCX.NoDivRisk $0.62 25 14.88%

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 2014-10-29, 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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