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.

经历周末的雨疏风骤后，今天的上海以一缕阳光开始了新的一周。尽管上周末，许多券商、期货的朋友们都提示了50ETF分红会给期权合约带来一些调整，但今天打开T型报价后，相信依然有不少的交易者还是没有适应那么多带“A”的期权合约。
什么是带“A”的期权合约呢？根据上交所ETF期权的交易规则，一旦标的分红后，在除权除息日（比如今日），原来期权合约的行权价格、合约单位等要素就会被调整，如果在这些合约的存续期内，第一次经历了分红调整，那么它们的合约简称上就会被带上“A”的字符，以区别于新加挂的标准化合约。
我们已经提到了，50ETF收盘于2.938元，分红金额为每份0.047元，按照公式算下来，原期权合约的合约单位将从10000调升到10163，同时，交易所在本周一会新挂一批标准化期权合约，它们的合约单位都是10000，因此整个期权T型报价界面上就会有两类合约，一类是带“A”的合约，它们的合约单位是10163，另一类是不带“A”的合约，它们的合约单位是10000。
不过，我们更关心的是，在实盘交易上，这些带“A”的合约会给我们操作带来哪些变化呢？变化还是有的，大致想了一下，可以有这么三个方面。

1、 “非标”与“标”不能构成组合保证金和组合行权
两周前，上交所的组合保证金和组合行权制度已经正式实施，但在操作时，各位交易朋友需要非常仔细地看到目前申报的“组合”，是需要具有相同合约单位的。
比如，我双卖了“50ETF沽12月2755A”和“50ETF购12月3100”各100张，但由于前一个认沽期权的合约单位是10163，后一个认购期权的合约单位是10000，在目前的制度下，这两个持仓无法申请成为“卖出宽跨式组合（KSS）”，因此也无法用组合保证金的方式省下单边一腿的保证金了。
再比如，我构建了一个牛市价差组合，买了100张“50ETF购12月2853A”，并卖出了100张“50ETF购12月2950”，同样是因为前一个合约和后一个合约的单位不一致，无法申请成为“牛市认购组合（CNSJS）”，也无法把整个组合的保证金占用暂时降为0。
同样地，面临到期日组合行权时，也是同样需要注意这个问题。假如您在到期日正好持有10张“50ETF购12月2853A”和10张“50ETF沽12月3100”，尽管它们的月份是一样的，持仓张数也是一样的，但还是由于合约单位的不同，组合行权的指令将通不过交易所的前端检查，从而申报无效。
所以，对于希望利用组合保证金或组合行权的投资者，实盘操作时要特别注意了！最好都交易带“A”合约，要么就都交易标准合约！

2、 卖出深度虚值期权的“微利”变多
我们对比某个合约在上周五和本周一的价格，您发现了什么不同吗？
这个合约是C3345（已成为带“A”合约），前一日的行权价是3.400，是一个当月深度虚值的认购期权。我们来看，这个合约在昨天的结算价是单价0.0007元，今天该合约的收盘价（包括盘中大量的成交价）也是单价0.0007元，但是，这个合约的单位却已经在一天之内发生了变化，上周五是10000的合约单位，而今天则是10163了。
这意味着卖出一张C3345，昨天的权利金收入是7元，而今天就变成了7.1141元。卖出一张的差异并不明显，那么如果是卖出1000张呢，就是7000元与7114元的差异。相同的张数，卖出开仓目前暂免交易费，占用的保证金也没有多大的变化，但权利金收入却因为合约单位的变大而产生了一些“微利”。因此，有一些聪明的投资者，如果他们很了解分红前后的调整变化，他可能就会估计到深度虚值期权的价格很难在一夜之间有很大的变化（因为delta绝对值很小了），所以，同样卖出一定仓位的深度虚值期权，他大概率会在今天的开盘后卖出挂单，而不一定会在上周五收盘前卖出挂单。
3、 3.000以上的行权价格间距变相形成“0.05元一档”
自从今年3月以后，50ETF就多次接近甚至上穿3.000以上，然后3.100、3.200、3.300……这些行权价的期权一个一个地被加挂上去。有一些读者留言问道，特别希望3.000以上的行权价也能够有0.05元一档，然后我的回复是“等到年末50ETF分红的话，就会变相出现这样的情形了”。
由于50ETF本次的现金分红是0.047元/份，这使得原期权合约的行权价格大约都降了0.05元，于是原来3.100的行权价变成了3.050，原来3.200的行权价变成了3.149，原来3.300的行权价变成了3.247，同时，交易所新挂了3.000、3.100、3.200行权价的标准化合约，这就使得3.000以上的行权价格序列变成了3.000、3.050、3.100、3.149、3.200、3.247……，只是，其中有些合约带“A”，合约单位是10163，而另一些合约是标准化期权，合约单位是10000而已。
一旦3.000的行权价间距变相地形成“0.05元一档”，如果后市出现意外地暴涨，在卖方合约移仓时就移的更为“舒服”。在实盘交易中，一种“大道至简”的移仓原则可以称为“跳档即移仓”。举个简单的例子，当标的价格为2.850时，我卖出了虚3档的C3000认购期权，当标的价格大涨使得平值期权出现切换到2.900时，出于降低负gamma值，风险控制的考虑，我们会把C3000的义务仓头寸进行平仓，双向移仓卖出更虚值的认购期权，以及新的虚3档的认沽期权，在降低负gamma值的同时，暂时保持delta的相对中性。
仔细想一下，当3.000以上的行权价格间距是0.1时，那么双向移仓的操作就变成了卖出C3100和卖出P2750，相比于3.050与2.900的距离，3.100与2.900的距离一下子远的很多，于是卖出C3100的权利金收入也一下子少了很多，一些机构为了能够保持和原来相同的权利金收入，可能会被迫卖出更多数量的C3100，于是卖的多则风险敞口也随之变大。回过头来看现在的盘面，目前3.000以上的一档行权价变成了3.050，于是双向移仓的操作就可以变为“卖出C3050（带“A”）+卖出P2750”了，这样一来，C3050的权利金更贵，要保持和原来的权利金收入大致相同，我所需要卖出的认购期权数量就会减少，所用的仓位就会变少了。
除此之外，还有一种常用的操作也会变得有所不同，那就是价差组合。以牛市价差组合为例，在过去的文章里，我们曾经提到过95-110、100-110、100-105的牛市价差组合，比如100-105就表示“买入平值认购+卖出虚1档认购”的牛市价差，行权价格间距越大，整个组合的进攻性就越强，行权价格间距越小，则整个组合的防守性越强。当3.000以上的行权价格间距是0.1时，要加强牛市价差的防守性，我们最多只能将行权价格间距缩小到0.01，构建“买入C3000+卖出C3100”这个组合，但当前3.000以上的一档行权价变成了3.050，我可以进一步构建“买入C3000+卖出C3050”这个组合（尽管合约单位不完全相同，但由于相差很小，操作里可以视为近似的牛市价差组合），从控制价差组合的进攻与防守“力度”来说，就变得更为精细了。