In case you missed it in the comments discussing Transdigm’s special dividend, the CBOE adjusts contracts for any special dividend over twelve and one half cents. The CBOE does not adjust option contracts for any size regular dividend.
PPH
Some ETFs, like SPY, the S&P 500 ETF, collect all the dividends paid during the quarter and then pay it out at once. Others pay it out as it comes in to them. For example, tomorrow PPH, the pharmaceutical HOLDRs, pay a cash distribution of $3.96 because of the merger of Wyeth (WYE) and Pfizer (PZE). And the CBOE is adjusting the option contracts to reflect that special payment.
Here is a screen shot of the November series options (Click on the image to enlarge):
PPH is trading at 68.39 / 68.4 and the Nov 70 put is 2.1 / 2.35. The intrinsic value of the put is 1.6 so the remaining fifty to seventy five cents reflects the time value to expiration. There are 32 days until the November options expire and theta is a penny and one half, so that is $0.48. There is a regular dividend payment of $0.009 cents with ex dividend date Thursday the 22nd of October. Too small to be seen with the naked eye.
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