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Interpretation on stock option composite margin rules

Fang submitted 2019-12-01 17:30:37


1. Review the option composite margin of major exchanges.

Almost all the major exchanges have introduced the option composite margin regulation. Among the listed options, ZCE and SSE offered more margin exempt from composite margin setting (see Table 1 for details).

In Table1, it is worth noting that, in ZCE, the margin exempt for covered call strategy, includes not only the covered call with short positions of call options, but also includes covered put with short positions of cash underlying.

Specifically, regarding the use of the stock option composite margin strategy business, two points need to be noticed by investors:

(1) Investors must apply for the construction or cancellation of composite margin strategy through options brokers. The brokerage companies then submit the requests to Shanghai Stock Exchange according to clients’ positions, and realize the halving of the margin.

(2) On the day of options expire, for investors holding call and put options of the same underlying and the same expire date, they can apply to execute a combined exercise order to exercise calls and puts simultaneously, and save up margin for exercising options and holding positions of underlying.

Table1. Combine Margin Offers for Major Exchanges

Exchanges

Dalian Commodity Exchange

Shanghai Futures Exchange

Zhengzhou Commodity Exchange

Shanghai Stock Exchange

Margin exempt for composite margin setting

None

None

Margin exempt for covered call strategy

covered call portfolio strategy

Bull call/put spread strategy

Sell straddle or Sell strangle

Bear call/put spread strategy

Short straddle and wide strangle


1、 回顾各大交易所的期权组合保证金

关于期权组合保证金,各大交易所均有推出。截止当前交易所上市的期权品种中,郑商所和上交所推出的保证金组合优惠较多(具体参见表1)。

在表1中,值得说明的是,郑商所的“备兑开仓保证金优惠”不仅仅包括类50ETF期权的卖出看涨备兑还包括卖出看跌期权卖出现货组合的备兑。具体关于股票期权组合策略业务的使用,投资者须注意的操作要点有两项:
(1)投资者须根据自身持仓,通过期权经营机构向上交所交易系统申请构建或解除组合策略,实现保证金减半。

(2)在行权日,同时持有相同标的证券的当日到期认购和认沽权利仓的投资者,可以通过提交行权指令合并申报委托,实现认购和认沽期权的同步行权,节约用于行权资金或标的证券的占用量。



2. Stock options composite margin strategy

According to the notification of preparation of implantation of stock options composite strategy recognition and combined submission of options exercise features, the group and ungroup of composite strategy shall be checked and confirmed by the exchange system. See Table 2 for details of the margin discount just launched by Shanghai Stock Exchange.

Strategy

Check rules

margin

Bull Call Spread

(CNSJC)

Whether the two component contracts are the call options of the same maturity date, the same underlying securities and the same contract unit, whether the exercise price of the first component contract is lower than the exercise price of the second component contract, and whether the positions are sufficient (same lots of long and short positions, the same below)

0

Bear Put Spread

(PXSJC)

Whether the two component contracts are put options of the same maturity date, the same underlying securities and the same contract unit, whether the exercise price of the first component contract is higher than the exercise price of the second component contract, and whether the position is sufficient.

0

Bull Put Spread

(PNSJC)

Whether the two component contracts are put options of the same maturity date, the same underlying securities and the same contract unit, whether the exercise price of the first component contract is lower than the exercise price of the second component contract, and whether the position is sufficient.

Execution price difference

Bear Call Spread

(CXSJC)

Whether the two component contracts are the call options of the same maturity date, the same underlying securities and the same contract unit, whether the exercise price of the first component contract is higher than the exercise price of the second component contract, and whether the position is sufficient.

Execution price difference

Short Straddle

(KS)

Whether the first component contract is a call option, whether the second component contract is a put option, whether the two component contracts are the same maturity date, the same exercise price, the same underlying securities, the same contract unit, and whether the positions are sufficient.

Max (call option opening margin, put option opening margin) + pre-settlement price of contract with lower margin * contract unit

Short Strangle

(KKS)

Whether the first component contract is a call option, whether the second component contract is a put option, whether the two component contracts are the same maturity date, the same underlying securities, the same contract unit, whether the exercise price of the call option is higher than the put option, and whether the position is sufficient.

Max (call option opening margin, put option opening margin) + pre-settlement price of contract with lower margin * contract unit

Call options transferred to Covered Call

(ZBD)

Whether the option contract is a call option for margin opening, and whether the covered call locking share is sufficient

0100% offset by underlying securities

From the perspective of composite margin preference in Table 2, the strategy of constructing bull market spread and bear market spread respectively uses the capital advantage constructed by call and put options. Correspondingly, the bull market and bear market spread strategies constructed by put and call options have little capital advantage. In addition, it should be noted that the contracts of the current month on E-1 and E-day cannot be constructed with vertical spread combination strategy.

