Pricing (1D Contract)


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The standard market pricing mechanism for SSF 1D (“no-div”) contract is:

Futures = Equity Price(P) + Cost of Carry

Cost of Carry = P * I * N / 360 with

P: Equity Price
I: Interest Rate (function of Libor and the borrow cost)
N: Number of days to expiration

Generic Pricing Example:

Stock XYZ, a $100 stock, pays no dividend during the life of the futures contract.
Cost of Carry components: S = $100, I = 40 bps, N = 30 days
XYZ Cost of Carry = $100 * 0.0040 * 30/360

XYZ Future Price is $100.0333 = $100.00 + 0.0333 (Cost of Carry)

Click here for an outline of the OneChicago’s SSF 1D contract.