Montréal Exchange Quarterly Derivatives Market Activity Update Q1 2018
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1 Montréal Exchange Quarterly Derivatives Market Activity Update Q1 218
2 Average Daily Volume Montréal Exchange Average Daily Volume & 4, 35, 3, 25, Total volume has more than doubled over the last 1 years 247,9 256, 263,8 278,8 35,5 366,2 385,1 428,1 7,, 6,5, 6,, 5,5, 5,, 4,5, 176,5 4,, 2, 169,6 138,5 161,5 151,1 15, 1, 5, 3,5, 3,, 2,5, 2,, 1,5, 1,, 5, Equity Index Derivatives Equity & ETF Options Interest Rate Derivatives Total Note: Average daily volume for 218 is representative of Q1 218 YTD 2
3 SHORT-TERM INTEREST RATE DERIVATIVES 3
4 Average Daily Volume Three-Month Bankers Acceptance Futures (BAX) Volume and 15, 1,, 9, 125, 8, 1, 7, 6, 75, 5, 4, 5, 3, 25, 2, 1, Average Daily Volume Based on Canadian Dollar Offered Rate (CDOR) C$1,, nominal value of Canadian bankers' acceptances with a three-month maturity Cash settlement Price increment:.5 = C$12.5 per contract for the ten (1) nearest listed contract months, including serials.1 = C$25. per contract for all other contract months 3 years of quarterly contracts: Whites, Reds and Greens, and two (2) nearest non-quarterly months (serials) 4
5 Average Daily Volume BAX Reds and Greens Volume 16, Q1 218 REDS 26% of total volume GREENS 1.62% of total volume 14, 12, 1, 8, 6, 4, 2, REDS 8% of total volume GREENS.8% of total volume Q1 21 Whites Reds Greens 5
6 BAX Bid-Ask Spread Improvement 6: 6:19 6:38 6:57 7:16 7:35 8:25 8:44 9:3 9:22 9:41 1: 1:19 1:38 1:57 11:16 11:35 11:54 12:13 12:32 12:51 13:1 13:29 13:48 14:7 14:26 14:45 15:4 15:23 15:42 Daily Average of BAX Bid-Ask Spread Intraday BAX Bid-Ask Spread Note: 2-day moving average of daily average bid-ask spread (8:2-16:) Note: Five minute averages of the bid-ask spread * BAX front month was used to compute bid-ask spreads 6
7 Average Daily Volume Options on BAX (OBX) Volume and 7, 3, 6, 25, 5, 2, 4, 15, 3, 2, 1, 1, 5, Average Daily Volume Quoted in points where each.1 point (1 basis point) represents C$25 Price increment:.5 = C$12.5 per contract.1 = C$2.5 per contract for cabinet trades 7
8 GOVERNMENT OF CANADA BOND FUTURES 8
9 Average Daily Volume Five-Year Government of Canada Bond Futures (CGF) Volume and 2, 14, 1,8 1,6 12, 1,4 1, 1,2 1, 8 8, 6, 6 4, 4 2 2, 211 Q3 211 Q4 212 Q1 212 Q2 212 Q3 212 Q4 213 Q1 213 Q2 213 Q3 213 Q4 214 Q1 214 Q2 214 Q3 214 Q4 215 Q1 215 Q2 215 Q3 215 Q4 216 Q1 216 Q2 216 Q3 216 Q4 217 Q1 217 Q2 217 Q Q4 Q1 Average Daily Volume C$1, nominal value of a Government of Canada bond with a 6% notional coupon Physical delivery of eligible Government of Canada bonds Price increment:.1 = C$1 per contract 9
10 Average Daily Volume Ten-Year Government of Canada Bond Futures (CGB) Volume and 12, 6, 1, 5, 8, 4, 6, 3, 4, 2, 2, 1, - Average Daily Volume C$1, nominal value of a Government of Canada bond with a 6% notional coupon Physical delivery of eligible Government of Canada bonds Price increment:.1 = C$1 per contract 1
11 CGB Bid-Ask Spread Improvement 6: 6:19 6:38 6:57 7:16 7:35 8:25 8:44 9:3 9:22 9:41 1: 1:19 1:38 1:57 11:16 11:35 11:54 12:13 12:32 12:51 13:1 13:29 13:48 14:7 14:26 14:45 15:4 15:23 15:42 Daily Average of CGB Bid-Ask Spread Intraday CGB Bid-Ask Spread Note: 2-day moving average of daily average bid-ask spread (8:2-16:) Note: Five minute averages of the bid-ask spread 11
12 OFF-EXCHANGE TRANSACTIONS 12
13 Block Trades and Cross Transactions ELIGIBLE PRODUCTS ONX OIS BAX (Reds and Greens) MINIMUM VOLUME THRESHOLD 1, contracts 2 contracts Reds: 1, contracts / Greens: 5 contracts BLOCK TRADES OBX CGB CGZ/CGF/LGB Futures Contracts on S&P/TSX Indices (Only block trades priced at a basis to the index close, BIC) * 2, contracts 1,5 contracts 5 contracts 1 contracts (execution of block trades priced at a BIC) PRESCRIBED TIME DELAY IS 15 MINUTES FOR ALL ELIGIBLE PRODUCTS ELIGIBLE PRODUCTS MINIMUM VOLUME THRESHOLD PRESCRIBED TIME DELAY ONX/OIS No Threshold 5 seconds (front month) 15 seconds (remaining expiry months & strategies) CROSS TRANSACTIONS BAX No Threshold 5 seconds (first four quarterly months, excluding serials) 15 seconds (remaining expiry months & strategies) OBX/OGB 25 contracts < 25 contracts seconds (all expiry months & strategies) 5 seconds (all expiry months & strategies) Government of Canada Bond Futures Contracts No Threshold 5 seconds Futures Contracts on S&P/TSX 1 contracts < 1 contracts Canadian Share Futures Contracts 1 contracts < 1 contracts seconds (all expiry months) 5 seconds (all expiry months & strategies) seconds (all expiry months & strategies) 5 seconds (all expiry months & strategies) Note: Cross transactions available on other products For more information, visit For more information, visit 13
