Config.
Marché
Rapport
Unité

COT S&P 500 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 S&P 500 Annual Dividend futures contract?

S&P 500 Annual Dividend

Satellite of S&P 500

A long means…

Exposure to a rise in the S&P 500 annual dividend stream — dividend points, not the index level.

What is this?

The S&P 500 annual dividend index is the sum, in index points, of ordinary gross dividends paid by constituents on the ex-date. It is not the S&P 500: a point here is not a price point. The window runs from the day after the previous December expiry through the third Friday of December; the index then resets to zero.

The futures price is that year’s implied dividend — the points the market expects, whatever the index level. The CME contract is used to hedge dividend risk in options and structured products, or to take a view on payouts.

Pitfalls

  • Not the S&P 500 price line (13874+): code 43874A, underlying = dividends.
  • Not the quarterly dividend index (43874Q / SDI).

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.