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Detailed Trading Rules of China Financial Futures Exchange for Equity Index Options Contract

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中国金融期货交易所 股指期权合约交易细则

Detailed Trading Rules of China Financial Futures Exchange for Equity Index Options Contract

2019 12 14 日发布)

第一章 总则

Chapter I General Provisions

第一条 为规范中国金融期货交易所(以下简称交易所) 股指期权合约交易行为,根据《中国金融期货交易所交易规则》及相关实施细则,制定本细则。

Article 1 These Detailed Trading Rules are formulated in accordance with the Trading Rules of China Financial Futures Exchange and its detailed implementation rules for the purpose of regulating the trading of equity index options contracts( “Contracts”) on China Financial Futures Exchange (the “Exchange”).

第二条 交易所、会员、客户、期货保证金存管银行及市场其他参与者应当遵守本细则。

Article 2 The Exchange, members, clients, Depository Banks, and other market participants shall comply with these Detailed Trading Rules.

第三条 本细则未规定的,按照交易所相关业务规则的规定执行。

Article 3 Any matter not provided for herein shall be governed by other applicable rules of the Exchange.

第二章 合约

ChapterII Contract

第四条 股指期权合约是以股票指数为标的物的期权合约。

沪深 300 股指期权合约的标的指数为中证指数有限公司编制和发布的沪深 300 指数。

Article 4 Equity index options contracts refers to options contracts with equity index as the underlying.

The underlying index of the CSI 300 index options contracts is the CSI 300 Index compiled and released by China Securities Index Co., Ltd.

第五条 沪深 300 股指期权合约的合约乘数为每点人民币 100 元。

Article 5 The Contract multiplier of the CSI 300 index options contract is RMB 100 per index point.

第六条 股指期权合约类型分为看涨期权合约和看跌期权合约。

Article 6 The Contracts are classified into call option contracts (“calls”) and put option contracts (“puts”).

第七条 股指期权合约以指数点报价。

Article 7 The Contracts shall be quoted in index points.

第八条 沪深300 股指期权合约的最小变动价位为0.2 指数点。

Article 8 The tick size of the CSI 300 index options contract is 0.2 index points.

第九条 股指期权合约的合约月份为当月、下 2 个月及随后 3 个季月。季月是指 3 月、6 月、9 月、12 月。

Article 9 The Contracts shall be listed up to the first three consecutive contract months (current month, next two months) plus the subsequent three months in the March, June, September and December quarterly cycle.

第十条 股指期权合约的行权价格覆盖标的指数上一交易日收盘价上下浮动 10%对应的价格范围。

对沪深 300 股指期权当月与下 2 个月合约:行权价格

≤2500 点时,行权价格间距为 25 点;2500 <行权价格≤5000 点时,行权价格间距为 50 点;5000 <行权价格≤10000 时,行权价格间距为 100 点;行权价格>10000 点时,行权价格间距为 200 点。

对沪深 300 股指期权随后 3 个季月合约:行权价格≤2500 点时,行权价格间距为 50 点;2500 <行权价格5000 点时,行权价格间距为 100 点;5000 <行权价格≤10000 点时,行权价格间距为 200 点;行权价格>10000 点时,行权价格间距400 点。

交易所可以根据市场情况对行权价格间距进行调整。

Article 10 Strike prices of the Contracts shall cover ±10% of the closing price of the underlying index on the preceding trading day.

For CSI 300 index options contracts of the current month and the next two months: the strike price interval is 25 index points if the strike price (SP) ≤ 2,500 index points; 50 index points if 2,500 < SP ≤ 5,000; 100 index points if 5,000 < SP ≤ 10,000; 200 index points if SP > 10,000.

For CSI 300 index options contracts of the subsequent three quarterly months: the strike price interval is 50 index points if SP ≤ 2,500 index points; 100 index points if 2,500 < SP ≤ 5,000; 200 index points if 5,000 < SP ≤ 10,000; 400 index points if SP > 10,000.

The Exchange may adjust the strike price interval in view of market conditions.

第十一条 股指期权合约的行权方式为欧式,买方只可在期权合约到期日当天行使权利。行权日与到期日为同一天。

Article 11 The Contracts are European-style options which a buyer may only exercise on the expiration date. Thus, the exercise date shall be the same day as the expiration date.

第十二条 股指期权合约的最后交易日为合约到期月份

的第三个星期五。最后交易日为国家法定假日或者因异常情况等原因未交易的,以下一交易日为最后交易日。

Article 12 The last trading day of a Contract shall be the third Friday of its contract month. Where the last trading day is a public holiday or trading of a Contract is suspended on that day for extraordinary situations or other reasons, the last trading day shall be postponed to the following trading day.

