Options on Three-Month Canadian Bankers' Acceptance Futures (OBW, OBX, OBY, OBZ)
One Three-Month Canadian Bankers' Acceptance Futures (BAX).
Underlying futures contract
For standard OBX options: The underlying BAX contract is the futures contract that expires in the month in which the option expires.
For serial mid-curve OBW options: The underlying BAX contract is the futures contract that expires one year from the next quarterly month that is nearest to the expiration of the option. For example, the underlying futures contract for the one-year mid-curve OBW option that expires in January or February is the March BAX futures contract in the next calendar year.
For 1-year OBY and 2-year OBZ quarterly mid-curve options: The underlying BAX contract is the corresponding quarterly futures contract that expires one or two years after the option expires, respectively. For example, the underlying futures contract for the one-year quarterly mid-curve OBY option that expires in June is the June BAX futures contract in the next calendar year.
For standard OBX options, 1-year OBY and 2-year OBZ quarterly mid-curve options: Four nearest months in the March, June, September, December quarterly cycle.
For serial mid-curve OBW options: Two nearest non quarterly months (serials) in the January, February, April, May, July, August, October, November cycle.
Quoted in points where each 0.01 point (1 basis point) represents C$25. For example, a quote of 0.465 represents a total option premium of C$1,162.50 (i.e. 46.5 basis points × C$25).
Cabinet trades (defined as options with a premium lesser than 0.01) are quoted in 0.001 point (0.1 basis point) where each 0.001 point represents C$2.50.
Last trading day / Expiration
For standard OBX options: Trading ceases at 10:00 a.m. (Montréal time) on the 2nd London (Great Britain) banking day prior to the 3rd Wednesday of the contract month. If the fixed day is a Bourse or bank holiday in Montréal or Toronto, the last trading day shall be the previous bank business day.
For all OBW, OBY, OBZ mid-curve options: Trading ceases at 10:00 a.m. on the Friday immediately preceding the 3rd Wednesday of the contract month. If the fixed day is a Bourse or bank holiday in Montréal or Toronto, the last trading day shall be the previous bank business day.
Minimum price fluctuation
- 0.005 = C$12.50 per contract
- 0.001 = C$2.50 per contract for cabinet trades
300 options or futures equivalent contracts. For the purpose of calculating this limit, positions in the options contracts are aggregated with positions in the underlying futures contracts. For aggregation purposes, one option contract is equivalent to one futures contract.
Information on position limits can be obtained from the Exchange as they are subject to periodic changes. See Circulars.
Set at a minimum 0.125 point intervals.
Trading hours (Montréal time)
- Early session
- 6:00 a.m. to 7:45 a.m.
- Regular session
- 8:00 a.m. to 3:00 p.m.
- Extended session*
- 3:09 p.m. to 4:00 p.m.
* There is no extended session on the last trading day of the expiring contract month.
Note: During early closing days, the regular session closes at 1:00 p.m., time at which the daily settlement price is established. In those circumstances, the extended session is from 1:09 p.m. to 1:30 p.m.
Canadian Derivatives Clearing Corporation (CDCC)
- Daily settlement price procedures for futures contracts and options on futures contracts
- Procedures applicable to the execution of cross transactions and the execution of prearranged transactions
- Procedures applicable to the execution of block trades
- Procedures for the cancellation or adjustment of trades
OBX® is a registered trademark of Bourse de Montréal Inc.
OBWTM, OBYTM and OBZTM are trademarks of Bourse de Montréal Inc.