Were you thinking something like Listen, I come down on the same side as you on almost everything here, we both have been around the block on this and know what we're doing. If you read my posts you'll find I'm an almost militant efficient markets guy, so I don't think I found some hidden SPX/ES arbitrage that no-one else managed to uncover and I'm not somebody who opened up a Schwab account last week and is now going to make 5% a month on some brilliant new strategy. I'm not asking for your money, or even your affection, although I'm really not feelin the love here. In the course of my work I find that I need to know how much the delta between SPX and ES will change over the next couple weeks based on the known dividend distributions, and would have loved to have found a tool that already did the math on that for me instead of having to write the tool myself. As I indicated, in fact in one of my posts to you, I'm well aware of where to find upcoming announced dividends, which is actually preferable to dividend history since a wise man also pointed out in this thread that dividends can change. I'm also aware of where to find component weights and how to put that in a spreadsheet to calculate the impact of those dividends on the delta between SPX and ES. I could even write a program in a number of languages that did that. But not wanting to recreate the wheel I asked to see if I could take advantage of the expertise here after coming up blank on Google searches to see if such a tool already existed. If you know of such a tool, as I indicated in a previous post here "I'd be most grateful". If you don't know of such a tool, or know that one can't exist for reason X, I'd be happy to hear that as well. And if you've got any insight into the impact of the S&P500 on the price of bacon, I'm all ears! Peace.
I'm sure the equity derivs desks at all the big banks would have this on hand. Have you asked your coverage?
@Sig, how did this end? Did you find a way, because I'm currently trying to do something similar. For some reason I can't get it out of IB's TWS at the moment... at least not exported to excel.
Well, you can do what index arb people do - reconstruct it from the first principles (you can get the current weights, the dividend dates and roll from there). You would not be able to explain a lot of the differential anyway, since funding+rebate on a lot of the stocks is on the same order of magnitude as the dividend yield. To add to the confusion remember that funding and borrow rebates are proportional, while divs are fixed (at least at the short term).
In the last few weeks, none at all. It's funky with the interest rate impact which in turn is impacted by how far out you are from expiration. At times it's been in the 75% range though, so still of some value.
@Sig, where do you get the dates/amounts from? FYI, to be fully clear on how dividends are incorporated in index/futures... It's not the futures that are adjusted, it's the index level. But as @sle says, it's never 100%. For instance: this is what IB's dividends give me for ES/SPX So until March 17 there's 3.23 worth of dividends in the S&P500 (supposedly, becasue I don't think IB's schedule is totally correct). Which means.. Spot close 2366.90 (for SPX... 2367.34 for ES index... don't know the difference actually) Interest about 0.70 Dividend 3.23 Future = 2364.37 (2364.84 with ES index calc). At time of close, the ES march future was 2365.50... So the actual dividend taken into consideration in trading is about 2.10 When say tomorrow a stock goes ex-div, the index level drops towards the futures level. So, when ex-div amount is 1, Spot drops to 2365.90. Future stays the same. But, likely the future will drop a bit as well, since the actual dividend is higher than incorporated in the future....
I essentially coded what you just described, just to agree with you there. Except obviously I had to go stock by stock and apply index weights. To answer your question, http://www.dividend.com/ex-dividend-dates.php. Not sure that's the best source, just the easiest for me to code a quick and dirty data pull from with some limited searching. If you find a better source please let us know!