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发帖数: 5465 | 1 //感兴趣的可以看一下。
OCC Infomemo # 31714. Adjustment Policy for Accelerated Dividends. “…
cash dividends which are paid pursuant to a company’s regular dividend
payment program but which are subject to accelerated payment shall be deemed
“ordinary” dividends. Ordinary dividends do NOT occasion (strike price)
adjustment. This is irrespective of the company’s characterization of such
dividends as “special”… ‘.
An example of this will be Best Buy (BBY). They announced that the regular
dividend originally scheduled for January 2, 2013 will be moved up to be
paid on December 31, 2012. Based on OCC Infomemo # 31714 – nothing
happened to option strike prices on the ex-date.
The second memo deals with the more complex Special Dividend.
OCC infomemo # 30412. Changes to Cash Dividend Adjustment Policies. This is
a six-page memo, the majority is Q & A.
(With) dividends paid outside of ordinary, The OCC will normally adjust (
strikes) for non-ordinary dividends unless the amount is less than $12.50 ($
0.125 X 100 shares). So if XYZ declares a Special Dividend of $0.10 per
share ($10.00), nothing should happen to option strike prices.
Let’s look at a real example. Costco (COST) closed Wednesday at $105.95.
They declared a Special Dividend of $7.00 per share, ex-dividend date 12/6/
12, payable on December 18th. The January 105 strike put was trading near $
1.60. On the ex-date, the shares opened 7 dollars lower at $98.95. Wouldn
’t the 105 put be intrinsically worth $6.05?
NO. In COST all the existing option strike prices were adjusted lower by 7
points. So if you had bought the Jan 105 put Wednesday, it became the 98
strike put. If COST is at $98.95 the newly adjusted 98 strike put was still
$0.95 out-of-the-money. Likewise the Jan 105 call at $0.72 was adjusted to
98 strike call. To the untrained eye, it looks like there was an arb with
a stock like COST and an OTM put. There is no “free money”.
Be aware of the impact on your positions around all dividends but especially
mindful of the special dividends we are now seeing. |
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