Thursday, April 2nd 2020
Dividend Chaos Tracked Intraday In Our Forecast Feed
Dividend changes brought on by the corona virus are captured intra-day by ORATS in the dividend feed.
ORATS has a dividend feed that captures intra-day changes announced by companies, reflecting dividend suspensions, cancellations, and cuts in their forecasts. They monitor many resources for news of these announcements and incorporate the updated dividend information into their forecasts, continuously monitoring corporate dividend announcements for changes and suspensions.
The upheaval wrought by the corona virus has forced many companies to suspend or cancel dividends. To name a few: Ford (F), Boeing (BA), Mariott (MAR), Delta Airlines (DAL), Macy's (M), Norstrom (JWN) have suspended their dividends, and daily more companies are announcing dividend cuts, cancellations, deferments and suspensions.
Dividends are an important input into options pricing models and options traders need a reliable method to capture the latest dividend updates. ORATS has a dividend feed that captures intra-day changes announced by companies. We are monitoring many resources for news of these announcements and incorporating the updated dividend information into our forecasts. Specifically we are handling these announcements in the following ways:
1. Dividend Suspension – If a company announces they are suspending their dividend with no future indication of dividend policy we are reflecting that in our dividend forecast as the company being a 0 payer.
For example: Ford (F), who suspended their dividend, appears in our forecast as F 2020-01-01 0 4.
2. Dividend Cancelled with specific reporting periods noted – If a company announces a specific dividend has been cancelled, or a specific number of upcoming dividends have been cancelled, we will have our forecast stream reflect those cancelled dividends as 0.00. The stream farther out than the specific dates specified by the company will reflect a forecast dividend payment amount based on our best estimates.
3. Dividend Cut – If a company announces a dividend amount cut that will be reflected immediately in our forecast stream for the company.
Any unique situations will be dealt with as they present themselves. For instance, Cracker Barrel Old Country Store (CBRL) has postponed the dividend previously announced to be paid in April. They will be paying that dividend in August and have suspended payments of other future dividends. Our forecast stream for Cracker Barrel now appears:
We will continuously monitor corporate dividend announcements for changes and suspensions. We have unearthed many dividend actions by searching news websites, corporate action aggregators, and our partners like Wall Street Horizon. As always, feedback from clients with pertinent information is encouraged.
More information here: https://info.orats.com/dividends
Calculating what the options market implies for a dividend involves lining up the call and put weighted implied volatilities and getting the inputs for interest and dividends consistent.
Implied dividends have foreshadowed cuts by DIS WYNN and other firms. Using options prices to implied dividends ORATS presents a possible suspension list of companies.