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3

You get nothing, by this logic you could accumulate risk-free money all day by buying/selling on the ex-date as long as the dividend is larger than the spread.


3

You could compute index dividend yield from ATM options using linearized put-call parity (assuming index options are European.) The present value of the dividend payment is: $PV(div) = P - C + (S - K) + K(e^{rT} - 1)$ where $r$ is interest rate to the option expiration and $T$ is time to maturity in years. Then the implied dividend is: $d = ...


1

In real life, you imply the unknown dividend yields from the forwards and the discount curve.


1

The line of thinking is theoretically correct and it is right if you assume that: no other event happened during the trading day or in recent periods (if, for instance, one has a stock split recently, you will take into account also that and so on for all corporate events); The dividend is a cash-dividend (in the case you will have a stock-dividend things ...


1

Have you read Options, Futures and Other Derivatives by John Hull? I have the (ancient) 3rd edition and dividends are covered in section 11.12. (The latest edition is viciously expensive, but getting a used copy of one version back can halve the price.)



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