Wow. now that I look deeper. If you look at the ATM Puts and Calls for the leaps. The premium for puts are even larger. Not as much as the dividends stated. But now I see.
Exactly, if you look at Jan18 options, the ATM is actually around 2277... So roughly speaking, 2295 spot + 0.8% interest = 2313 Dividend priced through options is about 36 (2313-277), which totals 1.5% dividend on S&P500... EDIT. to be exact you should use interest over the strike not spot... but at these levels that's not really much of a difference EDIT #2. I'm now actually not sure re adding the interest... I think if options are daily settled in cash (MtM) there's no interest in that part since you don't have cash locked in... how are SPX options settled, daily marked to market?? I doubt it though, otherwise the 1 year dividend yield will be 0.8% which is ridiculous.