montréal exchange quarterly derivatives market activity update · bax bid-ask spread improvement...
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Montréal Exchange Quarterly Derivatives Market Activity Update
Q3 2017
0
500,000
1,000,000
1,500,000
2,000,000
2,500,000
3,000,000
3,500,000
4,000,000
4,500,000
5,000,000
5,500,000
6,000,000
6,500,000
7,000,000
0
50,000
100,000
150,000
200,000
250,000
300,000
350,000
400,000
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Equity Index Derivatives Equity & ETF Options Interest Rate Derivatives Total Open Interest
169,6151,1
138,5176,5
247,9256,0
263,8
305,5
366,2
278,8
161,5
391,6
2
Montréal Exchange Average Daily Volume & Open InterestA
vera
ge
Daily V
olu
me
Open Inte
rest
Note: Average daily volume for 2017 is representative of Q3 2017 YTD.
Total volume
has more
than
doubled over
the last 10
years
3
SHORT-TERM INTEREST RATE
DERIVATIVES
4
• Based on Canadian Dollar Offered Rate (CDOR)
• C$1,000,000 nominal value of Canadian bankers' acceptances with a three-month maturity
• Cash settlement
• Price increment:
• 0.005 = C$12.50 per contract for the six (6) nearest listed contract months, including serials
• 0.01 = C$25.00 per contract for all other contract months
• 3 years of quarterly contracts: Whites, Reds and Greens, and two (2) nearest non-quarterly months (serials)
Three-Month Bankers’ Acceptance Futures (BAX)
Volume and Open Interest
Avera
ge
Daily V
olu
me
Open Inte
rest
-
100,000
200,000
300,000
400,000
500,000
600,000
700,000
800,000
900,000
1,000,000
-
25,000
50,000
75,000
100,000
125,000
150,000
2010Q1
2010Q2
2010Q3
2010Q4
2011Q1
2011Q2
2011Q3
2011Q4
2012Q1
2012Q2
2012Q3
2012Q4
2013Q1
2013Q2
2013Q3
2013Q4
2014Q1
2014Q2
2014Q3
2014Q4
2015Q1
2015Q2
2015Q3
2015Q4
2016Q1
2016Q2
2016Q3
2016Q4
2017Q1
2017Q2
2017Q3
Average Daily Volume Open Interest
5
BAX Reds and Greens Volume
0
20,000
40,000
60,000
80,000
100,000
120,000
140,000
160,000
Avera
ge D
aily V
olu
me
Whites Reds GreensREDS8% of
total
volume
Q1 2010
GREENS0.08% of
total
volume
Q3 2017
REDS29% of
total
volume
GREENS1.36% of
total
volume
6
BAX Bid-Ask Spread Improvement
Note: 20-day moving average of daily average bid-ask spread (8:20-
16:00)
Note: Five minute averages of the bid-ask spread
• BAX front month was used to compute bid-ask spreads
0
0.01
0.02
0.03
0.04
0.05
0.06
0.07
0.08
6:0
0
6:1
9
6:3
8
6:5
7
7:1
6
7:3
5
8:2
5
8:4
4
9:0
3
9:2
2
9:4
1
10:0
0
10:1
9
10:3
8
10:5
7
11:1
6
11:3
5
11:5
4
12:1
3
12:3
2
12:5
1
13:1
0
13:2
9
13:4
8
14:0
7
14:2
6
14:4
5
15:0
4
15:2
3
15:4
2
Intraday BAX Bid-Ask Spread
2008 2009 2010 2011 2012
2013 2014 2015 2016
0
0.001
0.002
0.003
0.004
0.005
0.006
0.007
0.008
0.009
0.01
0.011
0.012
0.013
0.014
0.015
Daily Average of BAX Bid-Ask Spread
7
• Quoted in points where each 0.01 point (1 basis point) represents C$25
• Price increment:
• 0.005 = C$12.50 per contract
• 0.001 = C$2.50 per contract for cabinet trades
Options on BAX (OBX)
Volume and Open Interest
Avera
ge
Daily V
olu
me
Open Inte
rest
-
1,000
2,000
3,000
4,000
5,000
6,000
7,000
-
50,000
100,000
150,000
200,000
250,000
300,000
2010Q1
2010Q2
2010Q3
2010Q4
2011Q1
2011Q2
2011Q3
2011Q4
2012Q1
2012Q2
2012Q3
2012Q4
2013Q1
2013Q2
2013Q3
2013Q4
2014Q1
2014Q2
2014Q3
2014Q4
2015Q1
2015Q2
2015Q3
2015Q4
2016Q1
2016Q2
2016Q3
2016Q4
2017Q1
2017Q2
2017Q3
Average Daily Volume Open Interest
8
GOVERNMENT OF CANADA
BOND FUTURES
9
• C$100,000 nominal value of a Government of Canada bond with a 6% notional coupon
• Physical delivery of eligible Government of Canada bonds
• Price increment: 0.01 = C$10 per contract
Five-Year Government of Canada Bond Futures (CGF)
Volume and Open Interest
Avera
ge
Daily V
olu
me
Open Inte
rest
-
2,000
4,000
6,000
8,000
10,000
12,000
14,000
-
200
400
600
800
1,000
1,200
1,400
1,600
1,800
2,000
2011Q3
2011Q4
2012Q1
2012Q2
2012Q3
2012Q4
2013Q1
2013Q2
2013Q3
2013Q4
2014Q1
2014Q2
2014Q3
2014Q4
2015Q1
2015Q2
2015Q3
2015Q4
2016Q1
2016Q2
2016Q3
2016Q4
2017Q1
2017Q2
