S&P/TSX 60 Index Standard Futures (SXF)
The S&P/TSX 60 Index, which is designed to represent leading companies in leading industries.
Market Capitalization: Larger companies, as measured by the float adjusted market capitalization, are considered for the S&P/TSX 60 Index. A company's float adjusted market capitalization is calculated by removing control blocks of 10% or more.
C$200 times the S&P/TSX 60 Index Standard Futures contract value.
March, June, September and December.
Quoted in index points, expressed to two decimals.
Minimum price fluctuation
- 0.10 index points for outright positions
- 0.01 index points for calendar spreads
Cash settlement. 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 trading 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 futures contracts (standard and mini combined) on the S&P/TSX 60 Index, gross long and short, in all contract months combined.
Information on position limits can be obtained from the Bourse as they are subject to periodic changes. See Circulars.
A trading halt will be invoked in conjunction with the triggering of "circuit breakers" on the underlying issues.
Minimum margin requirements
Information on minimum margin limits 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.
- 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.
Canadian Derivatives Clearing Corporation (CDCC).
- Daily settlement price procedures for futures contracts and options on futures contracts
- Procedures applicable to the execution of cross transactions and the execution of prearranged transactions
- 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
- Procedures for the cancellation or adjustment of trades
- Procedures applicable to the execution of riskless basis cross transactions on futures contracts on S&P/TSX Indices and on share futures
The information contained in this document is for information purposes only and shall not be construed as legally binding. This document is a summary of the product's specifications which are set forth in the Rules of Bourse de Montréal Inc. (“Rules of the Bourse”). While Bourse de Montréal Inc. endeavors to keep this document up to date, it does not guarantee that it is complete or accurate. In the event of discrepancies between the information contained in this document and the Rules of the Bourse, the latter shall prevail. The Rules of the Bourse must be consulted in all cases concerning products' specifications.