After thinking through what was going on with put and calls during the ex-dividend event, I needed to redesign the workbook that compares CC to CSP for the ex-dividend event. What I currently have for KO, MO, MRK, and MMM (no dividend event):
| Ticker: | KO | | | | | | | | | |
| Expiry/Ex-Div: | 09-15 | 09-14 | | | | | | | | |
| Price/Div: | $46.96 | $0.37 | | | | | | | | |
| | | | | | | | | | |
| Strike | ED-aROI | C-aROI | P-aROI | CE-PE | C-Bid | ED-Extr | C-Extr | P-Bid | P-Extr |
| $45.00 | -- | -- | 2.7% | $0.32 | $1.91 | -- | $0.33 | $0.01 | $0.01 |
| $45.50 | -- | -- | 2.7% | $0.33 | $1.42 | -- | $0.34 | $0.01 | $0.01 |
| $46.00 | -- | -- | 5.3% | $0.27 | $0.87 | -- | $0.29 | $0.02 | $0.02 |
| $46.50 | -- | -- | 28.8% | $0.23 | $0.42 | -- | $0.34 | $0.11 | $0.11 |
| $47.00 | 15.5% | 5.2% | 9.1% | -$0.02 | $0.02 | $0.02 | $0.02 | $0.45 | $0.04 |
| $47.50 | -- | -- | 6.4% | -- | -- | -- | -- | $0.94 | $0.03 |
| $48.00 | -- | -- | 6.3% | -- | -- | -- | -- | $1.44 | $0.03 |
| Ticker: | MO | | | | | | | | | |
| Expiry/Ex-Div: | 09-15 | 09-14 | | | | | | | | |
| Price/Div: | $62.54 | $0.66 | | | | | | | | |
| | | | | | | | | | |
| Strike | ED-aROI | C-aROI | P-aROI | CE-PE | C-Bid | ED-Extr | C-Extr | P-Bid | P-Extr |
| $61.00 | -- | -- | 12.0% | $0.47 | $1.41 | -- | $0.53 | $0.06 | $0.06 |
| $61.50 | -- | -- | 29.7% | $0.43 | $0.96 | -- | $0.58 | $0.15 | $0.15 |
| $62.00 | -- | -- | 45.1% | $0.23 | $0.46 | -- | $0.46 | $0.35 | $0.23 |
| $62.50 | 35.0% | 19.7% | 17.5% | $0.01 | $0.10 | $0.06 | $0.10 | $0.71 | $0.09 |
| $63.00 | 5.8% | 2.0% | 3.9% | -$0.01 | $0.01 | $0.01 | $0.01 | $1.14 | $0.02 |
| $63.50 | -- | -- | 0.0% | -- | -- | -- | -- | $1.62 | $0.00 |
| $64.00 | -- | -- | 5.7% | -- | -- | -- | -- | $2.15 | $0.03 |
| $64.50 | -- | -- | -- | -- | -- | -- | -- | $2.60 | -- |
| Ticker: | MRK | | | | | | | | | |
| Expiry/Ex-Div: | 09-15 | 09-14 | | | | | | | | |
| Price/Div: | $65.55 | $0.47 | | | | | | | | |
| | | | | | | | | | |
| Strike | ED-aROI | C-aROI | P-aROI | CE-PE | C-Bid | ED-Extr | C-Extr | P-Bid | P-Extr |
| $64.00 | -- | -- | 5.7% | $0.43 | $1.53 | -- | $0.46 | $0.03 | $0.03 |
| $64.50 | -- | -- | 18.9% | $0.34 | $1.01 | -- | $0.44 | $0.10 | $0.10 |
| $65.00 | -- | -- | 44.9% | $0.21 | $0.52 | -- | $0.45 | $0.24 | $0.24 |
| $65.50 | 58.5% | 28.1% | 21.4% | $0.04 | $0.15 | $0.11 | $0.15 | $0.54 | $0.12 |
| $66.00 | 16.7% | 5.6% | 4.6% | $0.01 | $0.03 | $0.03 | $0.03 | $0.95 | $0.03 |
| $66.50 | -- | -- | 0.9% | -- | -- | -- | -- | $1.43 | $0.01 |
| $67.00 | -- | -- | -- | -- | -- | -- | -- | $1.92 | -- |
| Ticker: | MMM | | | | | | | | | |
| Expiry/Ex-Div: | 09-15 | 08-23 | | | | | | | | |
| Price/Div: | $209.07 | -- | | | | | | | | |
| | | | | | | | | | |
| Strike | ED-aROI | C-aROI | P-aROI | CE-PE | C-Bid | ED-Extr | C-Extr | P-Bid | P-Extr |
| $200.00 | -- | -- | 1.2% | -- | $8.95 | -- | -- | $0.02 | $0.02 |
| $202.50 | -- | 4.8% | 1.8% | $0.05 | $6.65 | -- | $0.08 | $0.03 | $0.03 |
| $205.00 | -- | 4.7% | 4.2% | $0.01 | $4.15 | -- | $0.08 | $0.07 | $0.07 |
| $207.50 | -- | 18.8% | 17.0% | $0.03 | $1.89 | -- | $0.32 | $0.29 | $0.29 |
| $210.00 | -- | 23.9% | 18.0% | $0.10 | $0.41 | -- | $0.41 | $1.24 | $0.31 |
| $212.50 | -- | 2.3% | -- | -- | $0.04 | -- | $0.04 | $3.35 | -- |
| $215.00 | -- | -- | -- | -- | -- | -- | -- | $5.80 | -- |
What the columns represent:
- Strike = strike prices, four ITM and four OTM
- C-Bid, P-Bid = bid prices for the calls and the puts.
- ED-Extr = extrinsic values of the call as the stock goes ex-dividend.
- C-Extr, P-Extr = extrinsic values of the calls and the puts as of the expiration date, after the dividend has been paid. So they are based on the current stock price less the dividend amount.
- CE-PE = difference between those two extrinsic values as of the expiration date.
- ED-aROI, C-aROI, P-aROI = simple annualized return on investments of the call as the stock goes ex-dividend and the calls and the puts as of the expiration date.
My criteria will probably be:
- Minimum bid price of $0.30
- Minimum aROI of 30%.
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