The MBF (Must Be Filled) Session takes place on the Thursday immediately before the option expiry day. Option expiry day always occurs on the third Friday of every month so the MBF session is usually the third Thursday of the month unless the first day of the month was a Friday in which case the MBF session takes place on the second Thursday of the month (directly preceding the third Friday of the month). The MBF Session occurs during the Extended Hours Trading Session (4:15 pm-5:00 pm).
The MBF session is provided for entering MBF orders to offset expiring derivatives positions. For example, a trader must enter an MBF order when that trader has written an uncovered call to buy 5000 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 (5000 shares of ABC) upon expiry. To ensure possession of the stock the call writer must enter an MBF (Must Be Filled) order to purchase 5000 ABC @ "mkt". That order will then trade at the market opening on expiry day.
On the expiry day all the MBF orders are treated like pre-open market orders and are thus guaranteed a fill at the market's calculated opening price. The MBF orders are visible to market participants but the MBF condition on those orders is not public. Only the net MBF imbalance for a given stock is made public. This publicity ensures that market participants have a chance to respond with enough liquidity to satisfy the MBF orders. Imbalances less than 5000 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.
Traders and Trading Services staff 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.
For more information please see TSX rule #4-1003 Offsetting Orders on Expiry.