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  • Montréal Exchange - Five-Year Government of Canada Bond Futures (CGF)
    this site it is necessary to enable JavaScript Here are the instructions how to enable JavaScript in your web browser Five Year Government of Canada Bond Futures CGF 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 100 000 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 01 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 should be submitted before 5 30 p m or before such time set by the clearing corporation on any business day between the third business day preceding the first business day of the delivery month and the third business day preceding the last business day of the delivery month inclusively Delivery day Delivery should be made on the third 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 4 years and 5 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 3 5 billion nominal value are originally issued at five 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_cgf_en.php (2016-04-30)
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  • Montréal Exchange - Ten-Year Government of Canada Bond Futures (CGB)
    functionality of this site it is necessary to enable JavaScript Here are the instructions how to enable JavaScript in your web browser Ten Year Government of Canada Bond Futures CGB 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 Government of Canada bond futures and options on futures reference manual CGB Poised for takeoff study from CIRANO Underlying C 100 000 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 01 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 should be submitted before 5 30 p m or before such time set by the clearing corporation on any business day between the third business day preceding the first business day of the delivery month and the third business day preceding the last business day of the delivery month inclusively Delivery day Delivery should be made on the third 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 8 years and 10 years as of the first day of the delivery month calculated by rounding down to the nearest whole three month period have an outstanding amount of at least C 3 5 billion nominal value are originally issued at ten year 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 periodical 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 Daily settlement

    Original URL path: http://bdm.org/produits_taux_int_cgb_en.php (2016-04-30)
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  • Montréal Exchange - 30-Year Government of Canada Bond Futures (LGB)
    this site it is necessary to enable JavaScript Here are the instructions how to enable JavaScript in your web browser 30 Year Government of Canada Bond Futures LGB 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 100 000 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 01 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 contract 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 third business day preceding the first business day of the delivery month and the third business day preceding the last business day of the delivery month inclusively Delivery day Delivery must be made on the third 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 not less than 25 years as of the first day of the delivery month calculated by rounding down to the nearest entire three month period have an outstanding amount of at least C 3 5 billion nominal value are originally issued at thirty 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 month 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

    Original URL path: http://bdm.org/produits_taux_int_lgb_en.php (2016-04-30)
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  • Montréal Exchange - Options on Ten-Year Government of Canada Bond Futures (OGB)
    instructions how to enable JavaScript in your web browser Options on Ten Year Government of Canada Bond Futures OGB 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 Underlying Ten Year Government of Canada Bond Futures Trading unit One Ten Year Government of Canada Bond Futures OGB contract Expiry cycle Quarterlies March June September and December Serials Based on the next quarterly futures contract that is nearest to the options contract Premium quotation Quoted in points where each 0 005 point 0 5 basis point represents C 5 Minimum fluctuation of the option premium 0 005 C 5 per contract Strike prices Set at a minimum of 0 5 points intervals per Ten Year Government Bond Futures contract Contract type American style Last trading day Trading ceases on the third Friday of the month preceding the options contract month provided however that such Friday is a business day and that it precedes by at least two business days the first notice day of the underlying futures contract 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 250 options or equivalent futures contracts For the purpose of calculating the reporting limit positions in the options contracts are aggregated with positions in the underlying futures contracts For aggregation purposes the futures equivalent of one in the money option contract is one futures contract and the futures equivalent of one out of money option contract is half a futures

