Options on the Three-Month CORRA Futures

Underlying

For Regular Options on Three-Month CORRA Futures (OCR) - The Three-month CORRA Futures for which the contract Reference Quarter begins on the third Wednesday of the month in which such options expire.

Example: For a given year, the underlying futures contract for an option that expires in March is the futures contract for which the contract Reference Quarter begins on (and includes) the third Wednesday of March and ends on (and does not include) the third Wednesday of June.

For Serial Options on Three-Month CORRA Futures (OCR) - The Three-month CORRA Futures for which the contract Reference Quarter begins on the third Wednesday of the next quarterly month following such options expiries.

Example: For a given year, the underlying futures contract for a serial option that expires in either January or February is the futures contract for which the contract Reference Quarter begins on (and includes) the third Wednesday of March and ends on (and does not include) the third Wednesday of June.

For One-Year (OCY) and Two-year (OCZ) Mid-Curve Options on Three-Month CORRA Futures - The Three-month CORRA Futures for which the contract Reference Quarter begins respectively on the third Wednesday of the 12th or 24th calendar month following the month in which such options expire.

Example: For a given year, the underlying futures contract for a one-year mid-curve option that expires in September is the futures contract for which the contract Reference Quarter begins on (and includes) the third Wednesday of September one year away and ends on (and does not include) the third Wednesday of December one year away.

Trading unit

One Three-month CORRA future.

Expiry cycle

For Regular Options on Three-Month CORRA Futures - the Delivery Months are the seven (7) nearest months in the March, June, September, December quarterly Cycle.

For Serial Options on Three-Month CORRA Futures - the Delivery Months are the two (2) nearest non-quarterly months (serials) in the the January, February, April, May, July, August, October, November Cycle.

For One-Year and Two-year Mid-Curve Options on Three-Month CORRA Futures - The Delivery Months are 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 on deep Out-of-the-money Options (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 $2.50.

Strike prices

Set at minimum intervals of 0.125 points per Three-month CORRA Futures.

Last Trading Day

Trading ceases on the Friday preceding the third Wednesday of the Delivery Month or, if it is not a business day, on the first preceding business day.

Options with an expiry that does not coincide with the expiry of the underlying futures shall cease trading at the date and at the time referred to in the options contract. Otherwise, options shall cease trading on the same day and time as the underlying futures.

Expiration Day

Expiration occurs on the last Trading Day on the Delivery Month.

Contract type

American style.

Minimum Fluctuation of the Option Premium

0.005 = C$12.50 per contract

0.001 = C$2.50 per contract for cabinet trades

Maximum Price Variation Thresholds

None.

Position Limits

All-months position limit: not applicable.

Spot month position limit: information can be obtained from the Regulatory Division as they are subject to periodic changes. See the position limits page on the Regulatory Division website.

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 options contract is equivalent to one futures contract.

Minimum margin requirements

Information on minimum margin requirements can be obtained from the Bourse as they are subject to periodic changes.

Trading Hours

Regular session: 2:00 a.m.** to 4:30 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

Please refer to the Rules of the Bourse.