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COT Russell 2000 Annual Dividend

Période
Échelle

As-of mardi · close vendredi · source CFTC

Long vs Short

Long et short en % d’OI (catégorie focus)

Δ 4 semaines

Variation du net vs le rapport d’il y a 4 semaines

Cette semaine

Catégorie Long Short Spreading Net Δ Long Δ Short Δ Net % OI long % OI short

Historique

Indices · dividends · CME

What is the Russell 2000 Annual Dividend futures contract?

Russell 2000 Annual Dividend

Satellite of Russell 2000

A long means…

Exposure to a rise in the Russell 2000 annual dividend stream — small-cap payouts, not the index level.

What is this?

The Russell 2000 annual dividend index is the sum, in index points, of ordinary cash dividends from US small-cap constituents on the ex-date. It is not the E-mini Russell, which tracks the index level. The window is annual, as with the S&P: from one December to the next, then the index resets to zero.

The futures price is that year’s implied small-cap dividend, whatever the Russell’s price. The stream is less regular than large-cap payouts. The CME contract is used to isolate that stream, or to compare it with S&P dividends.

Pitfalls

  • Not Russell 2000 price (RTY, 239742): this is 239750, dividends.
  • Not S&P 500 Annual Dividend (43874A).

Univers LIX

Le positionnement n’est pas le risque

Le COT décrit qui est positionné. Le LIX décrit le niveau de risque de marché — 12 indicateurs, hors COT.