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.
Guides & Strategies
These documents are PDF files.
Guides
Currency derivatives
Equity derivatives
- Equity options reference manual
- Equity options tax regime
- Options strategies quick guide
- Options strategies quick guide (Chinese Simplified)
- Put options: Now RRSP eligible
Index derivatives
Interest rate derivatives
- BAX descriptive brochure
- 3M CORRA Futures Brochure
- Short-Term Interest Rate Futures BAX and CRA
- CGB - A Guide to Futures Roll Analysis
- CGB: Poised for takeoff (study from CIRANO)
- Government of Canada bond futures and options on futures reference manual
- Unlocking Liquidity in the Canadian Yield Curve
Strategies
CORRA Futures
- Hedging an expected change in the overnight repo rate target
- Predicting a change in the Canadian overnight repo rate target
- Spreading CRA futures against BAX futures
BAX
- International spread between BAX and Eurodollar (BED spread)
- Hedge a future commercial paper issuance against a possible rise in interest rate
- Yield curve strategy (calendar spread)
Government of Canada Bond Futures
- Futures invoice spread
- Cash-and-carry trade
- Hedging the CTD
- Reducing the duration of a bond portfolio
- Lengthening the duration of a T-bill portfolio
- Bond portfolio duration adjustment
- Hedging open swap positions
- Cross hedging: Hedging a portfolio of Canada Mortgage Bonds (CMBs)
- Trading on the yield curve (ex: 2y-10Y curve spread)
- Credit spread (BAX - CGZ)
- Yield Curve Spread Canada–U.S.
- Synthetic bond portfolio
- Hedging of future borrowing costs
OBX
SXM
Equity options
Bullish
- Bull Call Spread (Debit Call Spread)
- Bull Put Spread (Credit Put Spread)
- Bull Spread Spread (Double Bull Spread, Combination Bull Spread)
- Buying Call Options as Protection for Future Purchases
- Buying Call Options Instead of Buying Stocks
- Cash-Backed Call (Cash-Secured Call)
- Long Call
- Long Ratio Call Spread
- Protective Put (Married Put)
- Repair Strategy
- Synthetic Long Stock
Bearish
- Bear Call Spread (Credit Call Spread)
- Bear Put Spread
- Bear Spread Spread (Double Bear Spread, Combination Bear Spread)
- Buying Put Options Instead of Short Selling Stocks
- Long Put
- Long Ratio Put Spread
- Synthetic Long Put
Neutral
- Collar (Protective Collar)
- Covered Strangle
- Long Call Butterfly
- Long Call Calendar Spread (Call Horizontal)
- Long Call Condor
- Long Put Butterfly
- Long Put Calendar Spread (Put Horizontal)
- Long Put Condor
- Short Call Calendar Spread (Short Call Time Spread)
- Short Condor (Iron Condor)
- Short Iron Butterfly
- Short Put Calendar Spread (Short Put Time Spread)
- Short Ratio Call Spread
- Short Ratio Put Spread
- Short Strangle
Volatility
- Long Condor
- Long Iron Butterfly
- Long Straddle
- Long Strangle (Long Combination)
- Short Call Butterfly
- Short Put Butterfly
- Short Straddle
