Source to calculate S&P 500 dividend totals by day?

S

Sig

I am looking for a dividend calculator that will tell me how much of a dividend will be paid on the S&P 500 by day, taking into account the weighting of the stock in the index. What I'm really trying to do here is determine in advance how much the ES vs spot delta is going to change based on upcoming announced ex-dividend dates for the next week/month.
I've found calculators that tell me what stocks are going ex-dividend on a given day, and I could set up a screen scraper to pull that data and combine it with the weighting of each stock in the index to get my answer, but I'm hoping there's a calculator to do that already so I don't have to reinvent the wheel. Also, I realize that I could use SPY to determine when dividends had been paid out, since the SPY vs ES price is responsive to that, but that would be a lagging indicator since it only shows up in the SPY price after the component stock goes ex. Thanks in advance.
 
Deuteronomy_24_7 said:
Good luck with any "arbitrage" you image you'll make money on...
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Preaching to the choir on that, agree 100% as you'll see from my past posts!

I just need to have an accurate delta between SPX and ES going forward a few days for a strategy that sometimes uses one and sometimes uses the other so I can compare apples to apples. I've found that during weeks where a lot of stocks go ex the change in that delta over even a few days can be enough to mess up my calculation.
 
Sig said:
Preaching to the choir on that, agree 100% as you'll see from my past posts!

I just need to have an accurate delta between SPX and ES going forward a few days for a strategy that sometimes uses one and sometimes uses the other so I can compare apples to apples. I've found that during weeks where a lot of stocks go ex the change in that delta over even a few days can be enough to mess up my calculation.
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Sig, both SPX and ES discount dividends proportionally to time. Only SPY ETF pulls them out in present time.
 
Maverick74 said:
Sig, both SPX and ES discount dividends proportionally to time. Only SPY ETF pulls them out in present time.
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So there's a 7 point discount today between the Dec ES and SPX. Let's assume 0% interest. If all the S&P stocks that were going to pay out dividends between now and the Dec ES futures expiration went ex on Monday, then that 7 point discount would go away on Monday (ignoring interest and some minor second order effects) The 7 point discount seems to go away proportionally because those dividends are paid out proportionally (and obviously there is some interest which does behave proportionally), but not exactly. Some weeks a lot of stocks in the index go ex, some weeks not many. As a result, that delta between ES and SPX changes in a more lumpy fashion that just dividing 7 by the number of trading days remaining.
I know how to calculate this effect, it's just a lot of work for me to develop the screen scraper to find ex dates and dividend amounts for component stocks and plug them into a formula based on those stock's component weights. I had hoped someone had a calculator online somewhere so I wasn't an idiot reinventing the wheel, but couldn't find one using my friend Google. It's sounding like it doesn't exist, so maybe I'll build it and put it up for anyone who wants it.
 
I used to get this information from the CBOE. I would suggest you call their help desk and ask if they still offer it.
 
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