Dividends in futures pricing
How an expected payment is embedded in the price of a futures contract on a share: the futures holder receives no dividend himself.
How to read the number
A contract expiring after the record date trades adjusted for the expected payment, which is why the fall in the underlying on the record date is not a loss for it.
When the metric lies
What is embedded is an expectation, not a fact. A change or cancellation of the payment reprices the contract even if the share itself does not move.
Also known as: futures dividend adjustment