Brief comparison of trading rules of options in SSE,SZSE and CFFEX
Exchange 
SSE 
SZSE 
CFFEX 
Underlying 
SSE 50 Exchange Traded OpenEnd Index Securities Investment Fund (50 ETF); HuataiPinebridge CSI 300 Exchange Traded OpenEnd Index Securities Investment Fund (CSI 300 ETF, 510300) 
Harvest CSI 300 Exchange Traded OpenEnd Index Securities Investment Fund (CSI 300 ETF, 159919) 
CSI300 Index 
Contract Type 
Call option and put option 

Exercise Style 
Exercised at the expiration date (European style) 

Contract Size 
10,000 
100RMB per index point 

Expiration Months 
4, current month, next month and the following two consecutive quarters 
6, current month, next 2 months and the following 3 consecutive quarters 

Contract Delivery 
Physical delivery (unless otherwise specified in rules) 
Cash delivery 

Strike Price Interval 
RMB 0.05 for price below RMB 3 (inclusive), RMB 0.1 for price between RMB 3 and 5 (inclusive), RMB 0.25 for price between RMB 5 and 10 (inclusive), RMB 0.5 for price between RMB 10 and 20 (inclusive), RMB 1 for price between RMB 20 and 50 (inclusive)，RMB 2.5 for price between RMB 50 and 100 (inclusive)，RMB 5 for price above RMB 100 
For contracts of the current month and next 2 months: when the exercise price is ≤ 2500, the exercise price interval is 25 points; when 2500 < the exercise price ≤ 5000, the exercise price interval is 50 points; when 5000 < the exercise price ≤ 10000, the exercise price interval is 100 points; when the exercise price is > 10000, the exercise price interval is 200 points For contracts of the following three consecutive quarters: when the exercise price ≤ 2500, the exercise price interval is 50 points; when 2500 < the exercise price ≤ 5000, the exercise price interval is 100 points; when 5000 < the exercise price ≤ 10000, the exercise price interval is 200 points; when the exercise price > 10000, the exercise price interval is 400 points 

Expiration Date 
The fourth Wednesday of each expiration month (if the expiration date falls on a holiday, it will be put off correspondingly) 
The 3rd Friday of each expiration month (if the expiration date falls on a holiday, it will be put off correspondingly) 

Trading Hours 
AM 9:159:25, 9:3011:30 (the period between 9:159:25 is for opening call auction) 
AM 9:3011:30 (the period between 9:259:30 is for opening call auction) 

PM 13:0015:00 (the period between 14:5715:00 is for closing call auction) 
PM 13:0015:00 (the period between 14:5715:00 is for closing call auction) 

Long/Short Types 
Long Open, Short Open, Long Close, Short Close, Open Covered Call, Close Covered Call 
Long Open, Short Open, Long Close, Short Close 

Tick Size 
RMB 0.0001 
0.2 index point 

Min order unit 
1 lot 
1 lot 

Price Limit 
Price up limit for call option=max {previous close price of underlying×0.5%, min [(2×previous close price of underlying  strike price), previous close price of underlying]×10%} 
± 10% of closing price of CSI300 index on the previous trading day 

Price down limit for call option=previous close price of underlying×10% 

Price up limit for put option=max {strike price×0.5%, Min [(2×strike price – previous closing price of underlying), previous close price of underlying]×10%} 

Price down limit for put option=previous close price of underlying×10% 

Minimum Initial Margin 
Initial margin for short call＝[previous settlement price + Max (12%×previous closing price of underlying –max(strike price– previous closing price of underlying, 0), 7%×previous close price of underlying)]×contract unit 
Opening margin of each call option = (settlement price on the previous day of the contract × contract multiplier) + max (closing price on the previous day of the underlying index × contract multiplier × contract margin adjustment coefficient  call option virtual value, minimum guarantee coefficient× closing price on the previous day of the underlying index × contract multiplier × contract margin adjustment coefficient) 

Initial margin for short put＝Min[previous settlement price +Max(12%×previous closing price of underlying – Max(previous close price of underlying–strike price, 0), 7%×strike price), strike price]×contract unit 

Minimum Maintenance Margin 
Maintenance margin for short call＝[settlement price +Max(12%×closing price of underlying – max(strike price– previous close price of underlying, 0), 7%×close price of underlying)]×contract unit 
Trading margin of each call option = (settlement price on the day of the contract × contract multiplier) + max (closing price on the day of the underlying index × contract multiplier × contract margin adjustment coefficient  call option virtual value, minimum guarantee coefficient ×closing price on the day of the underlying index × contract multiplier × contract margin adjustment coefficient 

Maintenance margin for short put＝Min [settlement price +Max(12%×close price of underlying – max(previous close price of underlying–strike price, 0), 7%×strike price), strike price]×contract unit 

