SSF may be a good trading opportunity but I have some doubts about how special cash dividends are handled.
When an special cash dividend is declared and goes ex-date, the OCC states that "all previous day´s settlement prices shall be reduced by the amount of dividend".
For example, XYZ declared a dividend of $ 1.- and goes ex-date tomorrow. So today´s closing shall be reduced by $ 1.-, thus reducing by $ 100.- the MTM P/L for the long SSF contract.
However, OneChicago says that cash dividends should be handled by REDUCING THE START OF DAY PRICE on ex-date. If appropiate, one can avoid that $ 100 reduction and perhaps freely capture the dividend. Before ex-date SSF should be qouting discounting that dividend, and after date should be quoting without that discount .
I´d appreciate any help.
When an special cash dividend is declared and goes ex-date, the OCC states that "all previous day´s settlement prices shall be reduced by the amount of dividend".
For example, XYZ declared a dividend of $ 1.- and goes ex-date tomorrow. So today´s closing shall be reduced by $ 1.-, thus reducing by $ 100.- the MTM P/L for the long SSF contract.
However, OneChicago says that cash dividends should be handled by REDUCING THE START OF DAY PRICE on ex-date. If appropiate, one can avoid that $ 100 reduction and perhaps freely capture the dividend. Before ex-date SSF should be qouting discounting that dividend, and after date should be quoting without that discount .
I´d appreciate any help.