Basis capturing with SSFs

Discussion in 'Financial Futures' started by stevenpaul, Jun 8, 2009.

  1. Hi traders, I imagine this has been discussed somewhere on this forum, and I know it has been sloughed off as an amateurish misconception, but if I'm not missing something, and please correct me if I am, one could capture the basis separating an SSF from its stock price for a risk-free profit. In a recent thread here, there was some discussion as to how SSFs price in dividends on the underlying, and that is the only reason they should trade at any kind of significant discount to the underlying. There are numerous cases of how that can't be true: GM is obviously not paying a dividend any time soon, but its SSF is trading 30 cents below the stock price, as of this writing. If you could short GM and go long the future, you could capture that basis. You probably can't get the shares to short, but you could still buy puts and go long the future for a profit. Citibank is not paying a dividend until next February, yet the SSF on it is priced below the stock enough for another risk-free profit on an exchange for physical, and the examples go on. Again, correct me on this if I'm way off base. Thanks all.
  2. Lucrum