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Options on Five-Year Government of Canada Bond Futures (OGF)
Five-Year Government of Canada Bond Futures.
One Five-Year Government of Canada Bond Futures (CGF) contract.
- Quarterlies: March, June, September and December.
- Serials: Based on the next quarterly futures contract that is nearest to the options contract.
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.
Set at a minimum of 0.25 points intervals per Five-Year Government Bond Futures contract.
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 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.
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
Minimum margin requirements
Information on minimum margin requirements can be obtained from the Bourse as they are subject to periodic changes.
Regular session: 8:00 p.m.** (t-1) to 4:30 p.m.
Note: During early closing days, the regular session closes at 1:30 p.m.
** ± 15 seconds.
Canadian Derivatives Clearing Corporation (CDCC).
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.