Canadian Derivatives Exchange*

S&P/TSX 60 Index Options (SXO)

Underlying

The S&P/TSX 60 index is a capitalization-weighted index of the 60 largest companies in Canada, which have the most liquid stocks.

Multiplier

C$10 per S&P/TSX 60 index point.

Contract months

Nearest three months plus the next two months in the March, June, September, December quarterly cycle.

Annual expiry of December (long-term options).

Minimum price fluctuation

  • 0.01 index point = C$0.10 per contract, for premiums of less than 0.10 index point
  • 0.05 index point = C$0.50 per contract, for premiums of 0.10 index point and up

Strike prices

  • Set at a minimum of 2.5 index points
  • Set at a minimum of 5 index points (long term)

Contract type

European style.

Last trading day

Trading ceases on the trading day prior to the expiration day.

Expiration day

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

Settlement upon exercise

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

Reporting limit

15,000 contracts on the same side of the market 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 breakers" in the underlying stocks.

Trading hours (Montréal time)

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.