Single Stock Futures (SSFs) on OneChicago’s Delta1

What is a Single Stock Future?

A Single Stock Future is a financial derivative that provides delta exposure to the movements of an underlying stock. Access to this product is gained through OneChicago’s Delta1 Trading Platform, with SSFs on more than 1,800 US listed securities.

The OneChicago SSF Product

The NDR (No Dividend Risk) product was launched on October 2010 in response to the customer demand to eliminate the risk associated with forecasting dividends. This is achieved by adjusting down the previous trading day’s settlement price (by the dividend amount) at the start of business on ex-dividend date.

  • No short sale restriction, no locate requirement
  • NDR futures on ADRs are adjusted by the estimated gross amount on the ex-date, which differ from the actual distribution due to currency fluctuations
  • NDR products are adjusted for all distributions including ordinary dividends, special dividends, capital gain distributions, etc.

Please see these links for additional information:

How to Interact with the Marketplace

Outright SSF and calendar spread orders may be competitively matched on the Delta1 CLOB (Central Limit Order Book).

The Delta1 Reporting Engine supports the posting of bilaterally negotiated Block SSF and EFP (Exchange Future for Physical) transactions.

Daily Product Listings

Twice daily, the exchange publishes a Public Listing File. This file contains active listing definitions for the all exchange products, describing underlying stock assignments, shares per contract, sector, delivery type, and other data points.

For more information in reading this file visit the FTP Server file specification for Product Listings.

The Instrument Product Catalog

Each morning the exchange publishes a Product Catalog. This file contains instrument mappings for products available for the current day’s trading session. This file includes the Marketplace Security ID (MPSecID) for referencing outright futures, calendar spreads, and all other instruments.

Event driven data is also available via the Delta1 OCTP Realtime Market Data Service, visit Market Data for more information.