第十三条 股指期权合约的到期日同最后交易日

Article 13 The expiration date of the Contract shall be the same day as its last trading day.

第十四条 股指期权合约的交割方式为现金交割。

Article 14 The Contracts are cash-settled.

第十五条 沪深 300 股指看涨期权合约交易代码为 IO 合约月份-C-行权价格,看跌期权合约交易代码为 IO 合约月份-P-行权价格。

Article 15 The contract code of a CSI 300 index options contract shall be “IO contract month-C-strike price” for call and “IO contract month-P-strike price” for put.

第三章 交易业务

ChapterIII Trading

第十六条 股指期权合约交易指令为限价指令和交易所规定的其他指令。

限价指令可以附加即时全部成交或撤销和即时成交剩余撤销两种指令属性。

Article 16 The types of orders for the Contracts include limit orders and such other orders as the Exchange may specify.

A limit order can be additionally designated as “fill-or-kill” (FOK) or “fill-and-kill” (FAK).

第十七条 股指期权合约采用集合竞价和连续竞价两种交易方式。

开盘集合竞价时间为每个交易日 9:25-9:30,其中 9:25-9:29 为指令申报时间,9:29-9:30 为指令撮合时间。

连续竞价时间为每个交易日 9:30-11:30(第一节)和13:00-14:57(第二节。收盘集合竞价时间为每个交易日14:57-15:00

Article 17 The Contracts are traded through call auctions and continuous trading.

The opening auction runs from 9:25 a.m. to 9:30 a.m. on each trading day. Orders and quotes shall be submitted between 9:25 a.m. and 9:29 a.m. and executed between 9:29 a.m. and 9:30 a.m.

Continuous trading runs from 9:30 a.m. to 11:30 a.m. (first session) and from 1:00 p.m. to 2:57 p.m. (second session) on each trading day.

The closing auction runs from 2:57 p.m. to 3:00 p.m. on each trading day.

第十八条 交易所按照以下原则,确定下一交易日上市交易的合约:

(一)当月期权合约到期后,根据合约月份挂盘新的月份合约;

(二每个交易日收盘后,交易所按照合约行权价格覆盖标的指数收盘价上下浮动 10%对应价格范围的规定,依据行权价格间距,挂盘新行权价格的合约;

(三)新上市期权合约的挂盘基准价由交易所确定并公布。

交易所有权根据市场情况挂盘新合约。

Article 18 The Exchange shall determine the Contracts to be listed for trading on the next trading day based on the following principles:

(1) the Exchange shall list new Contracts based on the rules after a current month Contract expires;

(2) after market close on each trading day, the Exchange shall list new Contracts at the applicable strike price intervals to ensure that the strike prices of the next trading day cover ±10% of the closing price of the underlying index; and

(3) the listing benchmark price of a newly listed Contract shall be determined and announced in advance by the Exchange.

The Exchange shall have the right to list new Contracts based on market conditions.

第十九条 会员、客户可以申请对其同一交易编码下的双向期权持仓进行对冲平仓。对冲结果从当日期权持仓量中扣除,并计入成交量。具体方式由交易所另行公布。

Article 19 A member or client may apply for the netting of long and short positions it holds in a Contract under the same trading code. The netted amount shall be included in the trading volume and excluded from the open interest of the Contract on that day. The relevant methods shall be announced separately by the Exchange.

第二十条 客户可以向做市商询价,询价合约、询价频率由交易所确定并公布。交易所可以根据市场情况进行调整。

会员应当对其客户的询价进行管理,要求其合理询价。

Article 20 Client may request for quotes from market makers for such Contracts and at such frequency as the Exchange may determine and announce. The Exchange may adjust the rules of request for quotes based on market conditions.

Members shall supervise their clients’ request for quotes and require them to make reasonable requests.

第四章 结算业务

ChapterIV Clearing

第二十一条 股指期权合约除最后交易日外的当日结算价为合约当日收盘集合竞价的成交价格。当日收盘集合竞价未形成成交价格或者成交价格明显不合理的,交易所有权决定当日结算价。

股指期权合约最后交易日的结算价确定方法如下:

(一对看涨期权合约,合约交割结算价高于行权价格的,该合约最后交易日的结算价为交割结算价与行权价格的差额,其他情形下最后交易日的结算价为零;

(二对看跌期权合约,合约交割结算价低于行权价格的,该合约最后交易日的结算价为行权价格与交割结算价的差额,其他情形下最后交易日的结算价为零。

Article 21 The settlement price of a Contract on a given trading day other than the last trading day is the Contract’s execution price from the closing auction. If no execution price has been established by the closing auction or if the execution price is obviously unreasonable, the Exchange shall have the right to determine the settlement price for that day.

