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.

Market Review

September 28, 2023

Volume by product
Name Volume Trans. Open Interest
COA 0 0 751
CRA 39,898 5,105 566,634
BAX 43,625 10,209 589,412
Options on BAX 0 0 15,900
CGZ 43,435 3,913 105,395
CGF 44,983 12,587 131,193
CGB 125,278 54,455 510,936
LGB 149 40 726
OGB 0 0 993
SXF 25,875 23,899 292,795
BTC on SXF 43 6 0
SXM 74 19 240
SDV 0 0 43,140
SXD 0 0 3,550
SXK 0 0 741
Equity options 116,591 5,670 6,403,808
Options on ETFs 91,786 379 6,442,715
Share futures 0 0 840,000
BTC on share futures 57,600 8 0
USX 0 0 2,795
Total 589,337 116,290 15,951,724
Most active options classes
Class Volume
ZEB 51,619
XIU 25,727
NWH 22,296
AQN 22,042
BTCC 10,118
BN 7,407
CM 3,886
ETHH 3,523
RY 3,378
TD 2,838
 
Put/call ratios
Options Put volume Call volume Total volume Ratio
Equity options 41,957 74,634 116,591 0.562
Index options 0 0 0 0.000
 
Three-Month CORRA Futures (CRA)
Month Open High Low Settlement Change Volume Open int.
SE 23 94.878 94.890 94.875 94.888 0.010 3,957 117,617
DE 23 94.745 94.765 94.725 94.760 0.030 7,210 121,298
MR 24 94.685 94.730 94.675 94.720 0.030 8,514 99,715
JN 24 94.725 94.785 94.705 94.765 0.040 5,916 64,612
SE 24 94.860 94.910 94.810 94.890 0.055 5,661 75,524
DE 24 95.040 95.105 94.995 95.085 0.060 3,853 52,478
MR 25 95.230 95.300 95.190 95.280 0.060 2,624 20,385
JN 25 95.405 95.480 95.370 95.460 0.060 947 10,774
SE 25 95.585 95.635 95.535 95.625 0.040 687 3,180
DE 25 95.685 95.780 95.685 95.775 0.050 488 806
MR 26 95.800 95.890 95.800 95.890 0.030 41 98
JN 26 0.000 0.000 0.000 95.995 0.000 0 147
 
Three-Month Canadian Bankers' Acceptance Futures (BAX)
Month Open High Low Settlement Change Volume Open int.
DE 23 94.285 94.310 94.270 94.305 0.030 7,076 120,842
MR 24 94.245 94.290 94.220 94.270 0.045 9,718 133,675
JN 24 94.300 94.360 94.270 94.335 0.060 7,844 102,801
SE 24 94.540 94.590 94.485 94.565 0.060 6,619 102,150
DE 24 94.730 94.790 94.670 94.760 0.060 6,594 75,150
MR 25 94.900 94.980 94.860 94.960 0.070 3,625 34,659
JN 25 95.080 95.150 95.040 95.130 0.060 1,492 13,390
SE 25 95.260 95.310 95.210 95.290 0.050 481 5,883
DE 25 0.000 0.000 0.000 95.440 0.000 109 707
MR 26 0.000 0.000 0.000 95.560 0.000 67 155
 
Two-Year Government of Canada Bond Futures (CGZ)
Month Open High Low Settlement Change Volume Open int.
DE 23 101.705 101.790 101.660 101.765 0.070 43,435 105,395
 
Five-Year Government of Canada Bond Futures (CGF)
Month Open High Low Settlement Change Volume Open int.
DE 23 107.670 107.790 107.420 107.720 0.160 44,983 131,193
 
Ten-Year Government of Canada Bond Futures (CGB)
Month Open High Low Settlement Change Volume Open int.
DE 23 114.640 114.890 113.980 114.740 0.310 125,278 510,936
 
S&P/TSX 60TM Index Standard Futures (SXF)
Month Open High Low Settlement Change Volume Open int.
DE 23 1,169.500 1,182.100 1,164.600 1,179.700 10.100 25,875 289,975
DE 24 0.000 0.000 0.000 1,202.400 0.000 0 1,560
DE 25 0.000 0.000 0.000 1,228.700 0.000 0 1,260
 

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