Chapter I General Provisions
Article 1 These Rules are formulated for the purpose of regulating the simulated trading activities of stock index options of China Financial Futures Exchange (hereinafter referred to as the Exchange) and ensuring the smooth progress of simulated trading of stock index options of the Exchange.
Article 2 These Rules shall apply to the simulated trading activities of stock index options organized by the Exchange. Exchanges, members participating in simulated transactions, customers and other market participants shall abide by these rules.
Article 3 Where there are no explicit provisions in these Rules, the relevant provisions of the Exchange shall prevail.
Chapter II Simulated Members
Article 4 Exchange members who meet the technical access conditions may apply to the Exchange to participate in option simulation trading.
To apply for or change the simulated membership, a written application shall be submitted to the exchange, and relevant agreements shall be signed with the exchange after the exchange agrees.
Chapter III Simulated Trading Seat Management
Article 5 A simulated trading seat is a trading channel for simulated members to directly input trading orders and participate in exchange trading through an electronic communication system networked with the computer trading system of the exchange.
Article 6 Each simulation member may apply to the Exchange for one or more simulation trading seats, and the corresponding application forms shall be submitted when applying.
Chapter IV Analog Transaction Coding
Article 7 The Exchange shall implement the filing system of simulated trading codes. The simulated transaction code refers to the special code for simulated transactions compiled by simulated members in accordance with these rules. After the simulated trading activity is over, the simulated trading code automatically becomes invalid.
Article 8 The simulated transaction code consists of two parts: the member number and the customer number. The analog transaction code consists of twelve digits, the first four digits are the member number and the last eight digits are the customer number. If the simulated transaction code of the customer is 000 1000 1535, the membership number is 000 1 and the customer number is 0000 1535.
Article 9 Members and customers who meet the requirements of the Exchange may apply for customer numbers for different purposes such as hedging, arbitrage, speculation and market trading. Customers who open accounts in different members have the same customer number. Unless otherwise stipulated by the exchange.
Article 10 Commercial banks, securities companies, fund management companies, qualified foreign institutional investors and other special legal persons who need to manage their assets separately according to laws, administrative regulations, rules and relevant provisions may apply to the Exchange for opening simulated trading codes for the assets they manage separately.
Article 11 When applying for opening an account, a special legal person institution shall submit relevant application materials in accordance with the requirements of the Exchange, and guarantee the authenticity, accuracy and completeness of the materials provided.
Chapter V Simulation of Trading Contracts
Article 12 A stock index option contract refers to a standardized contract uniformly formulated by the exchange, which stipulates that the buyer has the right to buy or sell the agreed underlying index at a specific price at a certain time in the future.
Article 13 Stock index option contracts are divided into call option contracts (hereinafter referred to as call options) and put option contracts (hereinafter referred to as put options).
Call option (also called call option) refers to the standardized contract that the buyer has the right to buy the target at a specific price at a certain time in the future.
Put option (also called put option) refers to a standardized contract in which the buyer has the right to sell the target at a specific price at a certain time in the future.
Article 14 According to the relationship between the exercise price of options and the current target price, options can be divided into real options, flat options and virtual options.
Real options refer to call options with exercise price lower than the current target price and put options with exercise price higher than the current target price.
Equal rights refer to call options and put options whose exercise price is equal to the current target price.
Virtual options refer to call options with exercise price higher than the current target price and put options with exercise price lower than the current target price.
Article 15 The main clauses of a stock index option contract include: contract object, contract multiplier, contract type, quotation unit, minimum price change, maximum daily price fluctuation limit (also called daily price fluctuation limit), contract month, exercise price range, exercise method, trading time, last trading day, expiration date, delivery method, trading code, listed exchange, etc.
Article 16 The simulated trading product of stock index options is the Shanghai and Shenzhen 300 stock index options contract, and the subject matter of the contract is the Shanghai and Shenzhen 300 index compiled and published by China Securities Index Co., Ltd. ..
Article 17 The trading code of the CSI 300 stock index option contract is IO, and the contract code is IO YMM-C/P-XXXX, where YMM is the contract month, C is the call option, P is the put option, and XXXX is the exercise price.
Article 18 The Shanghai and Shenzhen 300 stock index option contracts shall take points as the quotation unit.
Article 19 The contract multiplier of the CSI 300 stock index option contract is RMB 65,438+000 per point.
Article 20 The minimum change price of the CSI 300 stock index option contract is 0. 1 point.
Article 21 The contract months of the CSI 300 stock index option contract are the current month, the next month and the next quarter. Seasons and months refer to March, June, September and 65438+February.
Article 22 The last trading day of the CSI 300 stock index option contract is the third Friday of the expiration month of each contract, and the last trading day is the expiration date. If the last trading day is a national legal holiday or is not traded due to abnormal circumstances, the following trading day shall be the last trading day.
Article 23 The trading hours of the Shanghai and Shenzhen 300 stock index option contracts are 9:15-1:30 (first quarter) and13: 00-15:15 (second quarter). The trading hours of the last trading day are 9:15-1:30 (first quarter) and 13: 00- 15: 00 (second quarter).
