Implied repo

Discussion in 'Options' started by fuqs, Aug 28, 2018.

  1. fuqs

    fuqs

    There are certain tech stocks in US which don't pay dividends hence the financing cost can be directly observed from synthetic forward prices. I've noticed that the implied repo (the spread over 3M Libor curve in my case) is fairly constant over the 2Y period and averages around 25 bps. Is this a rule that large-cap stocks will generally have a very similar implied repo that doesn't really have any term structure? What's you approach on the longer term financing cost? Is there any good proxy?
     
    bookish likes this.
  2. Sig

    Sig

    Where are you getting a liquid single stock forward quote for tech stocks, or am I misunderstanding?
     
  3. sle

    sle

    Probably from the combo prices in the broker market. Some OTC brokers (S*****e, for example) have a pretty nice little flow of European combos in popular single names, all the way out to 5 years.
     
  4. fuqs

    fuqs

    Exactly - synthetic forwards.