Canadian Derivatives Exchange*

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

Underlying

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.

Multiplier

C$200 times the S&P/TSX 60 Index Standard Futures contract value.

Expiry cycle

March, June, September and December.

Price quotation

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

Contract type

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

Last trading day

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

Expiration day

Expiration occurs on the last trading 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.

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 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.

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 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.