The exercise-settlement price on the last trading day shall be determined as follows:

(1) for a call, the exercise-settlement price shall be the difference between its final settlement price and its strike price if the former is higher than the latter, and zero if otherwise;

(2) for a put, the exercise-settlement price shall be the difference between its strike price and final settlement price if the former is higher than the latter, and zero if otherwise.

第二十二条 股指期权合约交割结算价为最后交易日标的指数最后 2 小时的算术平均价。计算结果保留至小数点后两位。

Article 22 The final settlement price of the Contract is the arithmetic average price of the underlying index during the last two trading hours on the last trading day, rounded to two decimal places.

第二十三条 当日结算时,股指期权合约卖方交纳的交易保证金标准为:

每手看涨期权交易保证金=(合约当日结算价×合约乘数)

+max(标的指数当日收盘价×合约乘数×合约保证金调整系数

-虚值额,最低保障系数×标的指数当日收盘价×合约乘数×合约保证金调整系数)

每手看跌期权交易保证金=(合约当日结算价×合约乘数)

+max(标的指数当日收盘价×合约乘数×合约保证金调整系数

-虚值额,最低保障系数×合约行权价格×合约乘数×合约保证金调整条数)其中,股指期权合约的保证金调整系数、最低保障系数由交易所另行规定。看涨期权虚值额为:max[本合约行权价格-标的指数当日收盘价×合约乘数,0];看跌期权虚值额为:max[标的指数当日收盘价-本合约行权价格)×合约乘数,0]

Article 23 At daily settlement, the trading margin to be paid by a seller shall be as follows:

Trading margin for each call = (settlement price of the Contract × contract multiplier) + max (current day’s closing price of the underlying index × contract multiplier × margin adjustment factor of the Contract out-of-the-money amount, minimum safety factor × current days closing price of the underlying index × contract multiplier × margin adjustment factor of the Contract);

Trading margin for each put = (settlement price of the Contract × contract multiplier) + max (current day’s closing price of the underlying index × contract multiplier × margin adjustment factor of the Contract out-of-the-money amount, minimum safety factor × strike price of the Contract × contract multiplier × margin adjustment factor of the Contract);

The margin adjustment factor and minimum safety factor for Contracts shall be separately specified by the Exchange. The out-of-the-money amount of a call is: max [(strike price of the Contract –current day’s closing price of the underlying index) × contract multiplier, 0]; the outof-the-money amount of a put is: max [(current day’s closing price of the underlying index strike price of the Contract) × contract multiplier, 0].

第二十四条 股指期权合约卖方开仓时,交易所按照上一交易日结算时合约交易保证金标准收取合约卖方交易保证金。股指期权合约卖方平仓时,交易所释放合约卖方所平合约的交易保证金。

Article 24 When a seller opens a position in a Contract, the Exchange collects trading margin from the seller based on the Contract’s margin standard as at the time of settlement on the preceding trading day; when a seller closes his position in a Contract, the Exchange releases the corresponding trading margin.

第二十五条 股指期权合约的手续费标准由交易所另行规定。

Article 25 Fee standards for the Contract shall be separately specified by the Exchange.

第五章 行权与履约

第二十六条 会员、客户在同一交易编码下的某一期权合约持仓,以净持仓参与行权或者履约。

Article 26 Long and short positions in a Contract held by a member or client under the same trading code shall be netted before exercise or assignment.

第二十七条 股指期权合约到期日结算时,交易所对符合下列行权条件的买方持仓自动行权:

(一买方提交行权最低盈利金额的,行权条件为合约实值额大于买方提交的行权最低盈利金额和交易所规定的行权(履约)手续费两者中的较大值;

(二)买方未提交行权最低盈利金额的,行权条件为合约实值额大于交易所规定的行权(履约)手续费。

不符合前款规定的行权条件的买方持仓,视为放弃行权。期权合约实值额为最后交易日的结算价乘以合约乘数。

Article 27 At the time of settlement on the expiration date of a Contract, the Exchange automatically exercises a buyer’s positions that meet the following conditions:

(1) If the buyer has submitted to the Exchange his exercise minimum profit amount and the Contract’s in-the-money amount is larger than the higher of the exercise minimum profit amount specified by the buyer and the exercise (assignment) fee specified by the Exchange;

(2) If the buyer has not submitted to the Exchange his exercise minimum profit amount and the Contract’s in-the-money amount is larger than the exercise (assignment) fee specified by the Exchange.