2017Q3
Average Daily Volume Open Interest
10
• C$100,000 nominal value of a Government of Canada bond with a 6% notional coupon
• Physical delivery of eligible Government of Canada bonds
• Price increment: 0.01 = C$10 per contract
Ten-Year Government of Canada Bond Futures (CGB)
Volume and Open Interest
Avera
ge
Daily V
olu
me
Open Inte
rest
-
100,000
200,000
300,000
400,000
500,000
600,000
0
20,000
40,000
60,000
80,000
100,000
120,000
2010Q1
2010Q2
2010Q3
2010Q4
2011Q1
2011Q2
2011Q3
2011Q4
2012Q1
2012Q2
2012Q3
2012Q4
2013Q1
2013Q2
2013Q3
2013Q4
2014Q1
2014Q2
2014Q3
2014Q4
2015Q1
2015Q2
2015Q3
2015Q4
2016Q1
2016Q2
2016Q3
2016Q4
2017Q1
2017Q2
2017Q3
Average Daily Volume Open Interest
11
Note: 20-day moving average of daily average bid-ask spread (8:20-
16:00)
Note: Five minute averages of the bid-ask spread
CGB Bid-Ask Spread Improvement
0
0.02
0.04
0.06
0.08
0.1
0.12
0.14
0.16
0.18
0.2
6:0
0
6:1
9
6:3
8
6:5
7
7:1
6
7:3
5
8:2
5
8:4
4
9:0
3
9:2
2
9:4
1
10:0
0
10:1
9
10:3
8
10:5
7
11:1
6
11:3
5
11:5
4
12:1
3
12:3
2
12:5
1
13:1
0
13:2
9
13:4
8
14:0
7
14:2
6
14:4
5
15:0
4
15:2
3
15:4
2
Intraday CGB Bid-Ask Spread
2008 2009 2010 2011 2012
2013 2014 2015 2016
0
0.005
0.01
0.015
0.02
0.025
0.03
0.035
0.04
0.045
Daily Average of CGB Bid-Ask Spread
12
EQUITY INDEX FUTURES
13
• Notional $Value of one SXF contract: C$200 multiplied by S&P/TSX 60 Index Standard Futures contract value
• Cash settlement
• Price Increment:
• 0.10 index points for outright positions
• 0.01 index points for calendar spreads
S&P/TSX 60 Index Futures (SXF)
Volume and Open Interest
Avera
ge
Daily V
olu
me
Open Inte
rest
-
20,000
40,000
60,000
80,000
100,000
120,000
140,000
160,000
180,000
200,000
220,000
240,000
260,000
0
2,500
5,000
7,500
10,000
12,500
15,000
17,500
20,000
22,500
25,000
27,500
30,000
2010Q1
2010Q2
2010Q3
2010Q4
2011Q1
2011Q2
2011Q3
2011Q4
2012Q1
2012Q2
2012Q3
2012Q4
2013Q1
2013Q2
2013Q3
2013Q4
2014Q1
2014Q2
2014Q3
2014Q4
2015Q1
2015Q2
2015Q3
2015Q4
2016Q1
2016Q2
2016Q3
2016Q4
2017Q1
2017Q2
2017Q3
Average Daily Volume Open Interest
14
OFF-EXCHANGE
TRANSACTIONS
15
Block Trades and Cross Transactions
CROSS
TRANSACTIONS
ELIGIBLE PRODUCTS MINIMUM VOLUME THRESHOLD PRESCRIBED TIME DELAY
BAX/ONX/OIS No Threshold • 5 seconds (front month, BAX: 1st four quarterly months)
• 15 seconds (remaining months & strategies)
OBX/OGB • ≥ 250 contracts
• < 250 contracts
• 0 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 Indices • ≥ 100 contracts
• < 100 contracts
• 0 seconds (all expiry months)
• 5 seconds (all expiry months & strategies)
Canadian Share Futures Contracts • ≥ 100 contracts
• < 100 contracts
• 0 seconds (all expiry months & strategies)
• 5 seconds (all expiry months & strategies)
Note: Crosses available for other products
BLOCK TRADES
ELIGIBLE PRODUCTS MINIMUM VOLUME THRESHOLD
ONX 1,000 contracts
OIS 200 contracts
BAX (Reds and Greens) Reds: 1,000 contracts / Greens: 500 contracts
OBX 2,000 contracts
CGB 1,500 contracts
CGZ/CGF/LGB 500 contracts
Futures Contracts on S&P/TSX Indices (Only block trades priced at a basis to
the index close, BIC) *
100 contracts (execution of block trades priced at a BIC)
PRESCRIBED TIME DELAY IS 15 MINUTES FOR ALL ELIGIBLE PRODUCTS
For more information, visit http://m-x.ca/publi_procedures_en.php.
* Futures contracts on S&P/TSX indices: No outright block trades
Note: Block trades available for other products
16
Exchange for Physical, Exchange for Risk & SXF Riskless Basis
Exchange for Physical (EFP)
Exchange for Risk (EFR)
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.
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.
• Interest rate futures contracts
EFP and EFR transactions permitted on following instruments:
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
For more information, visit http://m-x.ca/publi_procedures_en.php.
• Futures contracts on S&P/TSX indices
• Canadian Share Futures Contracts
17
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