Arb spread between SSF and Equity

Discussion in 'Trading' started by daddyeaux, Apr 19, 2004.

  1. Let's say you short a SSF and you go long an equity common that pays a sizable dividend.

    Since the short SSF is not assigned the dividend, is there an arb. play here.

    or am I the last guy to figure out that this won't work.
  2. def

    def Sponsor

    F = cash + interest - dividend, thus is should be priced in
  3. It sounded good when I said it fast.

    I don't have a trading platform to try it... but I'd like to see what happens over a dozen stocks or so.
  4. There is a problem in trying to arb these two, because the SSF in not trading very actively.