TMX | CDCC | Specifications of Customized Transactions Acceptable for Clearing Home About CDCC About CDCC About CDCC CDCC CDCC CDCC Biographies Senior Management Legal Entity Identifier (LEI) Membership List FAQ Useful Links Operations Operations Operations Member Support Effective Member Communications IT Operations Services Applying for Membership CDCC Holiday Schedule Foreign Currency Holiday Schedule Exchange-Traded Exchange-Traded Exchange-Traded Equity Fixed Income Foreign Exchange Converge Converge Converge What is Converge Specifications of Customized Transactions Acceptable for Clearing Fees SGC Notes Repo Risk Management Risk Management Risk Management Risk Management Risk Management Risk Management Membership Standards Margining Clearing Fund Collateral Default Management Client Protection Regime Files & Publications Files & Publications Files & Publications Publications Publications Publications Member Notices Delivery Reports CDCC Rules CDCC By-Laws CDCC Governance Quantitative Disclosure Qualitative Disclosure Other Files Files Files Risk Parameters Files Margin Intervals Files Eligible Collateral for Pledging Files Close-out Periods Files Concentration Thresholds Files Volatility Scan Range Files Other Other Other Expiry Schedule Clearing Fees Powered by SOLA® Clearing Member Login Careers Français CDCC Search... Search Search Site HOME About CDCC About CDCC Canadian Derivatives Clearing Corporation (CDCC), a wholly-owned subsidiary of the Montréal Exchange (MX), acts as the central clearing counterparty for exchange-traded derivative products in Canada and for a growing range of customized financial instruments. CDCC's role is to ensure the integrity and stability of the markets that it supports. CDCC Biographies Senior Management Legal Entity Identifier (LEI) Membership List FAQ Useful Links Operations Member Support Effective Member Communications IT Operations Services Applying for Membership CDCC Holiday Schedule Foreign Currency Holiday Schedule Exchange-Traded Exchange-Traded CDCC issues and clears all derivative products traded on MX. Equity MX offers individual and institutional investors, both in Canada and abroad, a wide range of equity, exchange-traded fund (ETF) and index derivative products that are cleared by CDCC. Fixed Income MX offers individual and institutional investors, both in Canada and abroad, a complete range of interest rate derivative products that are cleared by CDCC. Foreign Exchange MX offers individual and institutional investors, both in Canada and abroad, currency derivative products that are cleared by CDCC. Converge Converge Converge offers customized central counterparty clearing services. What is Converge Specifications of Customized Transactions Acceptable for Clearing Fees SGC Notes Repo Risk Management Risk Management Risk Management Membership Standards Margining Clearing Fund Collateral Default Management Client Protection Regime Files & Publications Files & Publications Publications Member Notices Delivery Reports CDCC Rules CDCC By-Laws CDCC Governance Quantitative Disclosure Qualitative Disclosure Other Files Risk Parameters Files Margin Intervals Files Eligible Collateral for Pledging Files Close-out Periods Files Concentration Thresholds Files Volatility Scan Range Files Other Expiry Schedule Clearing Fees Home Customized Equity Options Clearing Specifications of Customized Transactions Acceptable for Clearing 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 1 contract 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 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 Direct Clearing Access for U.S. Futures Commission Merchants More Information Collateral API More Information Extended Trading Hours - FAQ More Information Central Clearing and the Canadian Repo Market More Information Learn More CUSTOMIZED EQUITY OPTIONS Related Documents Statement of Corporate Governance Top Capital Formation Toronto Stock Exchange TSX Venture Exchange TSX Trust TMX Newsfile Markets Montréal Exchange Toronto Stock Exchange TSX Venture Exchange TSX Alpha Exchange AlphaX US Shorcan Post-Trade CDCC CDS Insights TMX Datalinx TMX Trayport TMX VettaFi TMX Money Contact Us Disclaimer Terms of Use Privacy Policy X Facebook LinkedIn YouTube TMX Group Limited and its affiliates (the “TMX group of companies”) do not endorse or recommend any securities issued by any companies identified on, or linked through, this site. 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