Corra
Canada CTA Trading Model
Weekly Income Strategy Reports
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Intra-Session Summary

Sections

Equity, Currency, Index and ETF Options

Session start: 9:30 a.m.
  Call Put Total
Options Trans. Volume Value Trans. Volume Value Trans. Volume Value
Equity 4,750 68,101 104,344 1,948 22,810 47,194 6,698 90,911 151,538
ETF 82 11,440 1,946 51 5,322 3,375 133 16,762 5,321
US dollar (USX) 0 0 0 2 365 125 2 365 125
S&P/TSX 60 index (SXO) 0 0 0 0 0 0 0 0 0
Sector index (SXJ) 0 0 0 0 0 0 0 0 0
Sector index (SXV) 0 0 0 0 0 0 0 0 0
Total 4,832 79,541 106,290 2,001 28,497 50,694 6,833 108,038 156,984

Three-Month CORRA Futures (CRA)

Session start: 2 a.m.
Month Open price High price Low price Last price Change Volume Open interest
Total   0 5,842
September 2020 0 0 0 0 0 0 1,037
December 2020 0 0 0 0 0 0 1,823
March 2021 0 0 0 0 0 0 2,643
June 2021 0 0 0 0 0 0 250
September 2021 0 0 0 0 0 0 89
December 2021 0 0 0 0 0 0 0
March 2022 0 0 0 0 0 0 0
June 2022 0 0 0 0 0 0 0
September 2022 0 0 0 0 0 0 0
December 2022 0 0 0 0 0 0 0
March 2023 0 0 0 0 0 0 0
June 2023 0 0 0 0 0 0 0

Three-Month Canadian Bankers' Acceptance Futures (BAX)

Session start: 2 a.m.
Month Open price High price Low price Last price Change Volume Open interest
Total   49,516 1,341,802
December 2020 99.510 99.515 99.510 99.510 0 1,158 232,871
January 2021 0 0 0 0 0 0 0
February 2021 0 0 0 0 0 0 0
March 2021 99.505 99.505 99.500 99.505 0 4,194 181,729
June 2021 99.495 99.500 99.490 0 0.005 12,056 190,797
September 2021 99.485 99.485 99.480 99.485 0 5,885 182,763
December 2021 99.455 99.460 99.450 0 0 5,547 180,892
March 2022 99.410 99.415 99.405 0 0 8,350 155,171
June 2022 99.365 99.370 99.360 0 0 2,414 88,470
September 2022 99.320 99.320 99.310 99.315 0 8,325 58,489
December 2022 99.270 99.270 99.260 99.265 0 1,349 37,340
March 2023 99.215 99.220 99.210 0 -0.005 129 22,417
June 2023 99.150 99.150 99.145 0 0 104 6,886
September 2023 0 0 0 0 0 5 3,977

Options on Three-Month Canadian Bankers' Acceptance Futures (OBX)

Session start: 2 a.m.
  Call Put Total
Symbol Trans. Volume Value Open int. Trans. Volume Value Open int. Trans. Volume Value Open int.
Total 0 0 0 76,640 0 0 0 31,500 0 0 0 108,140
OBW 0 0 0 0 0 0 0 0 0 0 0 0
OBX 0 0 0 75,640 0 0 0 30,500 0 0 0 106,140
OBY 0 0 0 500 0 0 0 500 0 0 0 1,000
OBZ 0 0 0 500 0 0 0 500 0 0 0 1,000

Two-Year Government of Canada Bond Futures (CGZ)

Session start: 2 a.m.
Month Open price High price Low price Last price Change Volume Open interest
Total   4,803 6,069
March 2021 109.820 109.825 109.815 109.815 0 4,803 6,069
June 2021 0 0 0 0 0 0 0
September 2021 0 0 0 0 0 0 0

Five-Year Government of Canada Bond Futures (CGF)

Session start: 2 a.m.
Month Open price High price Low price Last price Change Volume Open interest
Total   33,447 70,548
December 2020 0 0 0 0 0 524 1,804
March 2021 127.270 127.310 127.220 127.250 0 32,923 68,744
June 2021 0 0 0 0 0 0 0
September 2021 0 0 0 0 0 0 0

Ten-Year Government of Canada Bond Futures (CGB)

Session start: 2 a.m.
Month Open price High price Low price Last price Change Volume Open interest
Total   137,536 660,218
December 2020 149.840 149.840 149.780 149.780 -0.050 1,508 10,706
March 2021 148.160 148.310 147.740 147.940 0.080 136,028 649,512
June 2021 0 0 0 0 0 0 0
September 2021 0 0 0 0 0 0 0

30-Year Government of Canada Bond Futures (LGB)

Session start: 2 a.m.
Month Open price High price Low price Last price Change Volume Open interest
Total   0 0
December 2020 0 0 0 0 0 0 0
March 2021 0 0 0 0 0 0 0
June 2021 0 0 0 0 0 0 0
September 2021 0 0 0 0 0 0 0

