A deepening euro zone crisis has left a number of blue-chip companies in the region struggling to confirm their dividend payments, meaning it could become more expensive to roll June Euro STOXX futures into September as expiries approach, says Vincent Cassot, head of equity derivatives strategy at Societe Generale.
More than 18 percent of the expected dividend payouts on the Euro Stoxx 50 between now and September are unconfirmed dividends from Spanish banks, Societe Generale says.
This means the price of September contracts could rise if these dividends are cut, since futures benefit from the stocks not going ex-div.
“Dividend risk is on the downside so if you’re long June and need to buy September you’d better do it quickly,” Cassot says.
The June contract was last at 2,072 points, against 2,061 for the June one.
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