Canadian Derivatives Exchange*

S&P/TSX 60 Index Standard Futures (SXF)

Underlying

The S&P/TSX 60 index is a capitalization-weighted index of the 60 largest and most liquid stocks listed on the Toronto Stock Exchange.

Multiplier

C$200 × S&P/TSX 60 Index Standard Futures value

Contract months

Four months in the March, June, September, December quarterly cycle.

Price quotation

Quoted in index points, expressed to two decimals.

Last trading day

Trading ceases on the trading day prior to the final settlement day.

Final settlement day

The 3rd Friday of the contract month, providing it be a business day; if not, the 1st preceding day.

Contract type

Cash settlement. The final settlement price is the official opening level of the underlying index on the final settlement day.

Minimum price fluctuation

  • 0.10 index points for outright positions
  • 0.01 index points for calendar spreads

Reporting limit

1,000 futures contracts (standard and mini combined) on the S&P/TSX 60 index gross long and short in all contract months combined.

Position limits

Information on position limits can be obtained from the Exchange as they are subject to periodic changes. See Circulars.

Price limit

A trading halt will be invoked in conjunction with the triggering of "circuit breaker" in the underlying stocks.

Minimum margin requirements

Information on minimum margin requirements can be obtained from the Exchange as they are subject to periodic changes. See the Futures contracts margin rates page on the Regulatory Division website.

Trading hours (Montréal time)

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 on previous day's settlement price) has been established only for this session.

Clearing corporation

Canadian Derivatives Clearing Corporation (CDCC)

Trading procedures

Trading strategies

SXFTM is a trademark of Bourse de Montréal Inc.