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  • Montréal Exchange - S&P/TSX Composite Index Mini Futures (SCF)
    MX Products Equity derivatives Equity options Options on ETFs Weekly options Currency derivatives USX Index derivatives EMF SXO SXF SXM SCF SXJ SXV SXA SXB SXH SXK SXU SXY Interest rate derivatives BAX OBX ONX OIS CGZ CGF CGB LGB OGB Useful Documents Strategy guide for SCF futures Index derivatives reference manual Index futures and options Contract information Useful Link m x tv Underlying The S P TSX Composite Index a capitalisation weighted index designed to measure the market activity of Canadian based TSX listed companies Multiplier C 5 times the level of the S P TSX Composite Index Mini futures contract Expiry cycle March June September and December Price quotation Quoted in index points expressed to two decimals Minimum price fluctuation 5 index points for outright positions 1 index point for calendar spreads Contract type Cash settled The final settlement price is the official opening level of the underlying index on the final settlement day Last trading day Trading ceases on the business day prior to the final settlement day Final settlement day The third Friday of the contract month provided it is a business day If it is not a business day final settlement will occur on the preceding business day Position reporting threshold 1 000 contracts gross long and short in all contract months combined Position limit Information on position limits can be obtained from the Bourse as they are subject to periodical changes See Circulars Price limit A trading halt in the index futures contract will be invoked in conjunction with the triggering of circuit breakers on the underlying issues Minimum margin requirements Information on minimum margin requirements can be obtained from the Bourse as they are subject to periodic changes See the Futures contracts margin rates page on the Regulatory Division website Trading hours Early

    Original URL path: http://bdm.org/produits_indices_scf_en.php (2016-04-30)
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  • Montréal Exchange - Sector Index Options (SXJ, SXV)
    how to enable JavaScript in your web browser Sector Index Options SXJ SXV MX Products Equity derivatives Equity options Options on ETFs Weekly options Currency derivatives USX Index derivatives EMF SXO SXF SXM SCF SXJ SXV SXA SXB SXH SXK SXU SXY Interest rate derivatives BAX OBX ONX OIS CGZ CGF CGB LGB OGB Useful Documents Expiry cycles Index derivatives reference manual Index futures and options Contract information Market makers Useful Links m x tv Options blog Options market implied pricing Underlyings S P TSX Composite Index Banks Industry Group SXJ S P TSX Capped Utilities Index SXV Multipliers SXJ C 10 per S P TSX Composite Index Banks Industry Group point SXV C 100 per S P TSX Capped Utilities Index point Expiry cycle At a minimum the nearest three expiries plus the next two expiries in the designated quarterly cycle March June September December Annual expiry of December for long term options Minimum fluctuation of the option premium For premiums of less than 0 10 index points SXJ 0 01 index point C 0 10 per contract SXV 0 01 index point C 1 00 per contract For premiums of 0 10 index points or more SXJ 0 05 index points C 0 50 per contract SXV 0 05 index points C 5 00 per contract Strike prices SXJ Set at a minimum interval of 10 index points SXV Set at a minimum interval of 5 index points Contract type European style Last trading day The business day prior to expiration Expiration day The third Friday of the contract month provided it is a business day If it is not a business day expiration will occur on the first preceding business day Final settlement price Cash settled The final settlement price is the official opening level of the