In addition, there is a slight difference between the covered call opening instructions in Table 2 and the previous ones. Although there is a covered call position opening instruction in the early stage of 50ETF option listing, the instruction “Call options transferred to Covered Call

” (ZBD) mentioned here is mainly changing the call option margin opening to covered call position opening (the combined position is not recorded as the combined strategic position). At the same time, the exchange has not yet implemented the reverse of the covered call- "changing covered call opening to margin opening (ZXJ)".

Summarize the collection methods of composite margin in Table 2. In general, for investors' composite strategy positions holding, if the contracts involving all components are not the last trading day or the maturity date, before the termination, the contracts in the composite strategy positions will not participate in the end of day position hedging (except for the general to covered call and the covered call to general). The exchange provides CSDCC with the data of composite strategy positions of all investors. CSDCC first collects the margin for the composite strategy according to the composite strategy standard, and then collects the maintenance margin for the obligation positions (after hedging) in the no- portfolio strategy according to the maintenance margin collection formula.


2. 股票期权组合策略保证金优惠

根据上交所《关于做好股票期权组合策略业务和行权指令合并申报功能相关准备的通知》,构建和解除组合策略均需经交易所系统检查确认。具体到上交所刚推出的保证金优惠详情可参见表2所示。

从上表2的组合保证金优惠来看,构建牛市价差和熊市价差策略分别运用认购和认沽期权构造的资金占优。与之相对应地,分别运用认沽和认购期权构建的牛市和熊市价差策略资金优势不大。另外值得注意的,E-1日和E日当月合约不能进行垂直价差组合策略的构建。
另外,表2中的转备兑开仓和前期的备兑开仓指令略有差异。虽说在50ETF期权上市初期已经有备兑开仓指令,但是这里提及的指令ZBD主要是认购期权保证金开仓转备兑开仓,(该组合持仓不记为组合策略持仓)。同时,现在交易所尚不实施逆向的“认购期权备兑开仓转保证金开仓(ZXJ)”。

总结前文表2中的组合保证金收取方式。一般情形下,对投资者组合策略持仓,如涉及各成分合约均不是最后交易日或到期日,在未解除前,组合策略持仓中的合约不参与日终的头寸对冲(普通转备兑、备兑转普通除外)。交易所向中国结算提供所有投资者的组合策略持仓数据,中国结算先按组合策略标准对组合策略收取保证金,再按维持保证金收取公式对非组合策略中的义务仓(对冲后)收取维持保证金。


3. Composite strategy margin collection mode

Although the specific preferential measures for the margin of composite strategy are shown in Table 2 above, investors should also pay attention to the margin change after the group / ungroup the composite strategy in specific session considering the efficiency of capital use.

If the investor group the composite margin strategy in trading session (9:30-11:30, 13:00-15:15): after the exchange receives the application, according to the strategy definition in the composite strategy list, deduct the available positions of corresponding single component contracts (the trading system lock the positions), generate the composite strategy positions of investors, and immediately return the margin in trading session(the available margin of the clearing participant's account shall be increased based on the sum of the opening margin required by the original component contracts minus the margin required by the composite strategy).

In the trading session (9:30-11:30, 13:00-15:15), if the investor ungroup the composite strategy: after the exchange checks that it meets the requirements, it cancels the applied composite strategy recognition and adds the margin (calculated by the sum of the opening margin required for each component contract after the split minus the margin required for the composite strategy, if the available margin balance after the deduction is less than 0, it is not allowed to cancel).

During the period of stocks suspension, it is allowed to group and ungroup the composite strategy, while during the period of market close, it is not allowed to group and ungroup the composite strategy.

The composite strategy built on one trading day can be ungrouped on the same trading day. In addition, investors can’t cancel the orders to group or ungroup the composite strategy holding.

In addition, the SSE mentioned the situation of "unilateral closing of transaction time portfolio strategy", but the plan is not implemented temporarily, investors can wait for the exchange to issue detailed rules later. In addition to the investor declaration, the subsequent release of composite margin may occur when the exchange contacts automatically, which mainly occurs near the maturity date, as shown in Table 3 below.

In the case of insufficient margin of settlement participants, the non-composite obligation position shall be selected according to the existing compulsory position closing rules.

