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Total Posts: 434
Joined: Jul 2006
Posted: 2017-05-12 17:22
Basic q:

The following article states:

The CAC has rallied 6% since the France First Round Election results on Monday 24th April, whilst the open interest is up 7% since last expiry implying new longs and adding to existing long positioning.
Moreover, traditionally May and June are the most important months in terms of dividends (May 27.72 index points and June 78.82 index points). Usually local investors would be looking to buy the roll and be long the dividend before the ex date.
Subsequently we can assume that positioning is long

If you buy the roll you buy the roll you are long may and short june contract. How does this make you long the dividend? I get F_MAY-F_JUNE=D_JUNE-D_MAY

where F_X is future price with maturity X
and D_X is pv of div in X

but how does this mean you are long the div before ex date?

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