Converge
Brochure

Equity

Converge®

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+3 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)

Minimum Size

Products Minimum Size
Single-Name Equity Options 100 contracts
ETF Options 100 contracts

Fee Structure

Products Clearing Member Cost1 Client Cost1 Maximum Clearing Member Cost2 Maximum Client Cost2
All underlyings
(Single-Name Equity Options and ETF Options)
$0.30 $0.70 $3,000 $7,000

1. Per contract
2. Total, cap at 10,000 contracts