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Those contracts with "a" after dividend distribution, what changes will be made to market operation?

Fang submitted 2020-01-01 22:36:59

Today’s Shanghai begins a new week with a ray of sunshine after the weekend’s rain and wind. Although at the end of last week, many securities companies and futures friends have pointed out that 50ETF dividend will bring some adjustments to the option contracts, but today, after opening the T-type quotation, I believe that many traders still do not adapt to so many "a" option contracts.
What is an option contract with "a"? According to the trading rules of ETF options on the Shanghai Stock Exchange, once the underlying dividend is distributed, the exercise price, contract unit and other elements of the original option contract will be adjusted on the ex-dividend date (such as today). If they experience dividend adjustment for the first time during the duration of these contracts, their contract abbreviations will be marked with the character "a" to distinguish them from the newly added standardization contract.
In last Friday’s article, Next week 50 ETF dividends again! About the adjustment of options, beginners need to know everything! As we have mentioned, 50ETF closed at 2.938 yuan, with a dividend amount of 0.047 yuan per share. According to the formula, the contract units of the original option contract will be increased from 10000 to 10163. At the same time, the exchange will hang a new batch of standardized option contracts later this week, and their contract units are all 10000. Therefore, there will be two types of contracts on the entire option T-type quotation interface. For "a" contracts, their contract unit is 10163, and for other contracts without "a", their contract unit is 10000.
However, we are more concerned about what changes will these contracts with "a" bring to our operation in the real deal? There are still changes. After thinking about it, there are three aspects.

1," non-standard "and" standard "cannot constitute a combined margin and a combined exercise
Two weeks ago, the Shanghai Stock Exchange’s combination margin and combination exercise system had been formally implemented. However, in operation, all trading friends need to see very carefully that the "combination" currently declared needs to have the same contract unit.
For example, I sold 100 "50ETF put December 2755a" and "50ETF buy December 3100" respectively, but because the contract unit of the former put option is 10163 and the contract unit of the latter call option is 10000, under the current system, these two positions cannot be applied for as "sell wide-span combination (KSS)", so it is impossible to save one leg of margin in the way of combination margin.
For another example, I built a bull market spread portfolio, bought 100 "50ETF for 2853a in December", and sold 100 "50ETF for 2950 in December". The same reason is that the units of the previous contract and the latter contract are inconsistent, so I can’t apply for the "bull market subscription portfolio" (CNSJS), and I can’t temporarily reduce the margin occupation of the whole portfolio to 0.
In the same way, we need to pay attention to this problem when facing the exercise of maturity portfolio. If you hold 10 "50ETF call December 2853a" and 10 "50ETF sell December 3100" on the maturity date, although their months are the same, and the number of positions is the same, but due to the different contract units, the order of combination exercise will not pass the front-end inspection of the exchange, so the declaration is invalid.
Therefore, for investors who want to make use of portfolio margin or portfolio exercise, special attention should be paid to the actual operation! It’s best to trade with only "a" contract, or trade only standard contract!

2,"Low profit" of selling deep virtual options becomes more and more
Do you find any difference when we compare the price of a contract between last Friday and this Monday?
This contract is c3345 (has become an "a" contract), and the exercise price of the previous day is 3.400, which is a deep virtual call option of the current month. Let’s see that yesterday’s settlement price of this contract was 0.0007 yuan. Today’s closing price (including a large number of transaction prices) of this contract is also 0.0007 yuan. However, the unit of this contract has changed in one day. Last Friday’s unit is 10000, and today’s is 10163.
That means selling a c3345, yesterday’s royalty income was 7 yuan, and today it’s 7.1141 yuan. The difference between selling one is not obvious. If you sell 1000, it’s the difference between 7000 yuan and 7114 yuan. For the same number of sheets, the transaction fee is temporarily exempted for selling and opening positions, and the margin occupied has not changed much, but the premium income has generated some "small profits" due to the increase of contract units. Therefore, some smart investors, if they are familiar with the adjustment changes before and after the dividend, may estimate that the price of deep virtual options is very difficult to change overnight (because the delta absolute value is very small). Therefore, if they also sell deep virtual options with certain positions, they will probably sell the hanging orders after today’s opening, not necessarily on sell orders by Friday’s close.

3, "0.05 yuan one file" is formed by changing the exercise price interval of more than 3.000 yuan
Since March this year, 50ETF has been approaching or even wearing more than 3.000, then 3.100, 3.200, 3.300. The options of these exercise prices are added one by one. Some readers left a message asking, especially hope that the exercise price above 3.000 can also have 0.05 yuan, and then my reply is "by the end of the year, 50 ETF dividends, this will happen in disguise."
Because 50ETF’s cash dividend is 0.047 yuan / share, the exercise price of the original option contract has decreased by about 0.05 yuan, so the original exercise price of 3.100 has changed to 3.050, the original exercise price of 3.200 has changed to 3.149, and the original exercise price of 3.300 has changed to 3.247. At the same time, the new standardized contract of 3.000, 3.100 and 3.200 exercise price has been put up in the exchange, which makes more than 3.000 lines. The price sequence becomes 3.000, 3.050, 3.100, 3.149, 3.200, 3.247, but some of them have "a" with contract unit of 10163, while others are standardized options with contract unit of 10000.
Once the exercise price gap of 3.000 is disguised as "0.05 yuan", it will be more "comfortable" when the seller’s contract is moved if there is an unexpected surge in the future market. In transaction, the principle of "from the main road to the simple" can be called "jump to move". For example, when the underlying price is 2.850, I sell the C3000 call option of the virtual third class. When the price of the subject price rises so much that the equal value option changes to 2.900, in order to reduce the negative gamma value and risk control, we will close out the C3000 obligation position, two-way transfer to sell the call option of the more virtual value, as well as the new put option of the virtual third class, while the negative gamma value is low, the delta is relatively neutral for the time being.
Think about it carefully. When the exercise price interval of more than 3.000 is 0.1, the two-way transfer operation becomes selling c3100 and selling p2750. Compared with the distance between 3.050 and 2.900, the distance between 3.100 and 2.900 is far away, so the premium income from selling c3100 is much less. In order to maintain the same premium income as before, some institutions may forced to sell more c3100, the risk exposure of more c3100 will increase accordingly. Looking back at the current market, at present, the strike price of more than 3.000 has become 3.050, so the operation of two-way position shifting can be changed into "sell c3050 (with" a ") + sell p2750". In this way, the premium of c3050 is more expensive. To keep the same income as the original premium, the number of call options I need to sell will be reduced, and the position used will be changed less.
In addition, there is a common operation that will be different, that is, price difference combination. Take the bull market price difference combination as an example. In the past articles, we have mentioned 95-110, 100-110 and 100-105 bull market price difference combinations. For example, 100-105 means the bull market price difference of "buy flat value subscription + sell virtual first class subscription". The greater the distance between exercise prices is, the more aggressive the whole combination is. The smaller the distance between exercise prices is, the more defensive the whole combination is. When the exercise price gap of more than 3.000 is 0.1, we can only reduce the exercise price gap to 0.01 to build a combination of "buy C3000 + sell c3100", but the current exercise price of more than 3.000 has become 3.050, and I can further build a combination of "buy C3000 + sell c3050" (although the contract units are not identical, However, due to the small difference, the operation can be regarded as the approximate bull market price difference combination). From the aspect of controlling the attack and defense "strength" of the price difference combination, it becomes more refined.


1、 “非标”与“标”不能构成组合保证金和组合行权

2、 卖出深度虚值期权的“微利”变多
3、 3.000以上的行权价格间距变相形成“0.05元一档”

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