Exercise Date 
Same as the expiration date. Exercise orders are accepted between 9:159:25, 9:3011:30, 13:0015:30,will not exercise without orders 
Same as the expiration date. Exercise orders are accepted between 9:1511:30, 13:0015:30. will not exercise without orders 
(1) where the buyer submits the minimum profit amount at 9:3015:15 for exercise, the conditions for exercise shall be that the actual value of the contract is greater than the greater of the minimum profit amount for exercise submitted by the buyer and the commission for exercise stipulated by the exchange; 
Maximun order size 
30 lots for limit price,10 lots for market price 
50 lots for limit price,10 lots for market price 
20 lots for limit price 
Order Type 
Limit order, market order immediate to limit, market order immediate or cancel, kill or fill limit order, kill or fill market order and other types of orders as specified by the SSE 
Limit orders, full transaction or cancellation of price limit orders, market price orders of the best price of the counterparty side, market price orders of the best price of own side, the best five levels of realtime transaction then surplus cancellation of market price orders, realtime transaction then surplus cancellation of market price orders, full transaction or cancellation of market price orders and other entrustment orders. 
Limit order; the limit order can be attached with FOK and FAK order. 
Circuit Breaker 
During the continuous auction period, if the percentage change of option price reaches or exceeds 50% of the latest reference price and the absolute value of price change reaches or exceeds 5 ticks, the option contract will enter a 3minute call auction period 
During the continuous auction period, if the percentage change of option price reaches or exceeds 50% of the latest reference price and the absolute value of price change reaches or exceeds 10 ticks, the option contract will enter a 3minute call auction period 
Not Specified 
From the table above, it can be seen that the 50ETF Options and HuataiPinebridge CSI300 ETF Options are from Shanghai Stock Exchange, and Harvest CSI300 ETF options is from Shenzhen Stock Exchange. The trading rules for most of the two CSI300 options are consistent, but there are also some differences in detail., such as the maximum number of applications, circuit breaker mechanism and the submission time of exercise instructions.
As for the CSI300 Stock Index Options listed by CFFEX, the underlying Index of the options contract is stock index futures rather than ETF, so the rule differences between CFFEX and Shanghai Stock Exchange or Shenzhen Stock Exchange are quite large. In this context, we summarize the differences and corresponding impacts as follows:
(I) Stock index options are cash delivery, while ETF options are physical delivery.
If investors participate in delivery, the efficiency of CFFEX stock index options is higher than the real delivery efficiency of Shanghai Stock Exchange and Shenzhen Stock Exchange ETF options. It should be noted that the settlement price of the stock index options contract adopts the arithmetic average price instead of the closing price of the underlying index in last two hours on the last trading day. Whether it is beneficial or not requires the investors to calculate and estimate by themselves. For investors who are not ready to exercise, they can choose to close their positions ahead of time. At this time, there is little difference between ETF options and stock index options.
(II) The physical delivery characteristics of ETF options make ETF options cover the real deal, while stock index options do not have such settings.
Investors can make ETF options and ETF spot positions linked through reserve opening, so as to save margin, while stock index options cannot achieve such effect.
(III) At present, the risk control requirements of ETF options are higher than those of stock index options as the aspects of daily price change, margin, etc.
ETF options need to pay more margin than stock index options, which is calculated by simulation transactions. Taking the maintenance margin as an example, the additional margin required for the equal value ETF options is 12% of its corresponding ETF par value, while the additional margin required for the equal value simulated stock index options is only 10% of its corresponding stock index futures par value; the additional margin required for the deep virtual ETF options is 7% of its corresponding ETF par value, while the additional margin required for the deep virtual simulated stock index options is only 5% of the notional value of the corresponding stock index futures. (the margin adjustment coefficient of simulated stock index options is 10%, and the minimum guarantee coefficient is 0.5. The margin adjustment coefficient and minimum guarantee coefficient of stock index options to be listed shall be subject to the latest data published by the exchange)
(IV) the expiration date of ETF option is the fourth Wednesday of the expiration month, and the stock index option is the third Friday of each month, consistent with the stock index futures.
There is a difference between the maturity date of ETF options and stock index options, which reminds investors who arbitrage between 300 ETF options and 300 stock index options to pay attention to the risk of maturity mismatch.
(V) There is a big difference between stock index price and ETF price, so there are some differences in the minimum quotation unit and contract multiplier.
Taking the closing price on November 11, 2019 as an example, the price of HuataiPinebridge CSI300 ETF is 3.967, while the price of CSI300 is 3902.98. Therefore, the notional value of the underlying asset of a 300 ETF option contract on the Shanghai Stock Exchange is 39670 yuan, while the notional value of the underlying asset of a stock index option contract is 390298 yuan, which is ten times different.
It shows that the scale of funds contained in the stock index options’ single contract is larger, but it may not be as fine as the ETF option when it is used to hedge the spot position. On the other hand, the minimum bidask spread of index options is 0.2 point, corresponding to 20 yuan, and the minimum bidask spread of ETF options is 0.0001 point, corresponding to 1 yuan, with a difference of 20 times. As mentioned before, the face value of the two options is only 10 times. Compared with the two phases, the minimum bidask spread of stock index options accounts for one time more than that of ETF options. This also means that the price of stock index options is wider, which is more favorable for market makers, but its cost might be also higher for investors who actively trade in high frequency in the day.