Continuous dividend

count12

Junior member
33 1
Hi can someone tell me where I can find the continuous dividend yield for the FTSE 100? Im using Peter Hoadley's model, and below is from his FAQ's.

Options on stock indices: Set the continuous dividend yield for the index option equal to the average dividend yield on the stocks in the index.

Paul
 

RogerM

Established member
752 6
Count12 - not sure where you find this. The yield on the ftse100 at the end of Feb was 3.22%. However, the ftse 100 options are priced off the ftse future which is non dividend paying, so I know that a lot of traders do not factor in any divis when trading the index.

http://uk.biz.yahoo.com/040302/35/enfrk.html
 

count12

Junior member
33 1
Hi Roger, thanks for your reply. Would you be so kind as to forward me an example spreadsheet for the ftse 100 options.

Im still finding my way around peter's work and want to make
sure ive got it right.

Also, if I want to view 10 FTSE contracts, is the number "10" or
do I have to use "100" for number bought/sold?

Paul
 

RogerM

Established member
752 6
Paul - I used to use 10x the number of contracts so that the pay-off diagram read in £'s, and I think some of the earlier postings on this forum showed it done that way. If you do that, remember to also multiply the index by 10x as well to get the charts to read correctly.

It is better to just use the basic index and contract number and then just to remember that the levels shown on the diagram are "points" and that you need to multiply by 10 to turn it into £'s. Also with the new improved version of Hoadley you can directly overlay the position delta on the payoff diagram and this will tell you the number of contracts of the underlying ftse future you need to buy/sell to keep a position delta-neutral - another reason to use the basic contract number.

here's an example :-
 

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count12

Junior member
33 1
Thanks Roger much appreciated

Paul
 
 
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