Table 3. Automatic cancellation of portfolio strategy positions by the exchange near the maturity date

Vertical spread combination strategy

End of the first two trading days (E-2 days) of the contract maturity date

The exchange trading system will automatically release the composite positions before hedging all positions. CSDC collects maintenance margin according to the maintenance margin collection standard according to the position after hedging

Straddle and strangle short combination strategy

End of the contract maturity dateE day

The exchange trading system will automatically release the composite positions before hedging all positions


3. 组合策略保证金收取模式
虽然前文对组合策略保证金具体的优惠措施在表2中已有所展示,但是考虑到资金使用效率,投资者同样关注具体盘中构建/解除组合策略后的保证金变化。
投资者在盘中(9:30-11:30、13:00-15:15)构建组合策略指令:
交易所收到申请后,根据组合策略清单中该组合定义,扣减相应单一成分合约持仓可用数量(交易系统将进行锁定),同时生成投资者的该组合策略持仓,并盘中即时返还保证金(按原各成分合约所需开仓保证金之和减去组合策略所需保证金计算,增加该结算参与人账户的可用保证金)。
投资者在盘中(9:30-11:30、13:00-15:15)解除组合策略指令:
交易所检查满足要求后,对所申请的组合策略进行解除,并加收保证金(按拆分后各成分合约所需开仓保证金之和减去该组合策略所需保证金计算,如扣减后可用保证金余额小于0,则不允许拆分)。
合约停牌期间允许进行组合策略构建和解除,停市期间不允许进行组合构建和解除。当日构建的组合策略当日可以解除。另外,构建和解除组合策略的申报不能撤单。

另外,上交所提及“ 盘中组合策略单边平仓”的情况,但是该方案暂不实施,投资者后续可等交易所出具细则关注。关于后续组合保证金的解除除了投资者申报外,或有交易所自动接触的情形,这主要发生在临近到期日,具体如下表3所示。

对于结算参与人保证金不足的情况,先按照现有强行平仓规则选择非组合义务仓头寸强平。



4. Combined orders of exercising the options

According to the "Notice on the Preparations for the Stock Option Composite Strategy Business and Combined Declaration Function of the Exercise Orders", the current exercise order submission on the exercise date is mainly for the investors holding the position of the call and put options of same underlying securities, and investors may jointly submit the exercise order and realize the simultaneous exercise of the expired call and put options. The specific arrangements are as follows:

(1) Time for the combined declaration of exercise orders: from 15:00 to 15:30 on the expiration day (after the market close)

(2) Conditions for the combined declaration of the exercise order: Each unit of combined declaration of the exercise order shall include a position of one call option and one put option of the same underlying asset on the expiration date, and the contract unit of the call and put options should be the same, and at the same time, the exercise price of the put option shall be higher than that of the call option.

(3) Notes: Investors may submit the combined declaration of exercise orders multiple times, and the cumulative number of submission shall not exceed the net position of the option rights they held (the position after the rights warehouse and the obligation warehouse are hedged when the portfolio strategy on the same contract in the corresponding derivatives contract account terminates). If the number of submissions exceeds the current quota of exercise rights available, all submissions will be cancelled. The combined declaration of the exercise order can be cancelled, and the cancellation time is from 15:00 to 15:30 on the exercise date.

Details of notes can be found in the example below.

For example, the net position held by an investor on the exercise date is 15 call options contracts and 15 put options contracts. If the investor submits 10 combined submission of exercised orders first, these submission are valid. Then if the investor submits 10 combined submission of exercised orders again, the declarations will be invalid because the remaining quota of exercise orders available is only 5 and the number of declarations exceed the current quota of exercise orders available.


4. 行权指令合并申报业务
根据《关于做好股票期权组合策略业务和行权指令合并申报功能相关准备的通知》规定,当前在行权日实行行权指令申报的主要是持有相同标的证券的当日到期认购和认沽期权权利仓的投资者,可以对行权指令合并申报,实现到期认购和认沽期权的同步行权。具体安排如下所示:
(1)行权指令合并申报的时间:行权日(收盘后)15:00至15:30
(2)行权指令合并申报的条件:每一单位数量的行权指令合并申报包括同一标的的当日到期认购和认沽期权权利仓各一张,认购和认沽期权的合约单位必须相同,认沽期权行权价需高于认购期权。
(3)注意事项:投资者可多次提交行权指令合并申报,累计申报的行权数量不应超过其持有的权利仓净头寸(即相应衍生品合约账户同一合约到期组合策略解除后,权利仓和义务仓对冲后的持仓)。若某次申报数量超过当前可用的行权额度,则该笔申报全部无效。行权指令合并申报可以撤销,撤销申报时间为行权日15:00至15:30。
关于注意事项的详情可参见以下实例所示。
例如,行权日某投资者持有的净头寸为15张认购期权权利仓和15张认沽期权权利仓,该投资者第一次提出10个行权指令合并申报,则申报有效,之后第二次再提出10个行权指令合并申报,因为当前可用的行权指令合并申报额度为5个,申报数量超过可用额度,则该笔行权指令合并申报申报全部无效。(赵晓慧)

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