14 Exchange for Physical, Exchange for Risk & Riskless Basis Cross Trades Exchange for Physical (EFP) Transaction whereby two parties enter into an agreement in which one party purchases a cash market position and simultaneously sells a corresponding futures contract position and the other party sells the cash market position and simultaneously purchases the corresponding futures contract position. Exchange for Risk (EFR) Transaction whereby two parties enter into an agreement in which one party purchases an over-the-counter derivative instrument and simultaneously sells a corresponding futures contract and the other party sells the over-the-counter derivative instrument and simultaneously purchases the corresponding futures contract. EFP and EFR transactions permitted on following instruments: Interest rate futures contracts Futures contracts on S&P/TSX Canadian Share Futures Contracts Riskless Basis Cross Transactions Riskless basis cross transactions on listed futures contracts on S&P/TSX indices and on listed Share Futures contracts An Approved Participant and the customer may prearrange a transaction outside of the electronic trading system in which the price of a stock index futures contract or a share futures contract to the customer is determined to be the average price of cash market transactions entered into by and for the account of the Approved Participant in the components of the underlying index or the underlying security, respectively, plus a spread (basis) as mutually agreed between the Approved Participant and the customer. For more information, visit 14
15 218 Bourse de Montréal Inc. All rights reserved. Certain initiatives described in this document are presented to you for information purposes only and shall not be considered as a final determination by Bourse de Montréal Inc. and the Canadian Derivatives Clearing Corporation of any aspect of these initiatives. The statements made in this document and any ideas or concepts introduced or explained in this framework are subject to change at any time, at the discretion of Bourse de Montréal Inc. and/or the Canadian Derivatives Clearing Corporation. Please note that certain initiatives are also subject to the approval of Bourse de Montréal Inc. s board of directors, the Canadian Derivatives Clearing Corporation s board of directors and of all governmental and regulatory authorities having jurisdiction over Bourse de Montréal Inc. and/or the Canadian Derivatives Clearing Corporation. The content of this document does not prevail over the Rules of Bourse de Montréal Inc. and the Canadian Derivatives Clearing Corporation or any other applicable regulation. The information provided in this document, including financial and economic data, quotes and any analysis or interpretation thereof, is provided solely for information purposes and shall not be construed in any jurisdiction as providing any advice or recommendation with respect to the purchase or sale of any derivative instrument, underlying security or any other financial instrument or as providing legal, accounting, tax, financial or investment advice. Bourse de Montréal Inc. recommends that you consult your own advisors in accordance with your needs before making decision to take into account your particular investment objectives, financial situation and individual needs. Although care has been taken in the preparation of this document, Bourse de Montréal Inc. and/or its affiliates do not guarantee the accuracy or completeness of the information contained in this document and reserve the right to amend or review, at any time and without prior notice, the content of this document. Neither Bourse de Montréal Inc. nor any of its affiliates, directors, officers, employees or agents shall be liable for any damages, losses or costs incurred as a result of any errors or omissions in this document or of the use of or reliance upon any information appearing in this document. BAX, OBX, ONX, OIS-MX, CGZ, CGF, CGB, LGB, OGB, SXO, SXF, SXM, SCF, SXA, SXB, SXH, SXY, and USX are registered trademarks of Bourse de Montréal Inc. OBW, OBY, OBZ, SXK, SXU, SXJ, SXV, Montréal Exchange and the Montréal Exchange logo are trademarks of Bourse de Montréal Inc. The S&P/TSX 6 Index, S&P/TSX Composite Index, S&P/TSX Global Gold Index, S&P/TSX Capped Financials Index, S&P/TSX Capped Information Technology Index, S&P/TSX Capped Energy Index, S&P/TSX Composite Index Banks (Industry Group), S&P/TSX Capped Utilities Index (collectively, the Indices ) are products of S&P Dow Jones Indices LLC ( SPDJI ) and TSX Inc. ( TSX ). Standard & Poor s and S&P are registered trademarks of Standard & Poor s Financial Services LLC ( S&P ); Dow Jones is a registered trademark of Dow Jones Trademark Holdings LLC ( Dow Jones ); and TSX is a registered trademark of TSX. SPDJI, Dow Jones, S&P and TSX do not sponsor, endorse, sell or promote any products based on the Indices and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions or interruptions of the Indices or any data related thereto. 15
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