OCX.NoDiv SSF

Discussion in 'Events' started by OneChicago, Nov 2, 2010.

  1. OneChicago has recently begun to offer a new product, OCX.NoDiv, which is the Single Stock Future (SSF) with the dividend component removed thus eliminating the informational disadvantage that derivative traders have lived under vis-à-vis dividend streams.

    We will achieve this by treating all dividend payments as we do special dividends and adjust the prior day’s settlement price on the morning the underlying goes ex_div without any corresponding pay/collect cycle for the SSF.

    Accordingly the valuation of the OCX.NoDiv SSF is simply a cost of carry equation: SSF=Stock + interest out to time.

    The original contracts will continue to trade with the traditional ABC1C symbology and the new NoDiv product will use the ABC1D.

    We have listed 10 names so far: DIA, IWM, SPY, QQQQ, XLE, XLF, XLB, JNJ, CAT and HNZ. All have 100 multipliers. We will be listing the SPY and IWM with 1000 multipliers as of tomorrow and rolling out all dividend paying stocks over then next couple of months.

    While we are bringing up these new products as a response to a request by equity swap participants some of you may find them useful in your own strategies.

    Traders utilizing the IBKR TWS are able to interact with institutional size EFP order flow by entering the symbol >Combinations>EFP(directed)>One.

    Best.