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Dividend Analysis
Updated: Saturday, Feb-18-2017
2:30am 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.]
20,231,768.890 426,074.079 2.11
 Nasdaq 100
[Modified Cap. Weighted: stock price and per-share dividend are multiplied by the Nasdaq weight factors and then scaled to millions.]
7,425,594.983 91,587.807 1.23
 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.) ]
3,011.550 75.610 2.51


  Dividend Amounts

Futures Total Dividends in Index Futures Period

[From Feb-21-2017 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) 8,605.01577498
  Nasdaq 100 1,394.55125968
  Dow Jones Ind. Avg. 0.14602130
Link Button to Individual Stock Dividends
S&P 500      
    MAR 2017 36,043.474      4.189     
    JUN 2017 137,686.255      16.001     
    SEP 2017 243,582.555      28.307     
Nasdaq 100      
    MAR 2017 5,035.166      3.611     
    JUN 2017 26,900.185      19.289     
    SEP 2017 49,417.922      35.436     
Dow Jones      
    MAR 2017 6.245      42.768     
    JUN 2017 24.323      166.568     
    SEP 2017 43.520      298.039     

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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