    Original URL path: http://bdm.org/produits_indices_sectoriels_options_en.php (2016-04-30)
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  • Montréal Exchange - Sector Index Futures (SXA, SXB, SXH, SXK, SXU, SXY)
    are the instructions how to enable JavaScript in your web browser Sector Index Futures SXA SXB SXH SXK SXU SXY MX Products Equity derivatives Equity options Options on ETFs Weekly options Currency derivatives USX Index derivatives EMF SXO SXF SXM SCF SXJ SXV SXA SXB SXH SXK SXU SXY Interest rate derivatives BAX OBX ONX OIS CGZ CGF CGB LGB OGB Useful Documents Index derivatives reference manual Index futures and options Contract information Underlyings S P TSX Global Gold Index SXA S P TSX Capped Financials Index SXB S P TSX Capped Information Technology Index SXH S P TSX Composite Index Banks Industry Group SXK S P TSX Capped Utilities Index SXU S P TSX Capped Energy Index SXY Multipliers SXA C 200 times the S P TSX Global Gold Index futures value SXB C 200 times the S P TSX Capped Financials Index futures value SXH C 500 times the S P TSX Capped Information Technology Index futures value SXK C 20 times the S P TSX Composite Index Banks Industry Group futures value SXU C 200 times the S P TSX Capped Utilities Index futures value SXY C 200 times the S P TSX Capped Energy Index futures value Expiry cycle March June September and December Price quotation Quoted in index points expressed to two decimals Minimum price fluctuations 0 10 index point for the S P TSX Global Gold Index 0 10 index point for the S P TSX Capped Financials Index 0 05 index point for the S P TSX Capped Information Technology Index 0 10 index point for the S P TSX Composite Index Banks Industry Group 0 10 index point for the S P TSX Capped Utilities Index 0 10 index point for the S P TSX Capped Energy Index Note 0 01 index points for calendar spreads Contract type Cash settled The final settlement price is the official opening level of the underlying sector index on the final settlement day Last trading day Trading ceases on the business day prior to the final settlement day Final settlement day The third Friday of the contract month provided it is a business day If it is not a business day final settlement will occur on the preceding business day Position reporting threshold 500 contracts gross long and short in all contracts months combined Position limit Information on position limits can be obtained from the Bourse as they are subject to periodic changes See Circulars Price limit A trading halt in the sector index futures contracts will be invoked in conjunction with the triggering of circuit breakers on the underlying issues Minimum margin requirements Information on minimum margin requirements can be obtained from the Bourse as they are subject to periodic changes See the Futures contracts margin rates page on the Regulatory Division website Trading hours Early session 6 00 a m to 9 15 a m Regular session 9 30 a m to 4 15 p m A trading range of 5 to 5 based

    Original URL path: http://bdm.org/produits_indices_sectoriels_terme_en.php (2016-04-30)
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  • Montréal Exchange - Three-Month Canadian Bankers' Acceptance Futures (BAX)
    options Options on ETFs Weekly options Currency derivatives USX Index derivatives EMF SXO SXF SXM SCF SXJ SXV SXA SXB SXH SXK SXU SXY Interest rate derivatives BAX OBX ONX OIS CGZ CGF CGB LGB OGB Useful Documents BAX descriptive brochure SAM codes interest rate futures strategies Useful Link Implied pricing for fixed income derivatives Underlying C 1 000 000 nominal value of Canadian bankers acceptances with a three month maturity Expiry cycle Quarterlies March June September and December Serials two 2 nearest non quarterly months Price quotation Index 100 minus the yield in percentage point on an annual basis for a 365 day year on Canadian bankers acceptances with a three month maturity Minimum price fluctuation 0 005 C 12 50 per contract for the six 6 nearest listed contract months including serials 0 01 C 25 00 per contract for all other contract months Contract type Cash settled Last trading day Trading ceases at 10 00 a m Montréal time on the second London Great Britain banking day preceding the third Wednesday of the contract month provided it is a business day If it is not a business day trading will cease on the first preceding business day Expiration day Expiration occurs on the last trading day Final settlement price Based on the average bid rate of Canadian bankers acceptance with a three month maturity as quoted on CDOR on the last trading day at 10 15 a m excluding the highest and the lowest values Position reporting threshold 300 contracts Position limit Information on position limits can be obtained from the Bourse as they are subject to periodic changes See Circulars Price limit None Minimum margin requirements Information on minimum margin requirements can be obtained from the Bourse as they are subject to periodic changes See the

