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.