On December 2, 2019, Huaxia SSE 50ETF will deliver dividend and be ex-dividend, and the exercise price and contract unit of the original contract will be changed. Based on the changes of options market before and after the dividend of 50ETF, and combined with theoretical analysis, this paper summarizes the impact of 50ETF dividend on general options trading for investors.

(I) call options: leverage up

Strictly speaking, the leverage of the call option is the ratio of the percentage change of itself to the percentage change of the underlying price. According to the formula, the leverage of the option can be derived as follows:

Leverage ratio of 1 lot option contract=contract unit*|unit Delta|*underlying price/ option premium

According to the above discussion, we know that after the 50ETF dividend, the change range of the underlying price, exercise price and option premium are equal, and the ratio between the two is constant, so the change of leverage ratio is mainly caused by the change of contract unit. Therefore, the change rule of leverage caused by dividend is as follows:

Leverage ratio after change =old leverage ratio * underlying closing price before ex-dividend day/( underlying closing price before ex-dividend day-cash dividend)

Therefore, after 50 ETF dividend, the leverage ratio of the adjusted contract increases. For investors who buy options, the leverage of the contract becomes larger. In order to ensure that the risk does not expand, investors can properly close some contracts, or exchange the number of positions to standard contracts.

(II)Put option: expansion of directional risk exposure

We analyze the impact of 50ETF dividend from the perspective of the return and risk of put option. First of all, the maximum return on put options is equal to the premium of each contract. We know that after the ex-dividend date adjustment:

New Contract Unit * New Premium= Old Contract Unit * Old Premium

This shows that the premium of each option remains unchanged, i.e. the maximum return of the put option remains unchanged. For the daily risk and return of put options, we need to analyze it from the perspective of Greek alphabet. 50ETF dividend will affect Greek alphabet from three aspects: the underlying price will be reduced, the exercise price will be reduced, and the contract unit will be increased. Here, we omit the specific derivation and give the change results directly:

Delta after adjustment= old Delta * underlying closing price before ex-dividend day/( underlying closing price before ex-dividend day-cash dividend)

Gamma after adjustment= old Gamma * [underlying closing price before ex-dividend day/( underlying closing price before ex-dividend day-cash dividend)]^2

Vega after adjustment=old Vega

Thea after adjustment=old Theta

It is not hard to see that Theta before and after the adjustment remains unchanged, indicating that the daily earnings of put options remain unchanged. Vega also did not change, indicating that the volatility risk exposure remained unchanged, but the Delta and gamma of the portfolio rose, indicating that the directional exposure increased.

Therefore, after 50 ETF dividends, the return status of put options remains unchanged, and the volatility risk exposure remains unchanged, but the directional risk exposure becomes larger, so investors should consider reducing positions appropriately to reduce the risk.

In addition, it should be noted that the increased risk is for the same price change. For example, for the same change of 0.01 yuan, the corresponding price change proportion after dividend is greater than before dividend, so it increases the risk of put option. But for the same yield change before and after dividend, the risk of put option does not increase because of dividend.

(III) The liquidity of the adjusted contract plummeted

On the day of ex dividend of 50ETF in 2016 (November 29, 2016), Shanghai Stock Exchange added standard contracts. By comparing the trading volume of the adjusted contracts whose exercise price is closest to the standard contract (for example, "50ETF call 2.40 January 2017" and "50ETF call 2.397A January 2017"), we found that the liquidity of the original contract gradually decreased, and the liquidity of the standard contract gradually increased. About a month later, volume was dominated entirely by standard contracts.

We calculated the ratio of 5-day cumulative volume of standard and adjusted contracts, which gradually increased from 1 to 4 after about 25 trading days, and stabilized at this level until the contract expired. The above facts show that the trading volume of options will gradually transfer from the adjusted contract to the standard contract, which will take about one month.

After the ETF dividend, not only the trading volume will gradually shift to the standard contract, but also the investors will gradually move their positions to the standard contract, which is reflected in "position shifting".

As shown in the figure below, from November 29, 2016 to December 28, 2016, the positions of standard contracts increased from 148000 to 739000; the adjusted contracts decreased from 657000 to 314000.Both of them are changing with each other, and the trend of moving is obvious. From the aspect of ratio, the phenomenon of move is more obvious. From November 29, 2016, the ratio of positions in standard and non-standard contracts basically kept rising, rising from 0.22 to about 9.

Therefore, after the dividend and ex dividend of 50ETF, the trading volume and position of the original contract will be significantly reduced, and the liquidity will become poor. It is suggested that investors change the contract position into a standard contract.