    Original URL path: http://bdm.org/produits_taux_int_bax_en.php (2016-04-30)
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  • Montréal Exchange - Options on Three-Month Canadian Bankers' Acceptance Futures (OBW, OBX, OBY, OBZ)
    derivatives EMF SXO SXF SXM SCF SXJ SXV SXA SXB SXH SXK SXU SXY Interest rate derivatives BAX OBX ONX OIS CGZ CGF CGB LGB OGB Underlying For regular options OBX the underlying Three month Canadian bankers acceptance futures contract BAX is the futures contract that expires during the month in which the option expires For serial mid curve options OBW the underlying is the BAX contract that expires one year from the next quarterly month that is nearest to the expiration of the option For example the underlying for the one year mid curve option that expires in January or February is the March BAX contract of the next calendar year For one year and two year quarterly mid curve options OBY and OBZ the underlying is the corresponding BAX contract that expires one year for OBY or two years for OBZ after the option expires For example the underlying for the one year quarterly mid curve option that expires in June is the June BAX contract of the next calendar year Trading unit One Three Month Canadian Bankers Acceptance Futures BAX contract Expiry cycle For OBX The eight 8 nearest months in the March June September December quarterly cycle For OBW The two 2 nearest non quarterly months serials in the January February April May July August October November cycle For OBY and OBZ The four 4 nearest months in the March June September December quarterly cycle Premium quotation Quoted in points where each 0 01 point 1 basis point represents C 25 For example a quote of 0 465 represents a total option premium of C 1 162 50 46 5 basis points C 25 Cabinet trades Cabinet trades options with a premium below 0 01 are quoted in 0 001 point one tenth of a basis point where each 0 001 point represents C 2 50 Minimum fluctuation of the option premium 0 005 C 12 50 per contract 0 001 C 2 50 per contract for cabinet trades Strike prices Set at a minimum of 0 125 points intervals per Three month Canadian bankers acceptance futures contract Contract type American style Last trading day For OBX Trading ceases at 10 00 a m Montréal time on the second London Great Britain banking day prior to the third Wednesday of the contract month provided it is a business day If it is not a business day trading will cease on the first preceding business day For OBW OBY and OBZ Trading ceases at 10 00 a m Montréal time on the Friday immediately preceding the third Wednesday of the contract month provided it is a business day If it is not a business day trading will cease on the first preceding business day Expiration day Expiration occurs on the last trading day Position reporting threshold 300 options or equivalent futures contracts For the purpose of calculating this limit positions in the options contracts are aggregated with positions in the underlying futures contracts For aggregation purposes one

    Original URL path: http://bdm.org/produits_taux_int_obx_en.php (2016-04-30)
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  • Montréal Exchange - 30-Day Overnight Repo Rate Futures (ONX)
    Options on ETFs Weekly options Currency derivatives USX Index derivatives EMF SXO SXF SXM SCF SXJ SXV SXA SXB SXH SXK SXU SXY Interest rate derivatives BAX OBX ONX OIS CGZ CGF CGB LGB OGB Useful Documents ONX reference manual BoC rate move simulator for ONX futures Underlying C 5 000 000 nominal value of the compounded daily overnight repo rate CORRA Expiry cycle Quarterlies March June September and December Serials the three 3 nearest non quarterly months Price quotation Index 100 minus the monthly average overnight repo rate for the contract month Minimum price fluctuation 0 005 C 20 55 one half of 1 100 of one percent of C 5 000 000 on a 30 day basis Contract type Cash settled Last trading day The last business day of the contract month Expiration day Expiration occurs on the last trading day Final settlement price The contract is cash settled against the monthly average of the daily overnight repo rate for the contract month The daily overnight repo rate CORRA is calculated and reported by the Bank of Canada The monthly average is a simple arithmetic average corresponding to the sum of the daily overnight repo rates divided by the number of calendar days in the month Weekend and holiday rates are considered to be the rate applicable on the previous business day for which a rate was reported For example Friday s rate is used for Saturday and Sunday rates The final settlement price is determined on the first business day following the last day of trading Position reporting threshold 300 contracts Position limit Information on position limits can be obtained from the Bourse as they are subject to periodic changes See Circulars Price limit None Minimum margin requirements Information on minimum margin requirements can be obtained from

