For full functionality of this site it is necessary to enable JavaScript.
Here are the instructions how to enable JavaScript in your web browser.

30-Day Overnight Repo Rate Futures (ONX)

Trading unit

Each contract shall be for a nominal value of C$5,000,000.

Contract months

Four months in the March, June, September, December quarterly cycle plus three nearest non-quarterly months (serials).

Price quotation

Index: 100 minus the monthly average overnight repo rate for the contract month.

Last trading day / Expiration

Last business day of the contract month.

The contract is cash settled against the monthly average of the daily overnight repo rate for the contract month. The daily overnight repo rate (CORRA) is calculated and reported by the Bank of Canada. The monthly average is a simple arithmetic average corresponding to the sum of the daily overnight repo rates divided by the number of calendar days in the month. Weekend and holiday rates are considered to be the rate applicable on the previous business day for which a rate was reported. For example, Friday's rate is used for Saturday and Sunday rates. The final settlement price is determined on the first business day following the last day of trading.

Contract type

Cash settlement.

Minimum price fluctuation

0.005 = C$20.55 (one-half of 1/100 of one percent of C$5,000,000 on a 30-day basis).

Reporting limit

300 contracts.

Position limits

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

Minimum margin requirements

Information on minimum margin requirements can be obtained from the Exchange as they are subject to periodic changes. See the Futures contracts margin rates page on the Regulatory Division website.

Trading hours (Montréal time)

Early session: 6:00 a.m. to 7:45 a.m.
Regular session: 8:00 a.m. to 3:00 p.m.
Extended session*: 3:09 p.m. to 4:00 p.m.

* There is no extended session on the last trading day of the expiring contract month.

Note: During early closing days, the regular session closes at 1:00 p.m., time at which the daily settlement price is established. In those circumstances, the extended session is from 1:09 p.m. to 1:30 p.m.