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Dividend Analysis
Updated: Thursday, Dec-14-2017
9:15pm ET

Why are dividends important for determining index arbitrage conditions?
  • The fair value premium equals the interest earned on the spot index minus dividends earned by the stocks that comprise the index. The relevant time period is from the current date until the future's expiration.
  • As you might imagine, controversy exists about how to implement the above equation: some arbitrageurs measure dividends by yield; others (correctly in our opinion) by amount.
  • Both measures are presented here.

  Dividend Yields

 Index Aggregate Value of Index Components

[S&P and Nasdaq in millions.
Dow Jones in units.]
Aggregate Dividends

[Next four quarters]

[S&P and Nasdaq in millions.
Dow Jones in units.]
Dividend Yield (%)

[Aggregate Dividends divided by Aggregate Value]
Link Button to Individual Stock Dividend Yields
[Floating Capitalization Weighted: stock price and per-share dividend are multiplied by the number of floating shares and then scaled to millions.]
22,688,619.033 447,267.141 1.97
 Nasdaq 100
[Modified Cap. Weighted: stock price and per-share dividend are multiplied by the Nasdaq weight factors and then scaled to millions.]
9,134,455.690 101,941.209 1.12
 Dow Jones
[Price Weighted: Sum of prices and dividends of stocks in the DJIA index.
(N.B. Divide stock price sum by the DJIA divisor to get the index value.) ]
3,559.900 80.832 2.27


  Dividend Amounts

Futures Total Dividends in Index Futures Period

[From Dec-15-2017 to
each future's expiration]

[S&P and Nasdaq 100 dividends are cap. weighted and in millions;
Dow Jones dividends are unweighted and in units.]
Divisor Adjusted Dividends

Total Dividends in Index Futures Period divided by the index divisor.

 Index Divisors:
  S&P 500 (Derived) 8,555.25395207
  Nasdaq 100 1,429.51241726
  Dow Jones Ind. Avg. 0.14522121
Link Button to Individual Stock Dividends
S&P 500      
    MAR 2018 112,801.324      13.185     
    JUN 2018 221,941.894      25.942     
    SEP 2018 333,276.678      38.956     
Nasdaq 100      
    MAR 2018 25,116.432      17.570     
    JUN 2018 50,881.794      35.594     
    SEP 2018 76,321.009      53.390     
Dow Jones      
    MAR 2018 19.452      133.948     
    JUN 2018 39.127      269.431     
    SEP 2018 59.802      411.800     

Notes to the Calculations
  • Internal values have a precision of at least twelve decimal places. Displayed values, however, are rounded to three decimal places.
  • Therefore, if you divide the rounded amounts in the above two tables, you may get slightly different values.
    [For example, division of the rounded values for Total Dividends in Index Futures Period by the appropriate index divisor to obtain the Divisor Adjusted Dividends may produce slightly different values.] The correct values are those displayed.

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