Guides and Strategies

These documents are PDF files.

Guides

Interest rate derivatives

• BAX descriptive brochure
• Government of Canada bond futures and options on futures reference manual
• CGB: Poised for takeoff (study from CIRANO)
• ONX reference manual

Index derivatives

• Index derivatives reference manual
• Index futures and options – Contract information

Equity derivatives

• Equity options reference manual
• Equity options tax regime
• Put options: Now RRSP eligible

Currency derivatives

• Currency options reference manual

Strategies

BAX

• Hedge a future commercial paper issuance against a possible rise in interest rate
• Yield curve strategy (calendar spread)
• International spread between BAX and Eurodollar (BED spread)

OBX

• Interest rate cap
• Interest rate floor
• Collar

Government of Canada Bond Futures

• Futures invoice spread
• Cash-and-carry trade
• Hedging the CTD
• Bond portfolio duration adjustment
• Hedging open swap positions
• Cross hedging: Hedging a portfolio of Canada Mortgage Bonds (CMBs)
• Trading on the yield curve
• Credit spread

ONX

• Hedging a Bankers' Acceptance (BA) position
• Hedging repo borrowing

SXF

• Hedging a portfolio
• Synthetic exposure of the portfolio

SXM

• Strategy guide for SXM futures

SCF

• Strategy guide for SCF futures

Equity options

• Buying calls instead of buying stocks
• Buying calls as protection for future purchases
• Buying calls to hedge a short sale (protective calls)
• Writing covered calls
• Buying puts instead of short selling stocks
• Buying puts as an insurance policy (protective puts)
• Writing secured puts
• Writing covered straddles
• Long straddle
• Bear call spread (credit call spread or vertical spread)
• Bull call spread (debit call spread or vertical spread)
• Bear put spread (debit put spread or vertical spread)
• Bull put spread (credit put spread or vertical spread)
• Repair strategy
• Collar