Hi, I have been experimenting with SSF; if you go to www.onechicago.com the yields are ridiculous. I have been buying the future and shorting the stock. I am trying to figure out what risks there could be: a) surprise dividend by the underlying company paid before the SSF is delivered. b) OCC/company behind it goes BK c) broker calls the short side of the trade. I recently closed a BBT SSF trade for 2.4% in 6 days; thats over 400% annualized (i bought it for .44 and sold it for .03 instead of holding till expiration). So, knowing there's no free money and most ppl know SSF exist, why the high yields? Theoretically, you could borrow money and put these on all day if you could handle the risks outlined above.. is there more that I am missing? Thanks PS Anyone else trade SSFs? There is no SSF group on ET, just financial futures. PS: I have using interactive broker's EFP to put on the trades but it seems to be quirky/not always working in which case I do each leg seperately.