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That's what I thought, but I'm not sure if that cash outlay affects them at all (probably not much). I've been trying to figure out why I can't find a counter party for a large number of NLY contracts, if I drop my price down to spot this should represent an arbitrage opportunity, no? The...

No, the dividend is adjusted like a corporate event so neither party is affected by it (for this style of contract). The feature is called "No Dividend Risk" (NDR). Only the interest component affects the price generally. Thus, typically the future is priced a bit above spot for the stock...

The most obvious is to short the stock. However, for stocks with high dividends over the period, while the futures contract may be dividend protected, the short is exposed to having to pay the dividend which is more than is earned by taking the cash and putting it into bonds (what "theory"...

Do either of these brokers offer (or plan to offer) single stock futures?

def, what are the odds that SSF will still be tradable at IB next year? AFAIK, no other broker offers it for US stocks, but it does exactly what I need to scale up the strategy once I reach portfolio margin. However, that doesn't work if the product is not available to roll contracts, or if they...

I see. I was looking at trading permissions because the options are limited to what the US allows - Italian stock futures is actually a choice oddly enough but there are only a few of them; in general Euro stocks but no options or futures are available. No CFDs of any kind. So I guess politics...

I just placed 10 contracts on NLY for March, and the entire market for NLY disappeared. There is no liquidity.

For example, can a US based LLC create a UK account and trade UK derivatives products that regular US based retail traders cannot? Are there any major regulatory differences between business and individual accounts?

IB is my broker. Will there be there any way to get access to larger block trades (say 100-1000 contracts per trade) if things change? I have some people that want to use it with portfolio margin accounts, and I may be wrong but don't think the proposed changes will affect their ability to use...

The margin treatment is pretty favorable. It's one reason I was excited about the NDR products. I can't do the same leveraged dividend capture strategy using options effectively.

If you were going to hedge a long position on a high yield stock (10-12%) such as NLY where all the call option's time value was less than the dividend, how would you do it then? The call leg is always going to get exercised.

The NDR products are superior to any options combo that I've tried. Short synthetics don't have the same risk characteristics over the test range for portfolio margin for a pure delta hedge. Spread cost to roll is also an issue. I agree with David's argument that there is no equivalent option...

Really? How do they perform the larger block trades though?

Are the "no dividend risk" SSF designed so that they are essentially "unaffected" by dividends? Meaning, you can hold a long stock and short SSF position and still collect the dividend while hedged?

Already have. I've never had an issue getting a fill at the bid/ask when it exists but since I'll eventually need 100-150 contracts I'll have to see how marketable limit orders perform with that size. They have enough spread to immediately hedge. I just am not getting why the June contracts...

Taking NLY as an example that has MMs (many listed products don't appear to, about 75% of those I checked, even high cap + liquid) - NLY December, January and March futures contracts exist with reasonable spreads (0.02-0.03) and pricing. However, June 2020 has no market makers and fills don't...

BjerksundStensland is showing a decay rate of about 0.0045 / day. Does this mean IB only implements the European options model?

For deep ITM put options on a high div yield stock: field=13 iv=0.160 delta=-0.9988 optPrice=7.52 gamma=0.00193 vega=0.00067 theta=0.00111 und=17.36 pvDiv=1.114 Same theta as reported in TWS. I am trying to figure out how to delta hedge another position with minimal time decay, but it is...

I've posted the strategy elsewhere. It's not complex and is mostly about dividend collection on a hedged leveraged position. It has worked fine in the account with no drawdown and nets about $500/mo with my current limited capital of about 37k. However, reg t is limiting. Using the same...

The most important part is that there is no significant net time decay for the hedge. IB just reports these funky thetas in their model so I've tried to run my own model. I have been determining the discounted dividend value looking at time value for the deepest puts. Generally the puts I want...