Strategy #0000000156 · Carry
Dividend futures and dividend-strip scenario
Enter market-implied dividends, your forecast, direction, multiplier, contracts and costs.
Dividend futures, swaps and strips provide exposure to expected index dividends over a horizon, distinct from owning the shares. Prices reflect risk premia, financing, supply and demand, and forecast error; they are not necessarily unbiased forecasts. This tool uses a manual market-implied value and forecast gap to estimate a simplified cash-settled scenario.
No dividend-futures quotes, term structure, dividend announcements or risk-premium estimates are loaded.
Three ways in
Understand the story. Then inspect the risk.
Start with a familiar situation, check the payoff, then test how the numbers change.
The idea · in two minutes
What does the gap between an entered dividend forecast and market-implied dividends produce after contract sizing and costs?
Dividend futures, swaps and strips provide exposure to expected index dividends over a horizon, distinct from owning the shares. Prices reflect risk premia, financing, supply and demand, and forecast error; they are not necessarily unbiased forecasts. This tool uses a manual market-implied value and forecast gap to estimate a simplified cash-settled scenario.
Enter market-implied dividends, your forecast, direction, multiplier, contracts and costs.
No dividend-futures quotes, term structure, dividend announcements or risk-premium estimates are loaded.
- Entered assumptionsEnter market-implied dividends, your forecast, direction, multiplier, contracts and costs.
- Model outputNo dividend-futures quotes, term structure, dividend announcements or risk-premium estimates are loaded.
Illustrative research examples only. They are not live signals or a recommendation.
The mechanics · payoff and exposure
PnL=Direction imes(Forecast_{div}-Market_{implied}) imes Multiplier imes Contracts-Costs
Dividend units, contract multiplier, size, direction, transaction and funding costs are user inputs.
Greeks: the directional intuition
- 模型
- Measures sensitivity to implied volatility.
- 合約／稅務
- Measures sensitivity to implied volatility.
- 執行
- Measures sensitivity to implied volatility.
PnL=Direction imes(Forecast_{div}-Market_{implied}) imes Multiplier imes Contracts-Costs
Practical context · published observations
Dividend futures and dividend-strip scenario: read the record with its caveats.
The chart uses the published figures or explicitly labelled study inputs below. A historical index or model replay is not the same as an investor’s realised account return.
No dividend-futures quotes, term structure, dividend announcements or risk-premium estimates are loaded. Source ↗ · Methodology ↗
Change assumptions and inspect the scenario
Inputs illustrate the strategy mechanics; they are not live quotes, forecasts or investment advice.
Variants · same family, different risk levers
Models, tax rules, contracts and implementation can change results.
Compare relevant mechanisms and execution assumptions.
| Related strategy | Relationship | What changes | New cost or risk |
|---|---|---|---|
| Base scenario | Manual inputs | Dividend futures, swaps and strips provide exposure to expected index dividends over a horizon, distinct from owning the shares. Prices reflect risk premia, financing, supply and demand, and forecast error; they are not necessarily unbiased forecasts. This tool uses a manual market-implied value and forecast gap to estimate a simplified cash-settled scenario. | No dividend-futures quotes, term structure, dividend announcements or risk-premium estimates are loaded. |
| Conservative version | Stress assumptions | Raise costs and reduce eligible/executable amounts to stress the result. | Scenario benefit may shrink. |
| Validation version | Data review | Check inputs against consistent quotes, settlement rules and personal eligibility. | Needs representative data and professional review. |
No dividend-futures quotes, term structure, dividend announcements or risk-premium estimates are loaded.
Read beyond the summary
References
Primary sources and research used to describe the strategy and its limits.