Montana Finance

Feb 8 2019

Bourse de Montrйal: Basis Trades on Close, bourse canada. #Bourse #canada


News : Economy al Inc. (the ” Bourse “) self-certified the matter “Introduction of Basis Trades on Close for Index Futures, Sector Index Futures and Share Futures” (Please refer to Circular 054-18 ) .

The Bourse wishes to inform the market that it will now be possible to enter Basis Trades on Close (“BTC”) starting June 8, 2018 on the following derivatives:

– Share Futures Contracts; and

– S P/TSX 60 Index Standards Futures (SXF).

Please refer to the specifications attached to this Circular, which specifications will become effective on June 7, 2018 after market close .

In addition, the calculation of the final futures contract price shall take place at 4:10pm for BTC on Share Futures Contracts, and at 4:30pm for BTC for S P/TSX 60 Index Standards Futures.

Finally, the Bourse also attaches to this Circular the list of symbols that will have to be used in order to benefit from the BTC functionality.

For additional information, please contact the undersigned at 514-871-7880 or by email at [email protected]

Director, Equity Derivatives Bourse de Montr al Inc.

Tour de la Bourse

P.O. Box 61, 800 Victoria Square, Montreal, Quebec H4Z 1A9

Telephone: 514 871-2424

Toll free within Canada and the U.S.A.: 1 800 361-5353

S HARE F UTURES C ONTRACTS

Individual Canadian or international shares. One contract represents 100 shares.

Quarterlies: March, June, September and December. Serials: two (2) nearest non-quarterly months.

Prices are quoted in Canadian dollars and cents per share.

Minimum Price Fluctuation

CAN $0.01 per share.

CAN $0.001 per share for Basis Trades on Close.

Physically-delivered; delivery of the underlying stocks via the Canadian Depository for Securities Limited (CDS).

Last Trading Day

Trading ceases at 4:00 P.M. (ET) on the third Friday of the contract month, provided it is a business day; if not, the first preceding business day.

Final Settlement Day

For Basis Trades on Close, trading ceases at 3:30 P.M. (ET) The third business day after the last trading day.

Position Reporting Threshold

250 contracts, in the case of stock options and share futures contracts (for all contract months combined of each share future contract) having the same underlying security, by aggregating positions on stock options and share futures contracts, one option contract being equal to one share future contract. While options and share futures contracts must be considered in the aggregate for purposes of the reporting threshold (on a gross basis), positions in options and share futures contracts shall be reported each separately.

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

A trading halt will be invoked in conjunction with the triggering of “circuit breakers” on the underlying issue.

Early session*: 6:00 a.m. to 9:15 a.m. (ET)

Regular session: 9:30 a.m. to 4:00 p.m. (ET)

Basis Trades on Close: Regular session: 9:30 a.m. to 3:30 p.m. (ET)

* Note: A trading range of – 5% to + 5% (based on previous day’s settlement price) has been established only for this session.

Canadian Derivatives Clearing Corporation (CDCC).

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 Montr al Inc. (“Rules of the Bourse”). While Bourse de Montr al 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 products’ specifications.

S P/TSX 60 I NDEX S TANDARD F UTURES

The S P/TSX 60 Index, which is designed to represent leading companies in leading industries.

Market Capitalization: Larger companies, as measured by the float adjusted market capitalization, are considered for the S P/TSX 60 Index. A company’s float adjusted market capitalization is calculated by removing control blocks of 10% or more.

C$200 times the S P/TSX 60 Index Standard Futures contract value. March, June, September and December.

Quoted in index points, expressed to two decimals. One index point equals $200.

0.10 index points for outright positions.

Minimum Price Fluctuation

0.01 index points for calendar spreads.

0.05 index points for outright Basis Trades on Close.

Cash-settled. The final settlement price is the official opening level of the underlying index on the final settlement day.

Last Trading Day

Trading ceases on the trading day prior to the final settlement day.

Final Settlement Day

The third Friday of the contract month, provided it is a business day. If it is not a business day, final settlement will occur on the preceding business day.

Position Reporting Threshold

1,000 futures contracts (standard and mini combined) on the S P/TSX 60 Index, gross long and short, in all contract months combined.

There are no position limits.

A trading halt will be coordinated with the triggering of “circuit breakers” on the underlying interest.

Minimum Margin Requirements

Information on minimum margin limits can be obtained from the Bourse as they are subject to periodic changes.

Early session*: 6:00 a.m. to 9:15 a.m. ET

Regular session: 9:30 a.m. to 4:15 p.m. ET

Basis Trades on Close: Regular session: 9:30 a.m. to 3:30 p.m. ET

* Note: A trading range of – 5% to + 5% (based on previous day’s settlement price) has been established only for this session.

Canadian Derivatives Clearing Corporation (CDCC). SXF

Basis Trade on Close: BSF

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 Montr al Inc. (“Rules of the Bourse”). While Bourse de Montr al 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 products’ specifications.

LIST OF SYMBOLS FOR THE BASIS TRADE ON CLOSE FUNCTIONALITY BTC


Written by OHIO


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