One Chicago future tickers

[esculapius1975]

Can anybody say what is the difference between single stock futures (SSF) contract labeled with C and D, i.e. for aapl AAPL1C and AAPL1D on onechicago?

Thank you for the answer

 

[esculapius1975]

Any answer?

 

[dgdowney]

Any answer?

Hello,
The difference between the 1C contract and the 1D is the way dividends and other distributions are handled. The pricing of the 1C contract takes the current value of the stock, prices in risk free interest rates out to expiration and if there are any dividends the present value of the expected dividend is deducted.

SSF1C= Stk + (i) - Div.

This presented a problem for traders as the dividend expectations sometimes change which causes PNL swings as the SSF value responds to the new dividend value.

This variability in the dividend represents risk which is addressed in the 1D contract. The 1D contract is called the OCX.NoDivRisk contract as it removes the uncertainty of both the value and timing of the dividend. The 1D contract does not have the dividend priced into the contract but rather has the contract settlement price adjusted downward on the morning of ex_date by the then known value of the dividend.

SSF1D= Stk + (i)

In effect it makes the 1D contract a pure equity financing trade.

You can learn more at:
OCX.NoDivRiskTM | OneChicago

Best.
David G Downey
CEO
OneChicago, LLC

 

[esculapius1975]

Thank you very much for the answer and happy christmas.

I wonder if you could answer another question on SSF and cost to carry posted here

http://www.trade2win.com/boards/opt...lar-single-stock-futures-ssf.html#post1753462

thanks

Giangi