    Original URL path: http://bdm.org/produits_taux_int_ogb_en.php (2016-04-30)
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  • Montréal Exchange - S&P/TSX 60 VIX Index (VIXC)
    useful tool to hedge the potential downturn of the broad equity market While the S P TSX 60 index options have various expirations VIXC indicates the implied volatility of the fixed 30 day period Since the VIXC methodology uses S P TSX 60 index options VIXC is a good proxy of investor sentiment for the Canadian equity market the higher the index the greater the risk of market turmoil A rising index therefore reflects the heightened fears of investors for the coming month VIXC also gives an indication of whether options are relatively cheap or expensive as the higher the implied volatility the higher option premiums are Implied volatility represents the volatility built into the price of an option in the market Implied volatility is important because it determines market consensus about the probable volatility of the underlying stock in the future FAQ What is VIXC In 2002 the Montréal Exchange MX introduced the MX Implied Volatility index MVX reflecting market expectation of how relatively volatile the stock market will be over the next month MVX was calculated from current prices of at the money options on the iShares of the CDN S P TSX 60 Fund XIU The new VICX still measures market expectation of the stock market volatility over the next month However VIXC approximates the 30 day volatility of the Canadian stock market that is implied by the near term and next term options on the S P TSX 60 index SXO Why is MX making changes to the MVX The MVX methodology was similar to the old CBOE VIX methodology developed in 1993 In 2003 the CBOE switched to a new methodology to calculate its VIX index allowing volatility to become a new tradable asset class These changes allow creating a new more precise and robust VIX index that can be used as an underlying asset in the creation of derivative products The new methodology is based on a model free volatility model rather than using a parametric model such as Black Scholes and uses a cross section of option prices In light of market interest for options and futures contracts on volatility indices MX has decided to replace the old MVX methodology by the 2003 CBOE methodology Standard Poor s S P has executed a license agreement with CBOE granting S P the right to the VIX marks and methodology to be applied to the S P TSX 60 index TMX Group parent company of the Montréal Exchange has negotiated with S P for a sublicense for the use of 2003 CBOE methodology for the new S P TSX 60 VIX index MX s objectives are to provide a leading indicator of the expected volatility of the Canadian stock market and to introduce derivative products options and futures on the index when market conditions are right What will happen to the original MVX MX will stop calculating and disseminating the original MXV index calculated using XIU options However MVX historical data December 2002 to October

    Original URL path: http://bdm.org/indicesmx_vixc_en.php (2016-04-30)
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  • Montréal Exchange - MX Covered Straddle Writers' Index (MPCX)
    For periods when the iShares were trading below 25 per share strike prices were assumed to be a 1 00 intervals For example if the iShares were trading at 20 per share we would assume strike prices of 19 20 and 21 For periods when the iShares were trading above 25 per share we assumed strike prices at 2 50 intervals If the iShares were trading at 28 per share we would assume strikes prices at 25 27 50 and 30 In cases where slightly in the money options were the closest available strike to the current price of the underlying security we employed a rigid methodology to determine whether slightly in the money or slightly out of the money calls and or puts would be written To that end we did not write calls or puts where the strike price was 2 or more in the money For example on March 20 2000 the iShares closed at 56 625 The available April strikes were 55 00 and 57 50 Because the 55 00 strike price was 2 9 in the money we sold the April 57 50 calls On March 20 2000 the April 57 50 puts were slightly in the money and were the closest put strike to the current price of the underlying index We sold the April 57 50 put because it was in the money by 1 5 which was less than our 2 in the money threshold The risk free interest rate For this input we used the closing daily yield on 90 day Government of Canada Treasury bills Dividends We approximated the dividend yield on the S P TSX 60 Index as well as the iShares for use when calculating theoretical fair values for the various option series For this purpose the dividend yield was assumed to be 1 6 annually There was no accounting for the tax implications of dividends versus interest income Although the MPCX Index is a total return index it does not account for dividends that would have been received Any comparisons between a buy and hold strategy for the iShares and the MPCX Index also excludes dividends Volatility Volatility was the most difficult input to ascertain One approach was to simply use the historical volatility of the underlying security as our volatility input However historically the experience in both Canada and the US is that index options trade at implied volatilities that are generally higher than the actual historical volatility of the underlying index That trend can be quantified in the US markets by comparing the Volatility Index symbol VIX to the actual historical volatility of the S P 100 Index symbol OEX Historical volatility is calculated as the annualized standard deviation of returns for the underlying security over the preceding 30 days i e 20 trading days The CBOE Volatility Index on the other hand measures the implied volatility based on the actual prices for S P 100 Index options The CBOE Volatility Index has data back to December 1993 From December 16 1993 to October 7 2002 we counted 2 216 daily observations related to the actual historical volatility for the S P 100 Index There were also 2 216 available observations for the VIX On 2 003 of those observations 90 39 or all observations the VIX had a higher closing value than the actual historical volatility of the S P 100 Index On average over that observation period the VIX value was 1 45 times the value of the historical volatility as calculated for the S P 100 Index Further studies showed that from December 1993 to October 2002 the S P TSX 60 Index had a positive correlation 0 75 correlation coefficient with the S P 100 Index Suggesting that on average both underlying indices tended to move in similar directions at the same time There was however some variance in the degree of daily moves when comparing the S P TSX 60 Index to the S P 100 Index Over the observation period the S P 100 Index was slightly more volatile on average that the S P TSX 60 Index Given those observations it was decided that the daily volatility input for the MX Covered Straddle Writers Index would be based on a multiple of the observed VIX implied versus actual historical volatility on the S P 100 Index For example on July 8 1996 the annualized 30 day historical volatility on the S P 100 Index was 15 9 note on July 8 1996 the S P TSX 60 Index had an implied volatility of 8 1 On that particular date the VIX closed at 20 9 or 1 3 times the level of the actual historical volatility for the S P 100 Index The 1 3 becomes the multiple used to calculate the TFV for the S P TSX 60 Index options on that day So coming to full circle we multiplied the actual 30 day historical volatility for the S P TSX 60 Index i e 8 1 by the 1 3 multiple as ascertained from the implied versus actual volatility for the S P 100 Index to arrive at an implied volatility assumption for the S P TSX 60 Index of 10 6 We input the 10 6 assumption in the Black Scholes formula for that day and utilized the same methodology for all other days until iShares S P TSX 60 Index began trading Once iShares S P TSX 60 Index options began trading we used the actual prices form the Montréal Exchange Time to expiration The time to expiration is calculated as the total number of days between the Monday following a series expiration to the next expiration date The expiration date for each option series is the Saturday following the third Friday of the expiration month When inputting these six factors into the model the formula provides a TFV for the calls and the puts Current daily index calculations are not determined by the

