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Dividend Analysis
Updated: Wednesday, Oct-26-2016
10:30pm 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.]
18,502,972.319 415,183.676 2.24
 Nasdaq 100
[Modified Cap. Weighted: stock price and per-share dividend are multiplied by the Nasdaq weight factors and then scaled to millions.]
6,741,139.294 85,820.125 1.27
 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.) ]
2,657.490 73.472 2.76


  Dividend Amounts

Futures Total Dividends in Index Futures Period

[From Oct-27-2016 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) 8,648.55233354
  Nasdaq 100 1,386.89733023
  Dow Jones Ind. Avg. 0.14602130
Link Button to Individual Stock Dividends
S&P 500      
    DEC 2016 68,687.955      7.942     
    MAR 2017 175,121.535      20.249     
    JUN 2017 277,323.294      32.066     
Nasdaq 100      
    DEC 2016 16,970.475      12.236     
    MAR 2017 38,126.607      27.491     
    JUN 2017 60,310.268      43.486     
Dow Jones      
    DEC 2016 14.815      101.458     
    MAR 2017 32.857      225.015     
    JUN 2017 50.874      348.405     

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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