May 21, 2024Advisory Notice A24-012

Activation of the Guaranteed Cross Auction Functionality

Pursuant to Circular 133-23 and Advisory Notice A24-009, the Montreal Exchange is pleased to inform its participants that on Monday June 3rd 2024, the Guaranteed Cross Auction functionality will be activated for Equity options, ETF Options and User Defined Strategies (UDS) on Equity options and ETF options, following the self-certification of the Rules that will take place in the coming days. The Covered with Stocks functionality will be launching on a later date, subject to completion of the regulatory process.

For additional information on these functionalities, please refer to the Guaranteed Cross Auction & Covered with Stocks webpage.

Guaranteed Cross Auction Functionality Features:

Engage in a unique auction process, ensuring optimal price discovery.

Benefit from the option of immediate trade execution for larger orders, enhancing trade fluidity.

Experience tailored auction durations, accommodating various types of trading strategies.

Auctions can be initiated at prices up to 4 decimals.

Effective June 3rd, 2024, the use of the Guaranteed Cross Auction functionality will lead to an Auction for transactions with a quantity lower than the threshold specified in table of Article 6.205 (b) of the Rules. Over that specified threshold, the Guaranteed Cross Auction functionality will lead to a zero second cross without Auction, if selected as such by the participants when sending the orders. Otherwise, an Auction will take place regardless of the order size with the use of this functionality. This outcome is reflected in the following table:

Equity or ETF Instrument Type	Minimum Volume Threshold*	Outcome (if using Guaranteed Cross Auction Functionality)
Single Options	Under 500 contracts	Auction
Single Options	Greater or equal than 500 contracts	Auction OR zero second cross if "Cross Preferred" selection has been made by participant.
Options to Options UDS	Under 500 contracts	Auction
Options to Options UDS	Greater or equal than 500 contracts	Auction OR zero second cross if "Cross Preferred" selection has been made by participant. OR Same as the current process in which these transactions can be called in to a Market Supervisor who will follow the procedures regarding the manual execution of options to options strategies..
Options to Stock UDS	Under 500 contracts	Auction
Options to Stock UDS	Greater or equal than 500 contracts	Same as the current process in which these transactions can be called in to a Market Supervisor who will follow the procedures regarding the manual execution of options to stock strategies

*The volume considered as the minimum volume threshold will be the residual volume after any applicable resting limit orders at or better than the prearranged Transaction price have been given priority.

The Montreal Exchange's parameters related to the Guaranteed Cross Auction Functionality are indicated in the below table:

Parameter	Value
Minimum Size	1
Maximum Size	99,999
Auction Duration	1 second for single options 1 second for options to options UDS
Auction Tick	$0.0001 for Auction Orders and Improvement orders matching the Auction Order. Same as the current instrument tick table for Improvement orders that improve the price of an Auction Order.

If you require technical assistance please contact the Market Operations Department.

Regards,

Market Operations

Toll-free: 1-888-693-6366

Local: 514-871-7877

Email: Monitoring@tmx.com

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 Montreal Inc. ("Rules of the Bourse"). While Bourse de Montreal 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 product's specifications.