Dividend Cuts Implied By The Options Market

[Matt_ORATS]

Today's dividend cuts implied by the options markets includes two builders, Lennar & Pulte. Royal Caribbean Cruises is still expected to cut. Ross Stores and the Retail SPDR expect lower dividends too.

 

[FSU]

Great summary, thanks for posting.

 

[Sig]

Today's dividend cuts implied by the options markets includes two builders, Lennar & Pulte. Royal Caribbean Cruises is still expected to cut. Ross Stores and the Retail SPDR expect lower dividends too.

Very useful. Is this something available from a commercial service or is it your own analysis?

 

[Matt_ORATS]

Very useful. Is this something available from a commercial service or is it your own analysis?

Thanks Sig
This is our analysis. We calculate an implied dividend and present the outliers in this report.
This is part of an email that goes out to our report subscribers. I wonder if I made a special for ET members daily and gave it free weekly if that would be interesting.

 

[Atikon]

Def some interest here

 

[Sig]

Thanks Sig
This is our analysis. We calculate an implied dividend and present the outliers in this report.
This is part of an email that goes out to our report subscribers. I wonder if I made a special for ET members daily and gave it free weekly if that would be interesting.

I would certainly be interested!

 

[systematictrader]

Thanks Sig
This is our analysis. We calculate an implied dividend and present the outliers in this report.
This is part of an email that goes out to our report subscribers. I wonder if I made a special for ET members daily and gave it free weekly if that would be interesting.

Calculate the implied dividend based on the prices of the options? how can one separate the difference in the price increase or decrease where the reason is dividend cut versus other forces such as supply/demand, announcement etc etc

 

[Atikon]

Calculate the implied dividend based on the prices of the options? how can one separate the difference in the price increase or decrease where the reason is dividend cut versus other forces such as supply/demand, announcement etc etc

Look at Black Scholes Model, it has an Input for Dividend. Solve for Dividend = This Report. @Orats do you calculate with the average Dividend for the Quarter of the past X Quarters to establish a Benchmark?

 

[Matt_ORATS]

Look at Black Scholes Model, it has an Input for Dividend. Solve for Dividend = This Report. @Orats do you calculate with the average Dividend for the Quarter of the past X Quarters to establish a Benchmark?

Thanks Atikon
We publish a forecasted dividend feed that includes a growth projection. The annual dividend amount comes from that feed. As you state, the implied dividend comes from a modified binomial options pricing model that includes the Black Scholes Model. I am writing a post to explain this better.
Here's today's list:

 

[systematictrader]

I understand