Fed Funds Effective For
2009-01-050.11%
Source: newyorkfed.org

EFP Listings
Highest Bid Rates
Sym Exp Rate Time (EST)
 
Lowest Ask Rates
Sym Exp Rate Time (EST)
Source: InteractiveBrokers.com


Product News

Delisting Notice DN09-01

Contract Delisting


Notice to Members

Addition of Contract Months
View PDF


PR09-001 01/06/2009

Chicago, IL – January 6, 2009 – OneChicago, LLC today reported that 254,503 security futures contracts traded at the Exchange in December 2008. YTD volume stands at 4,012,281.
Open interest stood at 113,396 contracts in December 2008.


Corporate Event Notice CE09-02

UST Inc. (”UST/UST1C”) Merger Complete with
Altria Group Inc. (“MO/MO1C”)


Notice to Members

Addition of Contract Months
View PDF


Corporate Event Notice CE09-001

National City Corporation (“NCC/NCC1C”)
Merger Complete
The PNC Financial Services Group, Inc. (“PNC/PNC1C”)
January 2, 2009


Corporate Event Notice CE08-184

Merrill Lynch Co., Inc. (”MER/MER1C”)
Merger Complete
Bank Of America Corp (“BAC”)


Corporate Event Notice CE08-183

Nationwide Financial Services, Inc. (”NFS/NFS1C”)
Merger Complete with NWM Merger Sub, Inc.
December 31, 2008


Corporate Event Notice CE08-182

Gateway Financial Holdings, Inc. (”GBTS/GBTS1C”)
Merger Complete
Hampton Roads Bankshares Inc (“HMPR”)
December 31, 2008


Corporate Event Notice CE08-181

National City Corporation (“NCC/NCC1C”)
Merger Complete
The PNC Financial Services Group, Inc. (“PNC/PNC1C”)
December 31, 2008


How Can You Benefit From Single Stock Futures?

Symbol Contract Future Stock Dividend Discount # of Days Implied Annualized Discount
SHLD1C 2009-01 42.08 42.62 0.0000 $0.54 10 45.66%
SHLD1C 2009-03 38.81 42.62 0.0000 $3.81 73 44.13%
SHLD1C 2009-02 40.39 42.62 0.0000 $2.23 45 41.90%
CREE1C 2009-01 17.80 17.94 0.0000 $0.14 10 28.14%
LNG1C 2009-03 3.26 3.45 0.0000 $0.19 73 27.24%
MGM1C 2009-03 15.26 16.01 0.0000 $0.75 73 23.12%
MGM1C 2009-02 15.56 16.01 0.0000 $0.45 45 22.50%
MGM1C 2009-06 14.39 16.01 0.0000 $1.62 164 22.23%
ESLR1C 2009-03 3.39 3.52 0.0000 $0.13 73 18.26%
BK1C 2009-01 27.59 27.72 0.0000 $0.13 10 16.90%

SSFs are an alternative way to invest and trade equity products. At expiration the SSF turns into a long or short stock position. Accordingly if you are interested in buying any of the Stocks whose symbol is displayed above you will notice that you can purchase a SSF that is currently trading BELOW the offer on the stock. That is, you can buy the SSF cheaper now and at expiration you will get the stock at a discount to the present underlying purchase price. All prices below were last updated at 15:50:01 EST on 2009-01-06, and will have fresh updates throughout the trading day. HOVER over the symbol to see the range of the implied annualized discount for 2009-01-06. (more…)


Synthetic Secured Lending Using Single Stock Futures EFPs

The structure of the single stock futures (SSF) market makes it as ideally suited for borrowing and lending money at the AAA credit rating of the Options Clearing Corporation as European-exercise index options on the S&P 500 (SPX). The reason is simple: Just as trades in European-exercise options cannot be exercised until the expiration date, neither can trades in SSFs.

In addition, as long as short positions in SSFs deliver into long and short positions, respectively, in the underlying stock or exchange-traded fund, there is no basis risk. The future will be priced at the stock plus the interest rate cost of carry minus the future value of the expected dividend. As expiration approaches, the future’s price converges to the stock’s price and then delivers into the stock itself.

View PDF


Use Futures To Go Short

The following is an abridged version of a column that appeared on RealMoney.com on July 22, 2008.

The entire sturm und drang about naked short selling last week might have been interesting had it not been so unnecessary. Single stock futures (SSFs) can and have been used to do the exact same trade since November 2002. Advocates on both sides of the debate are arguing about the best way to escape a room whose door is and has been open.
Using Single Stock Futures
Let’s distinguish between short-selling and naked short-selling. The former involves locating a stock, borrowing the shares and selling them; the latter skips the location of the stock and borrowing same. As option market makers in particular have emphasized in recent days, their ability to engage in naked short-selling until such time as shares can be located and borrowed is vital to their ability to function in today’s electronic markets. Both market makers and normal short-sellers have a vital role to play in markets. (more…)


Visit the Single Stock Futures Tutorial

The tutorial covers such topics as:
The SSF Financing Benefit.
SSFs are considered a cost efficient method to invest in stocks. This is because SSFs have the cost of carry interest rate built into their price. This interest rate is locked when the trade is made and is determined in the SSF pricing by multiple participants in a competitive open market. By contrast, when purchasing stock on margin the variable interest rate is dictated by that single broker in a non-competitive environment which is subject to market interest rate volatility.
Click the Image to View the Tutorial!


OneChicago Upcoming Education and Webinars

In an effort to provide education about our products and their benefits, OneChicago provides ongoing webinars and other education events.

Below is a list of upcoming events.

- Please join OneChicago and OptionsXpress for the ‘Compare Trading Stock on Margin to Using Single Stock Futures’ webinar on Wednesday, January 8th, 2009 at 3:30 PM (CST)

· OneChicago and Interactive Brokers for the following webinar ‘OneChicago Single Stock Futures (SSF) - an introduction to SSF and our newly enhanced calculator’ on January 13th 11:00 AM (CST)


OneChicago B.E.T.S.

OneChicago Blocks & EFP Trading System
The OneChicago B.E.T.S. (Blocks and EFP Trading System) is intended to streamline the current reporting of Bi-lateral (i.e. pre-negotiated trades between you and your customer or other market participant) Block and EFP trades and additionally create an “on screen” (point and click) trading platform for Block & Block-Roll orders as well as a matching system for EFPs. The system will auto-match orders in strict price-time priority. Block-Rolls and EFPs will be displayed and traded on a differential basis. There are two types of user interfaces available. An internet based Graphical User Interface (GUI) and an Application Programming Interface (API). Users may connect via the internet, VPN, or point-to-point connection.


Single Stock Futures

Single-stock futures are securities that share some of the features of Equities and also some of traditional commodity . There are interest rate benefits that can not be found with other products.
where F is the single-stock futures contract price, P is the underlying stock price, r is the annualized interest rate, and Div is the expected dividend.

Another valuation of single stock futures can be found through the following:

where S is the price of the underlying (the stock price), PV(Div) is the Present value of any dividends entitled to the holder of the underlying between T and t, r is the risk free rate, and e is the base of the natural log. F is of course the price of the single stock futures contract.


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