Canadian Derivatives Exchange*

Options on Three-Month Canadian Bankers' Acceptance Futures (OBW, OBX, OBY, OBZ)

Underlying

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.

Trading unit

One Three-Month Canadian Bankers' Acceptance Futures (BAX) contract.

Expiry cycle

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.

Premium quotation

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

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

Strike prices

Set at a minimum of 0.125 points intervals per Three-month Canadian bankers' acceptance futures contract.

Contract type

American style.

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 10:00 a.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 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.

Position limit

Information on position limits can be obtained from the Bourse as they are subject to periodic changes. See Circulars.

Price limit

None.

Minimum margin requirements

Information on minimum margin requirements 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

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.

Clearing corporation

Canadian Derivatives Clearing Corporation (CDCC).

Trading procedures

Trading strategies

OBX® is a registered trademark of Bourse de Montréal Inc.
OBWTM, OBYTM and OBZTM are trademarks of Bourse de Montréal Inc.