

Updated: Thursday, May232019 9:25pm 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 pershare dividend are multiplied
by the number of floating shares and then scaled to millions.] 
23,512,129.970 
502,648.866 
2.14 

Nasdaq 100
[Modified Cap. Weighted: stock price and pershare dividend are multiplied
by the Nasdaq weight factors and then scaled to millions.] 
11,967,101.610 
140,311.102 
1.17 

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.) ] 
3,758.460 
96.540 
2.57 



