On May 3 16, 3 1,1/in the morning, IF 1606, the main contract of Shanghai and Shenzhen 300 stock index futures, fell sharply, hitting the limit. 10 seconds later, the futures price returned to the pre-crash level. In the evening, CICC announced that IF 1606 contract had a daily limit at 10:42. After investigation, it was due to the entrustment of a hedging customer to sell at the market price of 398 lots, which triggered a technical sell-off in the market. At that time, speculative trading was limited to the maximum opening volume per day 10 lot, while hedging trading only needed spot matching, so nearly 400 lots could be sold instantly.
And how high was the cost of speculative trading at that time? After 2065438+September 7, 2005, the open margin of various varieties reached 40%. According to the calculation of the Shanghai and Shenzhen 300 stock index futures at around 3,300 at that time, the margin occupied by holding the first-hand Shanghai and Shenzhen 300 stock index futures is close to 400,000 yuan, and the liquidation fee is more than 2,000 yuan. In addition, the maximum opening volume in the day is only 10 lots, which makes it difficult for speculators to participate in stock index futures.
With the gradual stabilization of the stock market and the recovery of investors' risk preference, the voice of the market for restoring the normal trading of stock index futures is getting higher and higher. Since 20 17, CICC has adjusted the stock index futures trading system three times to improve market liquidity.
Stage 3: Policy adjustment period (February 20 17 to present)
The first organizational adjustment of CICC was in February 20 17. /kloc-From June 0/7, the non-hedging margin ratio of IF and IH will be reduced by half to 20%, and that of IC to 30%. The handling fee for closing various varieties was reduced from 23/10,000 to 9.2/10,000, a decrease of 60%; The upper limit of the number of open positions on speculative trading day is adjusted from the original 10 lot to 20 lots (the number of open positions in hedging transactions is not limited by this).
In September, the policy was further relaxed. Starting from 18, the deposit rates of IF and IH are reduced to 15%, and the handling fees of each contract are adjusted to 6.9 ‰.
After two adjustments of 20 17, the trading volume and activity of the stock index futures market rose slowly. At the same time, the improvement of liquidity is helpful to repair the forward discount market after the stock market crash, and the basis of various varieties has converged to varying degrees, especially the market of 17 blue-chip cyclical stocks, which once led to the discount of IF and IH futures contracts.
The third organizational adjustment of CICC was on February 3, 20 18, 18, in which the guarantee rates of IF and IH were adjusted to 10% and IC to 15%. At the same time, the closing fee was lowered to 4.6 per 10000, down by one third, and the maximum open position in the speculative trading day was also raised from 20 lots to 50 lots. The announcement was issued on February 2, 3/kloc-0. On the 3rd, the trading volume of IF, IH and IC increased by 45%, 26% and 33% respectively compared with the previous five trading days, and the market responded quickly.
According to the statistics of daily average turnover and positions of various varieties of stock index futures in three historical stages (pre-market period to prosperous development period, silent period after stock market crash and policy adjustment period), it can be seen that after 20 17, with the gradual adjustment of policies, the stock index futures market has been initially repaired. After the adjustment of the 20 18 and 12 third trading systems, the trading volume increased obviously, and the IF, IH and IC reached 2.9 times, 2. 1 times and 2.7 times of the previous stage respectively. Since June 20 19, 1, the Shanghai Composite Index has closed for eight consecutive weeks, and the willingness to enter the market has been significantly strengthened. The turnover and positions of stock index futures also hit a new high after the stock market crash, and the market fever can be seen.
The cost of participating in stock index futures trading has also dropped significantly. According to the current high points of the stock index (300-3700 points in Shanghai and Shenzhen, 50-2800 points in Shanghai and Shenzhen, and 500-5 100 points in Shanghai and Shenzhen), the transaction cost is roughly estimated. At present, the margin required for the first-hand Shanghai and Shenzhen 300 stock index futures trading is only the strictest quarter, which is about100000 yuan, which is equivalent to the handling fee for opening positions.
Under the steady adjustment of the trading system, China's stock index futures market is slowly recovering. At present, 80% and 90% of the global futures and options market turnover is brought by financial derivatives, and many emerging markets, such as Indian, Korean and China Taiwan Province Province, have achieved success in stock index futures. With the gradual recovery of the scale and activity of China's stock index futures market, it will certainly promote the healthy and high-quality development of China's financial market. At the same time, with the diversification of insurance, banks and other participating groups and the inflow of funds, the function of the futures market will be further enhanced.