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Dividend Analysis
Updated: Friday, Jan-19-2018
8:00pm 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
 S&P
[Floating Capitalization Weighted: stock price and per-share dividend are multiplied by the number of floating shares and then scaled to millions.]
23,957,405.450 444,674.448 1.86
 Nasdaq 100
[Modified Cap. Weighted: stock price and per-share dividend are multiplied by the Nasdaq weight factors and then scaled to millions.]
9,822,604.651 101,822.576 1.04
 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.) ]
3,786.500 80.982 2.14

 

  Dividend Amounts

Futures Total Dividends in Index Futures Period

[From Jan-22-2018 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) 8,524.85693694
  Nasdaq 100 1,437.24471170
  Dow Jones Ind. Avg. 0.14522121
Link Button to Individual Stock Dividends
S&P 500      
    MAR 2018 80,433.448      9.435     
    JUN 2018 189,072.692      22.179     
    SEP 2018 299,613.865      35.146     
Nasdaq 100      
    MAR 2018 20,414.403      14.204     
    JUN 2018 46,190.852      32.138     
    SEP 2018 71,410.421      49.686     
Dow Jones      
    MAR 2018 16.073      110.676     
    JUN 2018 35.748      246.159     
    SEP 2018 56.422      388.528     


 
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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