S&P/TSX 60 Index Standard Futures (SXF)

Session start: 2 a.m.
Month Open price High price Low price Last price Change Volume Open interest
Total   14,072 317,081
December 2020 1,027.400 1,033.200 1,024.400 1,032.700 0 14,072 317,081
March 2021 0 0 0 0 0 0 0
June 2021 0 0 0 0 0 0 0
September 2021 0 0 0 0 0 0 0

Basis Trade on Close on S&P/TSX 60 Index Standard Futures (BSF)

Session start: 9:30 a.m.
Month Open price High price Low price Last price Change Volume
Total   202
December 2020 -1.500 -1.400 -1.550 -1.550 -1.550 202
March 2021 0 0 0 0 0 0
June 2021 0 0 0 0 0 0
September 2021 0 0 0 0 0 0

S&P/TSX 60 Index Mini Futures (SXM)

Session start: 2 a.m.
Month Open price High price Low price Last price Change Volume Open interest
Total   44 326
December 2020 1,027.600 1,033.200 1,025.900 1,032.300 -0.400 44 326
March 2021 0 0 0 0 0 0 0
June 2021 0 0 0 0 0 0 0
September 2021 0 0 0 0 0 0 0

S&P/MX International Cannabis Index Futures (SMJ)

Session start: 2 a.m.
Month Open price High price Low price Last price Change Volume Open interest
Total   0 0
December 2020 0 0 0 0 0 0 0
March 2021 0 0 0 0 0 0 0
June 2021 0 0 0 0 0 0 0
September 2021 0 0 0 0 0 0 0

S&P/TSX Composite Index Mini Futures (SCF)

Session start: 2 a.m.
Month Open price High price Low price Last price Change Volume Open interest
Total   0 0
December 2020 0 0 0 0 0 0 0
March 2021 0 0 0 0 0 0 0
June 2021 0 0 0 0 0 0 0
September 2021 0 0 0 0 0 0 0

Sector Index Futures (SXA, SXB, SXH, SXK, SXU, SXY)

Session start: 2 a.m.
Month Open price High price Low price Last price Change Volume Open interest
Total   0 19,000
SXA
December 2020 0 0 0 0 0 0 0
March 2021 0 0 0 0 0 0 0
June 2021 0 0 0 0 0 0 0
September 2021 0 0 0 0 0 0 0
SXB
December 2020 0 0 0 0 0 0 0
March 2021 0 0 0 0 0 0 0
June 2021 0 0 0 0 0 0 0
September 2021 0 0 0 0 0 0 0
SXH
December 2020 0 0 0 0 0 0 0
March 2021 0 0 0 0 0 0 0
June 2021 0 0 0 0 0 0 0
September 2021 0 0 0 0 0 0 0
SXK
December 2020 0 0 0 0 0 0 19,000
March 2021 0 0 0 0 0 0 0
June 2021 0 0 0 0 0 0 0
September 2021 0 0 0 0 0 0 0
SXU
December 2020 0 0 0 0 0 0 0
March 2021 0 0 0 0 0 0 0
June 2021 0 0 0 0 0 0 0
September 2021 0 0 0 0 0 0 0
SXY
December 2020 0 0 0 0 0 0 0
March 2021 0 0 0 0 0 0 0
June 2021 0 0 0 0 0 0 0
September 2021 0 0 0 0 0 0 0