(IV)"Reserve opening" need to pay attention to the shortage of reserved securities

After this adjustment, the contract unit will become larger, so it may cause the investors who "prepare to open positions" to have insufficient reserved securities. In 2016, for example, if an investor opened 100 lots reserved position and held 1 million lot reserved securities on November 28, after the ex-dividend of November 29, the securities used for the reserve lock-in became 1 million 50ETF funds and some cash, because the contract unit became 10220, in order to meet the reserve requirements, the number of reserved securities required should be 1022000, and the investor had 2.2% gap needs to be filled in time.

If there is a shortage of reserved securities, the investors need to close their positions in time or supplement the reserved securities on the same day (before the closing of December 2, 2019, they need to buy enough 50ETF and lock them up, otherwise they will face compulsory closing).

2019年12月2日，“华夏上证50ETF”将分红除息，原合约的行权价、合约单位会发生改变。本文以50ETF过去分红前后的期权市场变动做为基础，并结合理论分析，为投资者总结了50ETF分红以对一般期权交易的影响：

（一）买入期权：杠杆上升
严格来讲，买入期权的杠杆是自身与标的价格变动百分比的比值，根据公式，可以导出期权的杠杆为：

根据上面部分的讨论，我们知道50ETF分红后，标的价格、行权价、期权权利金三者的变动幅度相等，两两之间的比值恒定，所以杠杆率的变动主要由合约单位变化所导致，所以，分红导致杠杆的变化规律为：

所以50ETF分红除息后，被调整合约的杠杆率上升，对于买入期权的投资者而言，持有合约的杠杆变大，为了保证风险不扩大，投资者可以适当平仓部分合约，或者等张数换仓至标准合约。
（二）卖出期权：方向性风险敞口扩大
我们从卖出期权的收益与风险两个角度来分析50ETF分红的影响。首先，卖出期权的最大收益等于每张合约的权利金，我们知道，在除息日期权调整后：

这说明，每张期权的权利金不变，即卖出期权的最大收益不变。对于卖出期权每天的风险、收益情况，我们需要从希腊字母的角度去分析，50ETF分红会从三个方面影响希腊字母：标的价格降低、行权价降低、合约单位上升。在此，我们略去具体推导，直接给出变动结果：

不难看出，调整前后的Theta不变，说明卖出期权每天的收益不变。Vega也没有变化，说明波动率风险敞口不变，但是组合的Delta、Gamma上升，这说明方向敞口变大。
因此，50ETF分红后，卖出期权的收益状态不变，波动率风险敞口不变，但是方向性风险敞口变大，投资者应当考虑适当减仓，以降低风险。
此外，需要说明的是，风险变大是针对于相同的价格变化来说的。例如同样的0.01元变动，在分红之后对应的标的价格变化比例大于分红之前，所以提升了卖出期权的风险。但对于分红前后相同的收益率变化，卖出期权的风险并没有因为分红而变大。
（三）被调整合约流动性骤降
2016年50ETF分红除息当天（2016年11月29日），上交所加挂标准合约，通过对比标准与行权价最接近标准合约的被调整合约（比如，“50ETF购2017年1月2.40”与“50ETF购2017年1月2.397A”）的成交量变化，我们发现原有合约的流动性逐渐降低，标准合约的流动性相对逐渐上升，大约1个月后，成交量完全由标准合约主导。

我们计算了标准、被调整合约5天累积成交量的比值，该数值经过大约25个交易日后，从1逐渐上升至4，并稳定在该水平至合约到期。以上事实说明，期权的成交量会逐渐从被调整合约转移至标准合约，历时1个月左右。

50ETF分红后，不仅成交量会逐渐向标准合约转移，投资者也会将持仓逐渐向标准合约迁徙，体现为“持仓腾挪”。
如下图所示，2016.11.29-2016.12.28，标准合约的持仓量从14.8万张，增长至73.9万张；被调整合约从65.7万张下降至31.4万张。二者此消彼长，腾挪趋势明显。从比值上来看，腾挪现象更加明显，2016.11.29开始，标准、非标准合约持仓量比值基本保持上涨趋势，从0.22一直升高至9左右。

因此，在50ETF分红除息后，原合约的成交量、持仓量会明显下降，流动性变差，建议投资者将合约换仓为标准合约。
（四）“备兑开仓”需要注意备兑券不足
由于本次调整之后，合约单位会变大，因此可能会造成“备兑开仓”的投资者出现备兑券不足的情况。以2016年的情况为例，如果某投资者在11.28当天备兑开仓了100张，并持有100万张备兑券，在11.29除息后，用于备兑锁定的证券变为100万份50ETF基金与若干现金，可由于合约单位变为10220，为了满足备兑要求，投资者需要的备兑券数量应该为102.2万张，该投资者出现了2.2万张的缺口，需要及时补足。
备兑开仓投资者，如果出现备兑券不足，就需要及时平仓或在当天补充备兑券（在2019.12.2收盘前，买入足够数量的50ETF并进行备兑锁定，否则将面临强行平仓）。