The ICCP is calculated immediately before broadcast and indicates what the calculated closing price for the MOC security would be assuming the regular trading session had ended at the time of calculation. The ICCP is calculated without reference to volatility parameters.
The ICCP of a MOC security is intended to provide market participants with an early indication of potentially large price movements at the close.
This Friday, June 16 is also the quarter-end rebalancing for the S&P/TSX Composite Index. All the constituents of the S&P/TSX Composite Index are MOC eligible. TSX anticipates significant market activity during this index event.
As a reminder, the closing volatility parameters: Price Movement Extension – (PME) and Closing Price Acceptance – (CPA) are at their normal settings, 5% and 10% respectively. In the event that a stock goes into Price Movement Extension and at the end of that period has a Calculated Closing Price (CCP) that is in violation of the CPA, the CCP will be set at the maximum tradable price that does not exceed the CPA parameter. All tradable orders up to the new CCP value will be matched.
TSX MOC imbalances are available for viewing on the TSX web site at 3:50pm. Please click on the following link to go directly to the MOC Imbalances page -- http://www.tsx.com/en/moc/Moc.html.
