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Expected Daily Ex-Dividend Points

Basis reconciliation · ex-dividend points calendar
TXF Basis Reconciliation
Market basis (TXF − TAIEX)
+30.88
Closed · 11/14 05:00
+
Cumulative points (from tomorrow)
+3.5
Through the 11/18 TXF settlement
=
Reconciled (real) basis
+34.38
Reconciled basis = market basis + cumulative future ex-dividend points, i.e. the basis with the ex-dividend effect taken out.
It's the cumulative figure in the calendar cell for the next TXF monthly settlement day.

About This Metric

Definition
The TAIEX points expected to come off from member stocks going ex-dividend.
How to Read
Adding the cumulative dividend points back to the market basis gives the adjusted premium or discount. The bigger the gap between the two, the more the dividend effect is shaping the basis.
  • TAIEX futures above the index is a premium, below is a discount; the basis includes the dividend effect.
  • Futures price in ahead of time the dividend drops certain to happen before expiry, so the dividend points accumulating from tomorrow must be added back to get the basis without the dividend effect.
  • Before today the values are announced actuals; from tomorrow they are estimates. Days before today are already in the index, so the cumulative column shows “—”.
  • Accumulation starts tomorrow and does not reset across settlement days; the settlement-day cell is that contract's total dividend adjustment before expiry.
  • Days without an announced dividend are estimated with a blend based on the same period last year.
Source
TWSE, TAIFEX
Caveat
A widening discount in dividend season isn't bearish; it's the dividend effect being priced in early.
Related pages
Stock ex-dividend lookup

Understanding the basis is step one — step two is letting a strategy account for the ex-dividend effect automatically.

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