A buyer’s positions that do not meet the foregoing conditions shall be deemed as abandonment of exercise.

The in-the-money amount of a Contract is the product of the exercise-settlement price and the contract multiplier.

第二十八条 股指期权合约买方可以在到期日 9:30-

15:15,向交易所提交行权最低盈利金额。

Article 28 The buyer of a Contract may submit his exercise minimum profit amount to the Exchange between 9:30 a.m. and 3:15 p.m. on the expiration date.

第二十九条 交易所根据行权的买方持仓,按照卖方的持仓比例进行行权配对。

Article 29 The Exchange shall assign positions to be exercised of buyers to the positions of sellers on a pro-rata basis.

第三十条 股指期权合约行权时由交易所按照最后交易日的结算价进行现金交割,了结相应持仓。

Article 30 Exercise of the Contracts shall result in cash settlement based on the exercise settlement price on the expiration date and the corresponding positions shall be closed out.

第三十一条 股指期权合约行权盈亏=∑(最后交易日的结算价×买入看涨期权合约行权数量×合约乘数)+ ∑最后交易日的结算价×买入看跌期权合约行权数量×合约乘数- ∑

(最后交易日的结算价×卖出看涨期权合约行权数量×合约乘数)- ∑(最后交易日的结算价×卖出看跌期权合约行权数量×合约乘数)

行权盈亏计入当日盈亏。

Article 31 Profit or loss from option exercises = Σ (exercise-settlement price × long calls exercised × contract multiplier) + Σ (exercise-settlement price × long puts exercised × contract multiplier) Σ (exercise-settlement price × short calls assigned × contract multiplier) Σ (exercise-settlement price × short puts assigned × contract multiplier).

Profit or loss from exercise is factored in the current day’s profit or loss.

第六章 风险管理

第三十二条 股指期权合约的每日价格最大波动限制是指其每日价格涨跌停板幅度,为上一交易日标的指数收盘价的±10%。具体涨跌停板价格为:

(一)上市首日的涨(跌)停板价格为挂盘基准价加上

(减去)上一交易日标的指数收盘价的 10%

(二)非上市首日的涨(跌)停板价格为上一交易日结算价加上(减去)上一交易日标的指数收盘价的 10%

前款计算结果小于最小变动价位的,以最小变动价位为跌停板价格。

Article 32 The limit up/limit down of the Contract is ± 10% of the closing price of the underlying index from the preceding trading day. The specific limit up/limit down price shall be calculated as follows:

(1) On the listing day: limit up/limit down price = listing benchmark price ± 10% of the closing price of the underlying index on the preceding trading day;

(2) On days other than the listing day: limit up/limit down price = settlement price of the preceding trading day ± 10% of the closing price of the underlying index on the preceding trading day.

If the limit down price calculated above is smaller than the tick size, then the limit down price shall be the tick size.

第三十三条 股指期权合约持仓限额是指交易所规定的会员或者客户对某一月份期权合约单边持仓的最大数量。

单边持仓数量按买入看涨期权与卖出看跌期权持仓量之和、卖出看涨期权与买入看跌期权持仓量之和分别计算。

股指期权合约的持仓限额由交易所另行公布。

Article 33 Position limit of the Contract refers to the maximum position (long or short) that may be held by a member or client in a monthly Contract as prescribed by the Exchange.

The “long” positions of the monthly Contract shall be the sum of long positions in call options and short positions in put options; the “short” positions of the monthly Contract shall be the sum of short position in call options and long position in put options.

The position limit of the Contract shall be separately prescribed by the Exchange.

第七章

Chapter VII Ancillary Provisions

第三十四条 本细则中的标的指数收盘价四舍五入至小数点后两位。无法获取标的指数收盘价的,交易所有权确定本细则中的标的指数收盘价。

Article 34 For the purpose of these Detailed Trading Rules, the closing price of the underlying index shall be rounded to two decimal places. When the closing price is unavailable, the Exchange shall have the right to determine the closing price.

第三十五条 违反本细则规定的,交易所按照《中国金融期货交易所违规违约处理办法》有关规定处理。

Article 35 Any violation of these Detailed Trading Rules shall be handled by the Exchange in accordance with the Measures of China Financial Futures Exchange on Dealing with Violations and Breaches.

第三十六条 本细则由交易所负责解释。

Article 36 The Exchange reserves the right to interpret these Detailed Trading Rules.

第三十七条 本细则自 2019 12 23 日起实施。

Article 37 These Detailed Trading Rules shall come into effect on December 23, 2019.

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