Interest rate derivative trading will cease at 1:30 p.m. today, September 29, 2023. Furthermore, the interest rate derivative market will be closed on October 2, 2023.
Articles & Newsletters
These documents are PDF files.
Quarterly Highlights
- Montréal Exchange - 2023 Q2 Highlights
- Montréal Exchange - 2023 Q1 Highlights
- Montréal Exchange - 2022 Q4 Highlights
- Montréal Exchange - 2022 Q3 Highlights
- Montréal Exchange - 2022 Q2 Highlights
- Montréal Exchange - 2022 Q1 Highlights
- Montréal Exchange - 2021 Q4 Highlights
- Montréal Exchange - 2021 Q3 Highlights
- Montréal Exchange - 2021 Q2 Highlights
- Montréal Exchange - 2021 Q1 Highlights
- Montréal Exchange - 2020 Q4 Highlights
- Montréal Exchange - 2020 Q3 Highlights
- Montréal Exchange - 2020 Q2 Highlights
- Montréal Exchange - 2020 Q1 Highlights
- Montréal Exchange - 2019 Q4 Highlights
- Montréal Exchange - 2019 Q3 Highlights
- Montréal Exchange - 2019 Q2 Highlights
- Montréal Exchange - 2019 Q1 Highlights
- Montréal Exchange - 2018 Highlights
Interest Rate Derivatives
BAX
- BAX Fallback - Discussion
- Evolving BAX Curve: October 2019 Update
- Evolving BAX: Nearly a Decade of Easy Roll Down
Futures Flash Series
- August 2023 - Economic Pessimism Grips Canada Inflation Market
- June 2023 - "Free Money Trade": Astute CGB Basis Traders Found a Free Option
- March 2023 - Is This Really the End? An Update on BAX
- January 2023 - 2023: The Future of Futures
- November 2022 - Excess Demand for 5-year Bonds (and Swaps): A Bad Omen for Canada's Economy?
- August 2022 - Wildcard Options: The Option of Maximum Regret
- August 2022 - 2-10 Yield Curve Inversion: How Low Will It Go?
- May 2022 - A potential fixed income opportunity mid/post sell-off
- April 2022 - Potential Opportunity: Wide 2-Year Swap Spreads
- February 2022 - Switch Risk in Futures: A Refresher
- September 2021 - Slightly Different BA Contract, Same Story?
- July 2021 - Delivery Drought Ended
- April 2021 - Jun/Sep CGB Roll: A Roll Unlike the Others
- April 2021 - Forecasting/Understanding Negative Basis in Futures
Government of Canada Bond Futures
CGZ – Two-Year Government of Canada Bond Futures
CGF – Five-Year Government of Canada Bond Futures
- CGF as Substitute for 5y Benchmark Bonds - Strategy Comparison: 2013-2020
- 5-year Cash vs. CGF Futures vs. 5-year IRS: A Comparative Analysis
- CGF as Substitute for 5y Benchmark Bonds
- CGF – Mapping the Possibilities
- CGF Implied Repo Analysis
- CGF Invoice Spread
- Opportunity to Sell CGFZ6 Basis
CGB – Ten-Year Government of Canada Bond Futures
- The Collapse of Long-Term Forward Yields
- CGB as Substitute for 10y Benchmark Bonds - Strategy Comparison: 2011-2020
- New Year, New CGB Opportunity?
- Compare and Contrast: Shorting CGB Versus 10-Year Benchmark
- CGB Case Study: Wildcard Option Exercise
- Preview: 2018 Annual CTD Switch for CGB
- Hedging Provincial Bonds with CGB Contracts
- CGB – Driven Leverage and Credit Overlay
- CGB – A Guide to Futures Roll Analysis
- CGB as Substitute for 10y Benchmark Bonds
- Auction, Benchmark, CGB, or Off-the-Run?
LGB - 30-Year Government of Canada Bond Futures
- Potential Strategies: Long Canadian Government Bond Futures Contracts
- LGB: A Primer for CGB Users
- LGB: Potential Strategies for Investors
General
- Fundamentals of Canadian Fixed Income Futures
- Understanding 2-5-10 Butterfly Trades in Futures
- Unpacking a Successful Curve Trade in Canadian Bond Futures
- CPI/Reflation Trade in Canada
- Think Outside the Benchmark
- COVID-19 Recovery: Canada versus the USA
- CGF CGB - Understanding the Implied Repo Rate
- Five Ideas in a Challenging Bond Market
- Wildcard Option Simulation
- 2019 Spring Bond Events
- Canada/US: Across the Curve
- Long Maturity Canada Yields Are Not For You
- CGF CGB – Removing the Bias from 5-10 Steepeners
- Embedded Options in CGF and CGB Futures
- Canada Swap Spreads (CGF & CGB)
- Canada's Seasonal "Mortgage Trade"
Roll Updates
- CGZ CGF CGB LGB - U23-Z23 Roll Update
- CGZ CGF CGB LGB - M23-U23 Roll Update
- CGZ CGF CGB LGB - H23-M23 Roll Update
- CGZ CGF CGB LGB - Z22-H23 Roll Update
- CGZ CGF CGB LGB - U22-Z22 Roll Update
- CGZ CGF CGB LGB - M22-U22 Roll Update
- CGZ CGF CGB LGB - H22-M22 Roll Update
- CGZ CGF CGB - Z21-H22 Roll Update
- CGZ CGF CGB – M21-U21 Roll Update
- CGZ CGF CGB – H21-M21 Roll Update
- CGZ CGF CGB – U21-Z21 Roll Update
- CGF CGB – Z20-H21 Roll Update
- CGF CGB – U20-Z20 Roll Update
- CGF CGB – M20-U20 Roll Update
- CGF CGB – H20-M20 Roll Update
- CGF CGB – Z19-H20 Roll Update
- CGF CGB – U19-Z19 Roll Update
- CGF CGB – M19-U19 Roll Update
- CGF CGB – H19-M19 Roll Update
- CGF CGB – Z18-H19 Roll Update
Equity Derivatives
SXF - S&P/TSX 60 Index Standard Futures
- Cost of Trading: a Cash Market vs Futures Market Comparison
- Carry opportunities: How to identify and exploit it
- A guide to SXF roll
SXF - Roll Updates
SEG - S&P/TSX 60 ESG Index Futures
- Strategy Focus: Carving out Energy Stock from the S&P/TSX 60 ESG Index
- ESG Index Futures Outperform their Parent Index Benchmark
Equity & ETF Options
- Analysing the Implied volatility term structure
- Option-based signals and systematic strategies
- Cost of Trading: a Cash Market vs Futures Market Comparison
- Stock financing and option prices
- Covered Calls: Managing Risk Exposure and Generating Value During Volatile Times
- Options on leveraged ETFs
- Options on unhedged ETFs and inter-listed stocks
- Options Reference Manual
- Expiry Cycles
- Index options and correlation trading
- High volatility: the case of cannabis stocks
- Implied Pricing for Equity Derivatives
- Interest rates regimes and option prices
- Covered calls are the same as cash-secured puts: How equivalent positions can help you size up a strategy
- What is volatility and how does it impact option selling returns?
- The good the bad and the ugly – market lore and overwriting?
- Using Options to Hedge Sectoral Risk
