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Options on Five-Year Government of Canada Bond Futures (OGF)

Underlying

Five-Year Government of Canada Bond Futures.

Trading unit

One Five-Year Government of Canada Bond Futures (CGF) contract.

Expiry cycle

  • Quarterlies: March, June, September and December.
  • Serials: Based on the next quarterly futures contract that is nearest to the options contract.

Premium quotation

Quoted in points where each 0.005 point (0.5 basis point) represents C$5.

Minimum fluctuation of the option premium

0.005 = C$5 per contract.

Strike prices

Set at a minimum of 0.25 points intervals per Five-Year Government Bond Futures contract.

Contract type

American style.

Last trading day

Trading ceases on the third Friday of the month preceding the option contract month, provided however that such Friday is a business day and precedes by at least two business days the first notice day of the underlying futures contract. If it is not a business day, trading will cease on the first preceding business day.

Expiration day

Expiration occurs on the last trading day.

Position reporting threshold

250 options or equivalent futures contracts. For the purpose of calculating the reporting limit, positions in the options contracts are aggregated with positions in the underlying futures contracts with each option aggregated as the equivalent of a futures contract.

Position limit

Information on position limits can be obtained from the Bourse as they are subject to periodic changes. See Circulars.

Minimum block threshold

  • Outrights: 2,000 contracts (regular hours); 500 (extended hours)
  • CGF/OGF strategy: Sum of the strategy legs must be 2,000 contracts (regular hours) or 500 contracts (extended hours) in which the options leg(s) volume must amount to at least 50% of the sum of the strategy legs.

Maximum price variation thresholds

None.

Minimum margin requirements

Information on minimum margin requirements can be obtained from the Bourse as they are subject to periodic changes.

Trading hours

Regular session: 2:00** a.m. to 4:30 p.m.

Note: During early closing days, the regular session closes at 1:30 p.m.
** ± 15 seconds.

Clearing corporation

Canadian Derivatives Clearing Corporation (CDCC).

Trading procedures

Please refer to the Rules of the Bourse.

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 Montréal Inc. (“Rules of the Bourse”). While Bourse de Montréal 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 products' specifications.

OGF® is a trademark of Bourse de Montréal Inc.