March 15, 2024Advisory Notice A24-009

Activation of Covered with Stocks and Guaranteed Cross Auction Functionalities

Pursuant to Circular 133-23, the Montreal Exchange is pleased to inform its participants that on Monday June 3rd 2024, subject to completion of the regulatory process, the Covered with Stocks and the Guaranteed Cross Auction functionalities will be activated for Equity options, ETF Options and User Defined Strategies (UDS) on Equity options and ETF options. For additional information on these functionalities, please refer to the Guaranteed Cross Auction & Covered with Stocks webpage.

Covered with Stocks Functionality Features:

Execute options and stocks strategies simultaneously without the fear of market slippage, ensuring a secure trading experience.

Quicker execution times and clearer visibility into trades.

A minimum of 12% delta is required to use the Covered with Stocks functionality.

Guaranteed Cross Auction Functionality Features:

Engage in a unique auction process, ensuring optimal price discovery.

Benefit from the option of immediate trade execution for larger orders, enhancing trade fluidity.

Experience tailored auction durations, accommodating various types of trading strategies.

Auctions can be initiated at prices up to 4 decimals.

Effective June 3rd, 2024, the use of the Guaranteed Cross Auction functionality will lead to an Auction for transactions with a quantity lower than the threshold specified in table of Article 6.205 (b) of the Rules. Over that specified threshold, the Guaranteed Cross Auction functionality will lead to a zero second cross without Auction, if selected as such by the participants when sending the orders. Otherwise, an Auction will take place regardless of the order size with the use of this functionality. This outcome is reflected in the following table:

Equity or ETF Instrument Type	Quantity	Outcome
Single Options, Options to Options UDS and Options to Stock UDS (Covered with Stocks)	Under 500 contracts	Auction
Greater or equal than 500 contracts*	Auction OR zero second cross if "Cross Preferred" selection has been made by participant

Equity or ETF Instrument Type

Quantity

Outcome

Single Options,

Options to Options UDS and

Options to Stock UDS (Covered with Stocks)

Under 500 contracts

Auction

Greater or equal than 500 contracts*

Auction OR zero second cross if "Cross Preferred" selection has been made by participant

The Montreal Exchange's parameters related to the Guaranteed Cross Auction Functionality will be:

Parameter	Value
Minimum Size	1
Maximum Size	99,999
Auction Duration	1 second for single options 1 second for options to options UDS 5 seconds for options to stock UDS (Covered with Stocks)
Auction Tick	$0.0001 for Auction Orders and Improvement orders matching the Auction Order. Same as current instrument tick table for Improvement orders that improve the price of an Auction Order.

If you require technical assistance please contact the Market Operations Department.

Regards,

Market Operations

Toll-free: 1-888-693-6366

Local: 514-871-7877

Email: Monitoring@tmx.com

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 Montreal Inc. ("Rules of the Bourse"). While Bourse de Montreal 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 product's specifications.