Notice on Listing and Trading of CSI 300 Stock Index Option Contracts

All member entities,

The China Securities Regulatory Commission (CSRC [2019] No. 452) has officially approved the listing of the CSI 300 stock index option contract on the China Financial Futures Exchange. In order to ensure the smooth listing and operation of stock index options, the relevant matters regarding the listing and trading of CSI 300 stock index option contracts are hereby notified as follows:

First. listing and trading schedule

The CSI 300 stock index option contract will be listed and traded from Monday, December 23, 2019.

Second. the listed contract month and listed benchmark price

The first listed contract months for CSI 300 stock index options are February 2020 (IO2002), March 2020 (IO2003), April 2020 (IO2004), June 2020 (IO2006), and September 2020 (IO2009) and December 2020 (IO2012).

The benchmark price of each contract is determined by the exchange in combination with the quotation of the CSI 300 stock index option market makers and other factors and would be announced one trading day before the contracts listed.

Third. the maximum order quantity per limit order

The maximum order quantity for each limit order of the CSI 300 stock index option contract is 20 lots.

Fourth. trading margin

The CSI 300 stock index option contract has a margin adjustment coefficient of 10% and a minimum protection coefficient of 0.5.

Fifth. position Limit

A single client's unilateral position limit for the CSI 300 stock index option contract in a month is 5,000 lots (positions at different brokers shall be combined and calculated).

Sixth. related expenses

The service charge standard of CSI300 stock index option contract is 15 yuan per lot, and the service charge standard of exercise (performance) is 2 yuan per lot. The exchange does not charge the submission fee of CSI300 stock index option contracts for the time being.

Seventh. Market maker

CSI300 stock index option market makers can apply to the exchange for two-way option position automatic hedging and closing through members at 9:30-15:00 on the trading day, and the automatic hedging and closing position will not be charged for the time being, and will remain effective after application. Market makers can also apply for the cancellation of automatic hedging positions at the above time. The unilateral position limit of the CSI300 index option contracts market makers in all months is 60000. In all months, the unilateral position limit of CSI 300 index futures contracts is 20000. The exchange will strengthen the construction of market maker echelon and fine management.

Eighth. Inquiry limit

The customer's inquiry interval for the same option contract shall not be less than 60 seconds. No inquiry is allowed when the price difference of the best offer for sale of the option contract is less than or equal to the price difference in the following table:

Ninth. trading limit

CSI300 stock index options listed in the early implementation of the trading limit system. From the first day of listing of CSI 300 stock index options to the third Friday in March 2020 (March 20, 2020), the maximum number of daily open positions of the customer is 50, the maximum number of daily open positions of single month option contracts is 20, and the maximum number of daily open positions of deep virtual contracts is 10. From the 4th Monday in March 2020 (March 23, 2020) to the 3rd Friday in June 2020 (June 19, 2020), the maximum number of daily open positions of the customer's varieties is 100, the maximum number of daily open positions of single month option contracts is 50, and the maximum number of daily open positions of deep virtual contracts is 20.

Deep virtual contract refers to the 10th or more call option contract whose exercise price is higher than the closing price of the underlying index on the previous trading day and the 10th or less put option contract whose exercise price is lower than the closing price of the underlying index on the previous trading day. The maximum number of open positions daily refers to the sum of the number of open positions for buying and selling on the contracts of the same product, contracts of the same month, or a contract of a customer on a trading day.

The open positions of hedging and market making transactions are not subject to this limit. The opening quantity of account group with actual control relationship is calculated by consolidation, and the standard is the same as which of a single customer. If a client meets the exchange's handling standards on multiple contracts in a single day, it shall be recognized as once.

In case of any violation of the above provisions for the first time, the exchange will take measures to limit the opening of positions for 5 trading days. For the second time, the exchange will take measures to limit the opening of positions for 10 trading days. For the third time or more, the exchange will take measures to limit the opening of positions for one month. If the case is serious, it shall be handled in accordance with the relevant provisions of the measures for the handling of violation of regulations and breach of contract of China Financial Futures Exchange.

The exchange may adjust the specific standards, implementation time and relevant measures specified in this circular according to the market conditions.

All member units are requested to do a good job in preparing for the listing and trading of CSI300 stock index options contracts, strictly control market risks and ensure the smooth launch and stable operation of stock index options.

Notice is hereby given.