    Original URL path: http://bdm.org/produits_taux_int_onx_en.php (2016-04-30)
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  • Montréal Exchange - Overnight Index Swap Futures (OIS)
    SXO SXF SXM SCF SXJ SXV SXA SXB SXH SXK SXU SXY Interest rate derivatives BAX OBX ONX OIS CGZ CGF CGB LGB OGB Useful Documents How to calculate the final settlement price of the OIS futures contract BoC rate move simulator for OIS futures Underlying C 5 000 000 nominal value of a fixed for floating interest rate swap where a fixed rate is swapped against a floating rate The floating rate is the compounded daily overnight repo rate CORRA over the period of the contract month Expiry cycle Contract months will be listed to match the Bank of Canada s schedule of Fixed Announcement Dates Price quotation Index 100 R R the compounded daily overnight repo rate CORRA for the contract month It is calculated in accordance with the following formula R where d o the number of Business Days in the calculation period i is a series of whole numbers from one to d o each representing the relevant Business Day in chronological order from and including the first Business Day in the relevant Calculation Period ORR i Overnight Repo Rate CORRA on the i th day of the calculation period if the i th day is not a business day the previous available CORRA is used n i is the number of calendar days in the relevant Calculation Period on which the rate is ORR i d is the number of calendar days in the relevant Calculation Period Minimum price fluctuation 0 005 C 31 25 one half of 1 100 of one percent of C 5 000 000 on a 45 625 365 day basis Contract type Cash settled Last trading day The day of a Bank of Canada fixed announcement date Expiration day Expiration occurs on the last trading day Final settlement price The final settlement price shall be 100 minus the compounded daily overnight repo rate CORRA over the period of the contract month that begins the day following the last Bank of Canada Fixed Announcement Date to the day of the next Bank of Canada Fixed Announcement Date Weekend and holiday rates are considered to be the rate applicable on the previous business day for which a rate was reported For example Friday s rate is used for Saturday and Sunday rates The daily overnight repo rate CORRA is calculated and reported by the Bank of Canada The final settlement price is rounded to the nearest 1 10th of one basis point 0 001 In the case a decimal fraction ends with 0 0005 or higher the final settlement price shall be rounded up The final settlement price is determined on the first business day following the last day of trading Position reporting threshold 300 contracts Position limit Information on position limits can be obtained from the Bourse as they are subject to periodic changes See Circulars Price limit None Minimum margin requirements Information on minimum margin requirements can be obtained from the Bourse as they are subject to periodic changes See

    Original URL path: http://bdm.org/produits_taux_int_ois_en.php (2016-04-30)
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  • Montréal Exchange - Two-Year Government of Canada Bond Futures (CGZ)
    this site it is necessary to enable JavaScript Here are the instructions how to enable JavaScript in your web browser Two Year Government of Canada Bond Futures CGZ MX Products Equity derivatives Equity options Options on ETFs Weekly options Currency derivatives USX Index derivatives EMF SXO SXF SXM SCF SXJ SXV SXA SXB SXH SXK SXU SXY Interest rate derivatives BAX OBX ONX OIS CGZ CGF CGB LGB OGB Useful Document Government of Canada bond futures and options on futures reference manual Useful Link Implied pricing for fixed income derivatives Underlying C 200 000 nominal value of a Government of Canada bond with a 6 notional coupon Expiry cycle March June September and December Price quotation Per C 100 nominal value Minimum price fluctuation 0 005 C 10 per contract Contract type Physically delivered delivery of eligible Government of Canada bonds Last trading day Trading ceases at 1 00 p m on the seventh business day preceding the last business day of the delivery month Expiration day Expiration occurs on the last trading day Delivery notices Delivery notices must be submitted before 5 30 p m or before such time set by the clearing corporation on any business day between the second business day preceding the first business day of the delivery month and the second business day preceding the last business day of the delivery month inclusively Delivery day Delivery shall be made on the second business day following the submission of the delivery notice by the member holding a seller s position or on any other day as determined by the clearing corporation Delivery shall be completed no later than the last business day of the delivery month Delivery standards Government of Canada Bonds which have a remaining time to maturity of between 1 year and 2 years as of the first day of the delivery month calculated by rounding down to the nearest whole month period have an outstanding amount of at least C 2 4 billion nominal value are originally issued at two year Government of Canada bond auctions are issued and delivered on or before the fifteenth day preceding the first delivery notice day of the contract More information on delivery standards is available in Article 15613 of the Rules of the Bourse Position reporting threshold 250 contracts Position limit Information on position limits can be obtained from the Bourse as they are subject to periodic changes See Circulars For position limit for the first contract month please see the First contract month position limit page on the Regulatory Division website Price limit None Minimum margin requirements Information on minimum margin requirements can be obtained from the Bourse as they are subject to periodic changes See the Futures contracts margin rates page on the Regulatory Division website Trading hours Regular session 6 00 a m to 4 00 p m Note During early closing days the regular session closes at 1 30 p m 15 seconds Clearing corporation Canadian Derivatives Clearing Corporation CDCC Trading procedures

    Original URL path: http://bdm.org/produits_taux_int_cgz_en.php (2016-04-30)
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