Options on Three-Month Canadian Bankers' Acceptance Futures (OBW, OBX, OBY, OBZ)
Interest rate derivative trading will cease at 1:30 p.m. today, July 29, 2016. Furthermore, the Exchange's markets will be closed on August 1, 2016 (Civic Day).
For regular options (OBX), the underlying Three-month Canadian bankers' acceptance futures contract (BAX) is the futures contract that expires during the month in which the option expires.
For serial mid-curve options (OBW), the underlying is the BAX contract that expires one year from the next quarterly month that is nearest to the expiration of the option. For example, the underlying for the one-year mid-curve option that expires in January or February is the March BAX contract of the next calendar year.
For one-year and two-year quarterly mid-curve options (OBY and OBZ), the underlying is the corresponding BAX contract that expires one year (for OBY) or two years (for OBZ) after the option expires. For example, the underlying for the one-year quarterly mid-curve option that expires in June is the June BAX contract of the next calendar year.
One Three-Month Canadian Bankers' Acceptance Futures (BAX) contract.
For OBX: The eight (8) nearest months in the March, June, September, December quarterly cycle.
For OBW: The two (2) nearest non-quarterly months (serials) in the January, February, April, May, July, August, October, November cycle.
For OBY and OBZ: The four (4) nearest months in the March, June, September, December quarterly cycle.
Quoted in points where each 0.01 point (1 basis point) represents C$25. For example, a quote of 0.465 represents a total option premium of C$1,162.50 (46.5 basis points × C$25).
Cabinet trades (options with a premium below 0.01) are quoted in 0.001 point (one-tenth of a basis point) where each 0.001 point represents C$2.50.
Minimum fluctuation of the option premium
- 0.005 = C$12.50 per contract
- 0.001 = C$2.50 per contract for cabinet trades
Set at a minimum of 0.125 points intervals per Three-month Canadian bankers' acceptance futures contract.
Last trading day
For OBX: Trading ceases at 10:00 a.m. (Montréal time) on the second London (Great Britain) banking day prior to the third Wednesday of the contract month, provided it is a business day. If it is not a business day, trading will cease on the first preceding business day.
For OBW, OBY and OBZ: Trading ceases at 4:00 p.m. (Montréal time) on the Friday immediately preceding the third Wednesday of the contract month, provided it is a business day. If it is not a business day, trading will cease on the first preceding business day.
Expiration occurs on the last trading day.
Position reporting threshold
300 options or equivalent futures contracts. For the purpose of calculating this limit, positions in the options contracts are aggregated with positions in the underlying futures contracts. For aggregation purposes, one options contract is equivalent to one futures contract.
Information on position limits can be obtained from the Bourse as they are subject to periodic changes. See Circulars.
Minimum margin requirements
Information on minimum margin requirements can be obtained from the Bourse as they are subject to periodic changes.
Regular session: 6:00** a.m. to 4:00 p.m.
Note: During early closing days, the regular session closes at 1:30 p.m.
** ± 15 seconds.
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 applicable to the execution of block trades
- Procedures for the cancellation or adjustment of trades
OBX® is a registered trademark of Bourse de Montréal Inc.
OBWTM, OBYTM and OBZTM are trademarks of Bourse de Montréal Inc.
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.