Month-End Fair Value

On the last business day of every month, the Montréal Exchange provides market participants with the month-end fair value of the following index futures contracts:

SXF
S&P/TSX 60 Index Standard Futures
SXM
S&P/TSX 60 Index Mini Futures
SCF
S&P/TSX Composite Index Mini Futures
SXA
S&P/TSX Global Gold Index Futures
SXB
S&P/TSX Capped Financials Index Futures
SXH
S&P/TSX Capped Information Technology Index Futures
SXK
S&P/TSX Composite Index Banks (Industry Group)
SXU
S&P/TSX Capped Utilities Index Futures
SXY
S&P/TSX Capped Energy Index Futures

Calculation method

Front-month contract

Close of the corresponding cash index (disclosed by the TSX)
+ Average of the corresponding basis spreads1 provided by participants2

Month-end fair value of the corresponding index future contract

Back-month contracts

MX's Market Operations Department calculates the theoretical fair value of each index futures contract using the following formula:

F = S {1 + (r - Div) x (t / 365)}

Where:

F
is the theoretical futures value
S
is the underlying index close value
r
is the corresponding discount rate (BAX 3-6-9-12 months)
Div
is the dividend yield of the index
t
is the number of days to expiry
  1. The basis spread is defined as the difference between the future price and the cash value of the index.
  2. MX's Market Operations Department non-officially surveys Canadian index approved participants and request each of them to submit their basis spread. The average of the received basis spreads is then added to the corresponding cash index close to establish a fair value price for the contract.