Dividend Cuts Implied By The Options Market

Discussion in 'Wall St. News' started by Matt_ORATS, May 19, 2020 at 1:17 PM.

  1. Matt_ORATS

    Matt_ORATS Sponsor

    Today's dividend cuts implied by the options markets includes two builders, Lennar & Pulte. Royal Caribbean Cruises is still expected to cut. Ross Stores and the Retail SPDR expect lower dividends too.
    [​IMG]
     
    Atikon, Sig, FSU and 3 others like this.
  2. FSU

    FSU

    Great summary, thanks for posting.
     
  3. Sig

    Sig

    Very useful. Is this something available from a commercial service or is it your own analysis?
     
    Matt_ORATS likes this.
  4. Matt_ORATS

    Matt_ORATS Sponsor

    Thanks Sig
    This is our analysis. We calculate an implied dividend and present the outliers in this report.
    This is part of an email that goes out to our report subscribers. I wonder if I made a special for ET members daily and gave it free weekly if that would be interesting.
     
  5. Atikon

    Atikon

    Def some interest here
     
    Last edited: May 19, 2020 at 8:59 PM
  6. Sig

    Sig

    I would certainly be interested!
     

  7. Calculate the implied dividend based on the prices of the options? how can one separate the difference in the price increase or decrease where the reason is dividend cut versus other forces such as supply/demand, announcement etc etc
     
  8. Atikon

    Atikon

    Look at Black Scholes Model, it has an Input for Dividend. Solve for Dividend = This Report. @Orats do you calculate with the average Dividend for the Quarter of the past X Quarters to establish a Benchmark?
     
    Matt_ORATS likes this.
  9. Matt_ORATS

    Matt_ORATS Sponsor

    Thanks Atikon
    We publish a forecasted dividend feed that includes a growth projection. The annual dividend amount comes from that feed. As you state, the implied dividend comes from a modified binomial options pricing model that includes the Black Scholes Model. I am writing a post to explain this better.
    Here's today's list:
    [​IMG]
     
    Atikon likes this.
  10. I understand