Montréal Exchange Quarterly Derivatives Market Activity Update Q3 2017

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Transcription:

Montréal Exchange Quarterly Derivatives Market Activity Update 217

Average Daily Volume Montréal Exchange Average Daily Volume & 4, 366,2 391,6 7,, 35, 3, 25, Total volume has more than doubled over the last 1 years 247,9 256, 263,8 278,8 35,5 6,5, 6,, 5,5, 5,, 4,5, 4,, 2, 15, 161,5 169,6 151,1 138,5 176,5 3,5, 3,, 2,5, 1, 2,, 1,5, 5, 1,, 5, 26 27 28 29 217 Equity Index Derivatives Equity & ETF Options Interest Rate Derivatives Total 2 Note: Average daily volume for 217 is representative of 217 YTD.

SHORT-TERM INTEREST RATE DERIVATIVES 3

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, - 217 217 217 - Average Daily Volume 4 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 six (6) 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)

Average Daily Volume BAX Reds and Greens Volume 16, 217 REDS 29% of total volume GREENS 1.36% of total volume 14, 12, 1, 8, 6, 4, 2, REDS 8% of total volume GREENS.8% of total volume Whites Reds Greens 5

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 BAX Bid-Ask Spread Improvement Daily Average of BAX Bid-Ask Spread.15.14.13.12.11.1.9.8.7.6.5.4.3.2.1 Intraday BAX Bid-Ask Spread 28 29.8.7.6.5.4.3.2.1 Note: 2-day moving average of daily average bid-ask spread (8:2-16:) Note: Five minute averages of the bid-ask spread 6 BAX front month was used to compute bid-ask spreads

Average Daily Volume Options on BAX (OBX) Volume and 7, 3, 6, 25, 5, 2, 4, 15, 3, 2, 1, 1, 5, - 217 217 217 - Average Daily Volume 7 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

GOVERNMENT OF CANADA BOND FUTURES 8

Average Daily Volume Five-Year Government of Canada Bond Futures (CGF) Volume and 2, 14, 1,8 12, 1,6 1,4 1, 1,2 8, 1, 8 6, 6 4, 4 2 2, - 217 217 217 - Average Daily Volume 9 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

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, 217 217 217 - Average Daily Volume 1 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

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 CGB Bid-Ask Spread Improvement Daily Average of CGB Bid-Ask Spread.45.4.35.3.25.2.15.1.5 Intraday CGB Bid-Ask Spread.2.18.16.14.12.1.8.6.4.2 28 29 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 EQUITY INDEX FUTURES

Average Daily Volume S&P/TSX 6 Index Futures (SXF) Volume and 3, 26, 27,5 24, 25, 22, 22,5 2, 2, 18, 17,5 15, 12,5 16, 14, 12, 1, 1, 8, 7,5 6, 5, 4, 2,5 2, 217 217 217 - Average Daily Volume 13 Notional $Value of one SXF contract: C$2 multiplied by S&P/TSX 6 Index Standard Futures contract value Cash settlement Price Increment:.1 index points for outright positions.1 index points for calendar spreads

OFF-EXCHANGE TRANSACTIONS 14

Block Trades and Cross Transactions ELIGIBLE PRODUCTS MINIMUM VOLUME THRESHOLD BLOCK TRADES ONX OIS BAX (Reds and Greens) OBX CGB CGZ/CGF/LGB Futures Contracts on S&P/TSX Indices (Only block trades priced at a basis to the index close, BIC) * 1, contracts 2 contracts Reds: 1, contracts / Greens: 5 contracts 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 Note: Block trades available for other products * Futures contracts on S&P/TSX indices: No outright block trades ELIGIBLE PRODUCTS MINIMUM VOLUME THRESHOLD PRESCRIBED TIME DELAY BAX/ONX/OIS No Threshold 5 seconds (front month, BAX: 1 st four quarterly months) 15 seconds (remaining months & strategies) CROSS TRANSACTIONS OBX/OGB 25 contracts < 25 contracts Government of Canada Bond Futures Contracts No Threshold 5 seconds seconds (all expiry months & strategies) 5 seconds (all expiry months & strategies) Futures Contracts on S&P/TSX Indices 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) 15 For more information, visit http://m-x.ca/publi_procedures_en.php. Note: Crosses available for other products

Exchange for Physical, Exchange for Risk & SXF Riskless Basis 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 indices Canadian Share Futures Contracts Riskless Basis Cross Transactions on Futures Contracts on S&P/TSX Indices and on Canadian Shares Riskless basis cross transactions on listed futures contracts on S&P/TSX indices and on listed Share Futures contracts Purchase/sale of index futures contracts/share Futures contracts against cash instruments for an average cash market price plus a pre-negotiated basis 16 For more information, visit http://m-x.ca/publi_procedures_en.php.

217 Bourse de Montréal Inc. All rights reserved. This document is sent to you for general information purposes only. 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. All references in this document to specifications, rules and obligations concerning a product are subject to the Rules and Policies of Bourse de Montréal Inc. and its clearinghouse, the Canadian Derivatives Clearing Corporation. Although care has been taken in the preparation of this document, Bourse de Montréal Inc. and/or its affiliates shall not be liable for any errors or omissions and reserve the right to amend or review the content of this document any time and without prior notice. 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 the use of 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. 17