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American Capital Agency Corp. Message Board

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  • jtrader64 jtrader64 Dec 13, 2012 2:33 PM Flag

    Put Arb

    Actually, I worded that oddly.

    The MM's know that tomorrow MITT will trade without the dividend so they price the drop in the puts.

    It is actually opposite of what you see going on with the December puts for AGNC. AGNC is down today but so are the December puts. The reason is that because we haven't seen the dividend announcement yet, the MM's have to mark down the December puts because at OPEX they now expect the dividend to still be in the price as AGNC's ex is looking like it will be after OPEX.

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