    Original URL path: http://bdm.org/indicesmx_mpcx_en.php (2016-04-30)
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  • Montréal Exchange - MX Covered Call Writers' Index (MCWX)
    19 20 and 21 For periods when the iShares were trading above 25 per share we assumed strike prices at 2 50 intervals If the iShares were trading at 28 per share we would assume strikes prices at 25 27 50 and 30 In cases where slightly in the money calls were the closest available strike to the current price of the underlying security we employed a rigid methodology to determine whether slightly in the money or slightly out of the money calls would be written We did not write calls where the strike price was 2 or more in the money For example on March 20 2000 the iShares closed at 56 625 The available April strikes were 55 00 and 57 50 Because the 55 00 strike price was 2 9 in the money we sold the April 57 50 calls The risk free interest rate For this input we used the closing daily yield on 30 day Government of Canada Treasury bills Dividends We approximated the dividend yield on the S P TSX 60 Index as well as the iShares when calculating TFVs for the various option series The dividend yield was assumed to be 1 6 annually There was no accounting for the tax implications of dividends versus interest income Although the MCWX Index is a total return index it does not account for dividends that would have been received Any comparisons between a buy and hold strategy for the iShares and the MCWX Index also excludes dividends Volatility Volatility was the most difficult input to ascertain One approach was to simply use the historical volatility of the underlying security as our volatility input However historically the experience in both Canada and the US is that index options trade at implied volatilities that are generally higher than the actual historical volatility of the underlying index That trend can be quantified in the US markets by comparing the Volatility Index symbol VIX to the actual historical volatility of the S P 100 Index symbol OEX Historical volatility is calculated as the annualized standard deviation of returns for the underlying security over the preceding 30 days i e 20 trading days The CBOE Volatility Index on the other hand measures the implied volatility based on the actual prices for S P 100 Index options The CBOE Volatility Index has data back to December 1993 From December 16 1993 to October 7 2002 we counted 2 216 daily observations related to the actual historical volatility for the S P 100 Index There were also 2 216 available observations for the VIX On 2 003 of those observations 90 39 or all observations the VIX had a higher closing value than the actual historical volatility of the S P 100 Index On average over that observation period the VIX value was 1 45 times the value of the historical volatility as calculated for the S P 100 Index Further studies showed that from December 1993 to October 2002 the S P TSX 60 Index had a positive correlation 0 75 correlation coefficient with the S P 100 Index Suggesting that on average both underlying indices tended to move in similar directions at the same time There was however some variance in the degree of daily moves when comparing the S P TSX 60 Index to the S P 100 Index Over the observation period the S P 100 Index was slightly more volatile on average that the S P TSX 60 Index Given those observations it was decided that the daily volatility input for the MX Covered Call Writers Index would be based on a multiple of the observed VIX implied versus actual historical volatility on the S P 100 Index For example on July 8 1996 the annualized 30 day historical volatility on the S P 100 Index was 15 9 note on July 8 1996 the S P TSX 60 Index had an implied volatility of 8 1 On that particular date the VIX closed at 20 9 or 1 3 times the level of the actual historical volatility for the S P 100 Index The 1 3 becomes the multiple used to calculate the TFV for the S P TSX 60 Index options on that day So coming to full circle we multiplied the actual 30 day historical volatility for the S P TSX 60 Index i e 8 1 by the 1 3 multiple as ascertained from the implied versus actual volatility for the S P 100 Index to arrive at an implied volatility assumption for the S P TSX 60 Index of 10 6 We input the 10 6 assumption in the Black Scholes formula for that day and utilized the same methodology for all other days until iShares S P TSX 60 Index began trading Once iShares S P TSX 60 Index options began trading we used the actual prices form the Montréal Exchange Time to expiration The time to expiration is calculated as the total number of days between the Monday following a series expiration to the next expiration date The expiration date for each option series is the Saturday following the third Friday of the expiration month When inputting these six factors into the model the formula provides a TFV Current daily index calculations are not determined by the model but are based on the actual daily closing prices for the underlying index and the written option as settled on the Montréal Exchange FAQ Trade execution A new iShares covered call write is initiated on the Monday following each Friday expiration The MX Covered Call Writers Index is based on a portfolio of 5 000 shares of the iShares Against that portfolio we write 50 one month close to the money calls covering the entire position The number of shares was rounded to reflect a beginning portfolio value of 108 290 The MCWX Index does not account for transaction costs Investors should recognize that trades in the Index occur every month and

