Config.
Marché
Rapport
Unité

COT S&P 500 Quarterly 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 Quarterly Dividend futures contract?

S&P 500 Quarterly Dividend

Satellite of S&P 500 Annual Dividend

A long means…

Exposure to a rise in the S&P 500 quarterly dividend stream — a shorter window than the annual index.

What is this?

The S&P 500 quarterly dividend index is the same conversion into index points, but over three months. It is not the S&P 500, and it is not the annual dividend index. The window runs from the day after the previous expiry through the third Friday of March, June, September or December; the index then resets to zero.

The futures price is that quarter’s implied dividend, closer to dates already declared. The CME contract is used to isolate a quarter, or to retune a hedge, whatever the index level.

Pitfalls

  • Not the S&P 500 price line (13874+).
  • Not annual SDA (43874A): this is 43874Q, $1,000 multiplier.

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.