Specifications of Customized Transactions Acceptable for Clearing
Converge® is available to clear customized options on single-name equities and exchange-traded funds (ETFs).
Specifications of Customized Transactions Acceptable for Clearing
| Specifications | Description |
|---|---|
| Underlying Interest | Customized Equity Options: Eligible Underlyings |
| Market Center | Bilateral |
| Product Type | Option |
| Type of Option | Call or put option |
| Instrument Type/Expiration | Maximum 5 years |
| Exercise Rule | American or European |
| Exercise Price | All |
| Settlement Type | Cash or physical |
| Unit of Measure/Unit of Trading | 100 |
| Settlement Currency | Canadian dollar |
| Settlement Rule | Current month – Customized single-name equity and ETF: t+1 in cash; t+1 in physical |
| Reference Index | Opening or Closing level of the Underlying Interest |
| Reset Frequency | Daily |
| Minimum Threshold | Minimum 100 contracts if the Underlying Interest is a single name equity or an ETF |
Converge Symbols
A two digit numerical prefix before the underlying equity security ticker enables clearing members and their clients to quickly recognize the customized specifications of the Converge option that was cleared by CDCC.
| Prefix | Exercise Style | Reference Index Price | Settlement Type |
|---|---|---|---|
| 01 | American | Opening | Cash |
| 02 | European | Opening | Cash |
| 03 | American | Closing | Cash |
| 04 | European | Closing | Cash |
| 05 | American | Opening | Physical |
| 06 | European | Opening | Physical |
| 07 | American | Closing | Physical |
| 08 | European | Closing | Physical |
Example: Converge call option on Bombardier expiring on December 17, 2014, with a strike price of 4.50, a European exercise style, using the Closing price with a Cash settlement.
| Field | Example |
|---|---|
| Prefix | 04 |
| Underlying Symbol | BBD.B |
| Expiration Year | 14 |
| Expiration Month | DC |
| Expiration Day | 17 |
| Call/Put Code | C |
| Stike Price | 4.5 |
Symbol: 04BBD.B14DC17C4.5
Option Pricing
For margin calculation purposes, CDCC computes a daily theoretical price for each customized equity option cleared through Converge.
Option Pricing Models
- American-style
Barone-Adesi & Whaley - European-style
Black-Scholes
Volatility
- Underlying has a listed option at MX
Implied volatility derived from listed option prices - Underlying does not have a listed option at MX
Historical volatility of underlying (Annual)
| Fee Structure (Per lot, per side, per leg) | Fee Cap | |||
|---|---|---|---|---|
| Instruments | Clearing Member | Client | Clearing Member | Client |
| Single-Name Equity Options and ETF Options |
$0.30 | $0.70 | $3,000 | $7,000 |
| Exercise fees | $0.37 | $0.37 | $370 | $370 |