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First delivery of stock index options, with 4298 lots exercised

Fang submitted 2020-02-24 20:27:17

February 21 is the first delivery date of the CSI 300 index option contract since its listing. According to the CFFEX data, IO2002 contract are 4298 lots exercised, 26571 lots open interest and 22273 lots unexercised at expiration.
Most of the interviewees in the industry said that only when the ITM option meets the exercise conditions will exercise, and when the ATM option and the OTM option expire, they will not exercise. The positions of ATM and OTM options are much higher than ITM options, so the amount of unexercised is higher than that of exercise. Generally speaking, the first exercise of stock index options is relatively smooth.
As of yesterday's closing, the total volume of io2002 contracts was 20856 lots. The highest amount of io2002-c-4100 contracts was 10.78948 million yuan. The lowest amount was io2002-p-3350 contracts, only 114 million yuan.
Different from CSI 300 ETF options and all kinds of commodity options, CSI 300 index options adopt the methods of automatic exercise and cash delivery. On the maturity date, investors do not need to apply for exercise. For the qualified option contracts, the exchange will automatically exercise them and complete the delivery by cash netting.
Stock index options are cash delivery in cash and ETF options are physical delivery. Cash delivery is more convenient, reducing the delivery process and operational risk. There is no early closing before the maturity date of option position to avoid the pressure of delivery. Physical delivery can meet the demand of physical delivery in the spot market, and also ensure that the long position matches the short position and the supply and demand of the relevant spot market, so as to reasonably reflect the fundamentals of the spot market.
This week, options contracts increased significantly in io2003 as they faced expiration in io2002. According to statistics, in io2003, positions of ATM options and OTM options increased mostly, and call options positions increased more than put options positions. The contracts with more positions are 510050C2003M03000, 510300C2003M04200, 159919C2003M04300.etc.
In terms of volatility, the implied volatility of options has continued to decline in recent years, and has now fallen back to the historical median value. The drop in implied volatility indicates that the current market sentiment has improved significantly compared with the week after the festival. As of the closing on February 21, the implied volatility of call options is still lower than that of put options, but the difference between the two is narrowed, indicating that investors are gradually optimistic in the near future, but still cautious.


股指期权首次交割 行权量达4298手
2月21日,是沪深300股指期权上市以来,2020年2月的沪深300股指期权合约序列迎来的首次交割日。中金所盘后数据显示,沪深300股指期权2020年2月期权合约行权量4298手,到期未平仓量26571手,到期未行权量22273手。
多数受访业内人士表示,只有满足行权条件实值期权到期才会行权,平值期权和虚值期权到期不会行权。平值、虚值期权持仓量远高于实值期权持仓量,所以未行权量高于行权量。总体来说,股指期权首次行权较为顺利。
截至昨日收盘,IO2002合约总成交量为20856手,IO2002-C-4100合约成交金额最高,达1078.948万元,成交金额最低的是IO2002-P-3350合约,仅0.114万元。
与沪深300ETF期权和各类商品期权不同,沪深300股指期权采用自动行权、现金交割的方式。在到期日,投资者无需提出行权申请,对于满足条件的期权合约,交易所将自动予以行权,并采用现金轧差的方式完成交割。
“股指期权采用现金交割方式,ETF期权采用实物交割方式。现金交割更为便捷,减少交割流程和操作风险,期权头寸到期日来临之前没有提前平仓来规避交割的压力。实物交割能够满足现货市场实物交付的需求,也能够保证多头与空头头寸和相关现货市场的供给和需求相给配合,合理地反映现货的基本面。”期权研究员解释称。
本周,由于2月份期权合约面临到期,3月份期权合约持仓量增加较多。据统计,3月平值期权和浅虚值期权增仓最多,且认购期权增仓多于认沽期权。增仓较多的合约分别是50ETF购3月3000期权合约、上交所300ETF购3月4200期权合约、深交所300ETF购3月4300期权合约等。
从波动率方面看,近期期权隐含波动率持续下跌,目前已跌回历史中位值。周小舒认为,隐含波动率回落表明目前市场情绪较节后一周有了较大改善。截至2月21日收盘,认购期权隐含波动率仍低于认沽期权,但两者差值收窄,说明近期投资者逐渐乐观,但仍较为谨慎。


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