Canadian Derivatives Exchange*

Options on Ten-Year Government of Canada Bond Futures (OGB)

Trading unit

One Ten-Year Government of Canada Bond Futures (CGB).

Contract months

March, June, September and December, plus monthly options contracts based on the next quarterly futures contract that is nearest to the options contract.

Price quotation

Quoted in points where each 0.005 point (0.5 basis point) represents C$5.

Last trading day / Expiration

Trading ceases on the 3rd Friday of the month preceding the options contract month provided, however, that such Friday is a business day and precedes by at least 2 business days the 1st notice day of the underlying futures contract.

Contract type

American style.

Minimum price fluctuation

0.005 = C$5 per contract.

Reporting limit

250 options or futures equivalent contracts. For the purpose of calculating the reporting limit, positions in the options contracts are aggregated with positions in the underlying futures contracts. For aggregation purposes, the futures equivalent of one in-the-money option contract is one futures contract and the futures equivalent of one at-the money or out-of-the-money option contract is half a futures contract.

Position limits

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

Strike prices

Set at a minimum of 0.5 point intervals per Ten-Year Government of Canada Bond Futures.

Trading hours (Montréal time)

6:00 a.m. to 4:00 p.m.

Note: During early closing days, the regular session closes at 1:30 p.m.

Clearing corporation

Canadian Derivatives Clearing Corporation (CDCC)

Trading procedures

OGB® is a registered trademark of Bourse de Montréal Inc.