It was reported by OneChicago on January 4, 2016 that 1,476,641 contracts traded in December 2015 for a total 2015 volume of 11,714,015, up 7% from the prior year. This was a new yearly volume record for the exchange, and the third record year in a row.
Electronic platforms and clearing
Delta1 is OneChicago's proprietary order matching and trade reporting platform. On October 20, 2014, Delta1 replaced the OCX.BETS platform for blocks and EFP orders and in January 2015 introduced support for a Central Limit Order Book. Members of the CME Group and CBOE are automatically members of OneChicago and any clearing member of the Options Clearing Corporation who is permissioned for Security Futures can also route orders for execution. OneChicago securities futures may be traded in either a securities account or a futures account.
The exchange offers 13,380 security futures, including 2662 futures on exchange-traded funds and 1846 No Dividend Risk. A OneChicago single stock futures contract is an agreement to deliver 100 shares of a specific stock at a designated date in the future, called the expiration date. OneChicago offers traditional monthly and weekly expiration cycles. The No Dividend Risk products treat ordinary dividends as corporate events by adjusting the previous days’ settlement price by the dividend amount the morning of the Ex-dividend Date.
Weekly Spreads
An expiring weekly spread is an exchange traded centrally cleared alternative to traditional OTC stock loan and dealer equity repo. If you own stock, buying the expiring weekly spread, closes out your stock position and establishes a long futures position, thus transferring your delta from the stock to the future. Your stock position is closed out by delivering the stock to fulfill your short future obligation the next day while your long position is maintained by your futures position. If the underlying stock is hard to borrow, the hard to borrow premium is reflected in the futures buy price being lower than the stock sale price. In essence, you are synthetically loaning out your stock and collecting the hard to borrow premium. If the underlying stock is general collateral, the repo rate is reflected in the futures buy price being higher than the stock sale price. In essence, you are monetizing your stock and are paying interest on the sale proceeds.
Exchange Future for Physical (EFP)
An Exchange Futures for Physical is a combination order to buy an amount of underlying stock and simultaneously sell the equivalent number of SSFs with a counterparty who buys the corresponding underlying. EFP trading allows for the trade of a short underlying position for a short SSF position. An EFP, as an integrated transaction, has no market exposure risk as the Stock and the SSF have identical delta values. The two parties to the transaction are simply shifting to an equivalent position on more favorable financing terms. As of the close of business on May 14, 2014, OneChicago suspended trading in competitive EFPs. Privately negotiated, off-exchange EFPs may still be transacted by market participants and then reported on OneChicago's Delta1 platform.
