Canadian Derivatives Exchange*

S&P/TSX 60 Index Options (SXO)

Underlying index

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$10 per S&P/TSX 60 Index point.

Expiry cycle

At a minimum, the nearest three expiries plus the next two expiries in the designated quarterly cycle: March, June, September, December. Annual expiry of December for long term options.

Minimum fluctuation of the option premium

  • 0.01 index point = C$0.10 per contract, for premiums of less than 0.10 index points
  • 0.05 index points = C$0.50 per contract, for premiums of 0.10 index points or more

Strike prices

At a minimum, five strike prices bracketing the current underlying index's market price.

Contract type

European style.

Last trading day

The business day prior to expiration.

Expiration day

The third Friday of the contract month, provided it is a business day. If it is not a business day, expiration will occur on the first preceding business day.

Final settlement price

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

Position reporting threshold

15,000 contracts on the same side of the market, 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 index.

Trading hours

9:31 a.m. to 4:15 p.m.

Clearing corporation

Canadian Derivatives Clearing Corporation (CDCC).

Trading procedures

SXOTM is a trademark of Bourse de Montréal Inc.