    Original URL path: http://bdm.org/indicesmx_mcwx_en.php (2016-04-30)
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  • Montréal Exchange - Circulars
    Modification to the Equity Options Fee Cap Program for Clients Consolidation of the Fee Cap for Equity Options and ETF Options Multi Leg Strategies 2016 04 20 041 16 Pacific Exploration Production Corporation PRE Suspension 2016 04 12 040 16 Position Limits Stock and Trust Unit Options Exchange Traded Fund Unit Options Sector Index Options Index Options Currency Options Annex 1 2016 04 11 039 16 Position Limits Futures Contracts and Options on Futures Contracts Annex 1 2016 04 07 038 16 List of Deliverable Canadian Government Bond Issues for the LGB CGB CGF and CGZ Futures Contracts ERRATUM 2016 04 06 037 16 New Equity Options Classes 2016 04 05 036 16 List of Deliverable Canadian Government Bond Issues for the LGB CGB CGF and CGZ Futures Contracts 2016 03 23 035 16 Request for Comments Housekeeping Amendments New Rules and Rules to be Abrogated Introduction of Articles 6024 and 6376a in the Rules of Bourse de Montréal Inc Amendments to Articles 6392 and 6633 of Rule Six of the Bourse 2016 03 23 034 16 Request for Comments Trade Execution Amendments to Rules Five and Six and to the Procedures of Bourse de Montréal Inc 2016 03 23 033 16 Final Contract Adjustment Canadian Oil Sands Limited COS Acquisition Final 2016 03 22 032 16 Anticipated Contract Adjustment Bankers Petroleum Ltd BNK Plan of Arrangement 2016 03 15 031 16 Request for Comments Modification of the Expiry Time of Serial and Quarterly Mid Curve Options on Three Month Canadian Bankers Acceptance Futures Contracts Amendments to Articles 6763 9 6764 9 and 6765 9 of Rule Six of Bourse de Montréal Inc 2016 03 10 030 16 Position Limits Futures Contracts and Options on Futures Contracts Annex 1 2016 03 10 029 16 New Equity Option Class 2016 03 04 028 16 List of Deliverable Canadian Government Bond Issues for the LGB CGB CGF and CGZ Futures Contracts 2016 02 29 027 16 Resignation of a Foreign Approved Participant Barclays Capital Inc 2016 02 24 026 16 Hearing before the Disciplinary Committee of Bourse de Montréal Inc Offer of Settlement Scotia Capital Inc 2016 02 23 025 16 Weekly Equity Options Option Classes Changes 2016 02 18 024 16 Final Contract Adjustment Norbord Inc NBD Symbol Change 2016 02 18 023 16 Anticipated Contract Adjustment Element Financial Corporation EFN Spin Off 2016 02 17 022 16 Final Contract Adjustment WestJet Airlines Ltd WJA CUSIP CHANGE 2016 02 12 021 16 MODIFICATION OF THE MINIMUM QUOTATION SPREAD FOR EQUITY ETF AND INDEX OPTIONS CONTRACTS END OF PILOT PROJECT AND IMPLEMENTATION OF A PERMANENT PROGRAM REPLACEMENT OF CLASSES 2016 02 12 020 16 Self Certification Exchange for Physical EFP Exchange for Risk EFR and Substitution of OTC Derivative Instruments for Futures Contracts Amendments to Articles 6815 and 6815A Amendments to the Procedures for the Execution and Reporting of Exchange for Physical EFP Exchange for Risk EFR and Substitution of OTC Derivative Instruments for futures contracts transactions 2016 02 10 019 16

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