18 2.8 Extended Trading Session The Extended Trading Session also referred to as the “Special Trading Session” or “Last Sale Trading” operates from 4:15 p.m. – 5:00 p.m. on TSX and TSX Venture. TSX and TSX Venture During the Extended Trading Session, odd lots, board lots and crosses can trade at the official last sale price determined by MOC or if no MOC, by the last independent trade (“Last Sale Price” or “LSP”) from the CLOB session. If the LSP is at an invalid tick, a rounded equivalent of the LSP can be used (“Rounded LSP”). If the LSP is at a half tick, the Rounded LSP will be the LSP rounded up to the nearest valid tick. For example, if the LSP is $5.815, the Rounded LSP is $5.82. Orders priced at or better than the Last Sale Price are carried forward from CLOB (but not from MOC) and where those order prices are better than the LSP those orders are re-priced to the LSP and are eligible to trade in the Special Trading Session at the LSP or Rounded LSP. On-stop orders are also eligible to trade in the Special Trading Session if the on-stop order is triggered as a result of an MOC changing the LSP. 2.9 Must Be Filled (MBF) Session for Option Expiry The Must Be Filled session is supported on the TSX only and is provided for entering MBF orders to offset expiring derivatives positions. The MBF session takes place once per month on the Thursday immediately before the option expiry day. Option expiry day always occurs on the third Friday of every month. The MBF order entry session occurs during the Extended Session (4:15 p.m. - 5:00 p.m.) and the resulting trades occur in the next day’s (Friday’s) opening. The net MBF imbalance for each security is made public before the pre-open session on expiry day. This publicity ensures that market participants have a chance to respond with enough liquidity to satisfy the MBF orders. Imbalances less than 5,000 shares are not publicized. A buy imbalance means there are excess MBF buy orders and a sell imbalance means there are excess MBF sell orders. On the expiry day (Friday morning) all the MBF orders that were entered the previous day are treated like pre-open market orders and are thus guaranteed a fill at the COP. The MBF orders are visible to market participants but the MBF condition on those orders is not public. Trading participants can enter, change or cancel MBF Orders during the MBF session (the day before expiry) but cannot enter, change or cancel an MBF order on the expiry day. MBF orders must be in board lot multiples. Example: MBF Orders A trader must enter an MBF order when that trader has written an uncovered call to buy 5,000 of ABC @ $10.00 that will be exercised because ABC is currently trading at $12 (i.e. the call is in the money). The trader who wrote the call has an obligation to deliver the stock at $10 when it is exercised upon expiry and since the call was not covered the trader who wrote the call must buy the stock to be in possession of the underlying security (5,000 shares of ABC) upon expiry. To ensure possession of the stock the call writer must enter an MBF order to purchase 5,000 ABC @ Market. That order will then trade at the market opening on expiry day.
RkJQdWJsaXNoZXIy MjgzMzQ=