Share Futures

Session start: 6 a.m.
Symbol Transactions Volume Open interest
Total 0 0 382,610
FAA 0 0 0
FAC 0 0 0
FAE 0 0 0
FAL 0 0 0
FAX 0 0 0
FBA 0 0 0
FBB 0 0 0
FBC 0 0 14,000
FBH 0 0 0
FBM 0 0 0
FBO 0 0 19,000
FCB 0 0 13,000
FCG 0 0 0
FCH 0 0 0
FCI 0 0 0
FCL 0 0 0
FCM 0 0 1,600
FCN 0 0 0
FCP 0 0 0
FCQ 0 0 100
FCT 0 0 0
FCX 0 0 0
FDO 0 0 0
FEB 0 0 83,000
FEF 0 0 0
FEI 0 0 0
FEL 0 0 0
FEM 0 0 0
FFL 0 0 0
FFQ 0 0 0
FFR 0 0 0
FFS 0 0 19,800
FFV 0 0 0
FGI 0 0 0
FGN 0 0 0
FGW 0 0 0
FHO 0 0 0
FHS 0 0 0
FHX 0 0 0
FIA 0 0 0
FIF 0 0 0
FIR 0 0 2,000
FJS 0 0 0
FKH 0 0 0
FKJ 0 0 0
FKK 0 0 0
FKY 0 0 0
FLC 0 0 0
FLF 0 0 39,000
FLL 0 0 0
FLN 0 0 0
FMA 0 0 0
FMF 0 0 22,500
FMI 0 0 13,000
FMO 0 0 0
FMQ 0 0 0
FMU 0 0 0
FMX 0 0 0
FNB 0 0 0
FNN 0 0 0
FNO 0 0 0
FNS 0 0 43,050
FNT 0 0 0
FNU 0 0 2,000
FOA 0 0 0
FOC 0 0 0
FON 0 0 0
FOO 0 0 0
FOP 0 0 0
FOU 0 0 0
FPA 0 0 10
FPK 0 0 0
FPL 0 0 0
FPM 0 0 0
FPP 0 0 0
FPV 0 0 0
FPW 0 0 13,000
FQB 0 0 0
FQN 0 0 0
FQR 0 0 0
FRP 0 0 3,000
FRQ 0 0 0
FRT 0 0 0
FRW 0 0 0
FRY 0 0 0
FSA 0 0 0
FSG 0 0 0
FSH 0 0 0
FSJ 0 0 3,000
FSO 0 0 0
FSU 0 0 10,000
FTA 0 0 0
FTC 0 0 0
FTD 0 0 40,800
FTE 0 0 0
FTF 0 0 0
FTK 0 0 0
FTL 0 0 0
FUE 0 0 0
FVE 0 0 0
FVH 0 0 0
FVM 0 0 0
FVV 0 0 0
FWA 0 0 0
FWC 0 0 0
FWD 0 0 14,900
FWL 0 0 0
FWN 0 0 0
FWP 0 0 0
FWT 0 0 0
FXJ 0 0 0
FYP 0 0 25,850
FYR 0 0 0
FZC 0 0 0

Futures on Exchange-Traded Funds

Session start: 6 a.m.
Symbol Transactions Volume Open interest
Total 0 0 0
FEG 0 0 0
FIC 0 0 0
FIU 0 0 0
FMJ 0 0 0
FXB 0 0 0
FXE 0 0 0
FXG 0 0 0
FXN 0 0 0
FXT 0 0 0
FZB 0 0 0
FZN 0 0 0
FZU 0 0 0

Basis Trade on Close (BTC) on Share Futures

Session start: 9:30 a.m.
Symbol Transactions Volume
Total 0 0
BAA 0 0
BAB 0 0
BAE 0 0
BBH 0 0
BBY 0 0
BCG 0 0
BCL 0 0
BCQ 0 0
BCV 0 0
BCW 0 0
BCY 0 0
BCZ 0 0
BDA 0 0
BEB 0 0
BEC 0 0
BEF 0 0
BFI 0 0
BFO 0 0
BFQ 0 0
BFT 0 0
BGW 0 0
BHH 0 0
BHP 0 0
BHQ 0 0
BHU 0 0
BHX 0 0
BIA 0 0
BIB 0 0
BIC 0 0
BIE 0 0
BIF 0 0
BII 0 0
BIM 0 0
BIQ 0 0
BIX 0 0
BJR 0 0
BJS 0 0
BJX 0 0
BKE 0 0
BKO 0 0
BKP 0 0
BKQ 0 0
BLA 0 0
BLF 0 0
BLI 0 0
BLQ 0 0
BLW 0 0
BMC 0 0
BMD 0 0
BMI 0 0
BMJ 0 0
BMN 0 0
BMP 0 0
BMU 0 0
BNB 0 0
BNO 0 0
BNR 0 0
BNU 0 0
BOA 0 0
BOM 0 0
BON 0 0
BOO 0 0
BOP 0 0
BPA 0 0
BPG 0 0
BPI 0 0
BPJ 0 0
BPP 0 0
BPQ 0 0
BPR 0 0
BPU 0 0
BPW 0 0
BQA 0 0
BQC 0 0
BQD 0 0
BQM 0 0
BQR 0 0
BRA 0 0
BRI 0 0
BRP 0 0
BRT 0 0
BRX 0 0
BSA 0 0
BSJ 0 0
BSL 0 0
BSN 0 0
BSQ 0 0
BSU 0 0
BTA 0 0
BTD 0 0
BTF 0 0
BTJ 0 0
BTK 0 0
BTN 0 0
BTS 0 0
BTW 0 0
BUC 0 0
BUO 0 0
BUQ 0 0
BVF 0 0
BVI 0 0
BVT 0 0
BVV 0 0
BWC 0 0
BWD 0 0
BWG 0 0
BWN 0 0
BWO 0 0
BWT 0 0
BXC 0 0
BXW 0 0
BYE 0 0
BYI 0 0
BYR 0 0
BZA 0 0
BZB 0 0
BZC 0 0
BZE 0 0
BZH 0 0
BZK 0 0
BZQ 0 0
BZU 0 0
BZY 0 0