Article 24 The daily increase and decrease of the Shanghai and Shenzhen 300 stock index option contracts shall be limited to 10% of the closing price of the Shanghai and Shenzhen 300 stock index on the previous trading day.
The daily up (down) stop price of the CSI 300 stock index option contract is the settlement price of the previous trading day plus (minus) 65438+ 00% of the closing price of the CSI 300 index of the previous trading day. If the calculation result is less than the minimum change price, the minimum change price shall be the daily limit price. If the calculated daily limit of the put option is higher than its strike price, the strike price shall be taken as the daily limit.
Article 25 The trading unit of the Shanghai and Shenzhen 300 stock index option contracts shall be the hand, and the option trading shall be conducted in an integer multiple of the trading unit.
Article 26 The distance between the exercise price of the Shanghai and Shenzhen 300 stock index option contracts in the current month and the next two months is 50 points, and the distance between the exercise prices of the contracts in the next two quarters is 100 points.
Article 27 The exercise method of the Shanghai and Shenzhen 300 stock index option contracts is European. The exercise date and expiration date are the same day.
Twenty-eighth Shanghai and Shenzhen 300 stock index options contract expires in cash.
Chapter VI Simulation of Trading Business
Article 29 A customer may apply to the Exchange for a customer number to participate in the simulated trading of stock index options.
Article 30 The simulated trading orders of stock index options are divided into other orders stipulated by limit orders and the Exchange.
Article 31 A limit order refers to an order to close a transaction at a limited price or a better price. Limit orders must be sold at or below their limit price when buying; When selling, the transaction must be made at a price equal to or higher than the limit price. The price limit order is valid on the same day, and the unfinished part can be revoked.
Article 32 The minimum order quantity of a limit order at a time is 1 lot, and the maximum order quantity is 100 lot.
Article 33 The simulated trading of stock index options adopts call auction and continuous bidding, and the trading rules such as call auction and continuous bidding are the same as those of stock index futures.
Article 34 The Exchange shall determine the Shanghai and Shenzhen 300 stock index option contracts listed and traded on the next trading day according to the following rules:
(1) The monthly exercise price of an equal option should be an integer multiple of the exercise price range closest to the closing price of the Shanghai and Shenzhen 300 Index on that day. If two values meet the above conditions, the smaller one is the exercise price of the fixed option.
(2) According to the exercise price range, there should be at least three flat option contracts in the current month and the next two months, and at least two flat option contracts in the quarterly month.
Trading ownership adjusts the number of open contracts according to market conditions.
Article 35 The benchmark price of a new listing contract shall be determined and published by the Exchange. The benchmark price is the basis for determining the price limit of the new contract on the first day of listing.
Chapter VII Simulation of Settlement Business
Article 36 Stock index option settlement refers to the business activities of calculating and distributing members' trading deposits, royalties, handling fees and other related funds according to the trading results of stock index option contracts and the relevant regulations of the exchange.
Article 37 The exchange shall implement a grading settlement system. Exchange and clearing members settle accounts, clearing members settle accounts with customers and trading members settle accounts with customers.
Article 38 All contracts signed in the trading system of the exchange must be settled through the exchange.
Article 39 When the buyer of stock index option opens a position, it shall pay the use fee according to the transaction price; When the buyer closes the position, the commission fee is charged according to the transaction price.
Article 40 When opening a position, the seller of stock index options shall collect the use fee according to the transaction price; When the seller of stock index options closes his position, he shall pay the commission fee according to the transaction price.
Article 41 At the time of settlement on the same day, the Exchange shall calculate the trading margin of the seller of stock index options according to the settlement price, exercise price and closing price of the underlying index on that day.
Article 42 The daily settlement price of a stock index option contract shall be the weighted average price of the last 1 hour transaction price on the day of the stock index option contract. The calculation result is reserved to 1 bit after the decimal point.
If there is no transaction on the day of the option contract or the calculated settlement price is obviously unreasonable, the exchange will determine the settlement price on that day.
Article 43 The Exchange shall collect the handling fee according to the number of transactions on that day and the prescribed standards. Transaction ownership adjustment fee standard.
Article 44 At the time of settlement on the same day, the part of the trading margin that exceeds the trading margin at the time of settlement on the previous trading day shall be deducted from the settlement reserve, and the part that is lower than the trading margin at the time of settlement on the previous trading day shall be included in the settlement reserve.
The collection or payment of royalties will increase or decrease the settlement reserve accordingly.
Handling fees, taxes and other expenses are deducted from the settlement reserve.
Article 45 The specific formula for calculating the balance of settlement reserve is as follows:
Balance of provision for settlement on the current day = balance of provision for settlement on the previous trading day+trading deposit on the previous trading day-trading deposit on the current day+handling fee charged on the current day+profit and loss on the current day+deposit and withdrawal-handling fee, etc.
Chapter VIII Business Simulation of Trading Exercise
Article 46 The buyer of stock index options has the right to choose whether to exercise within the specified time. For options that meet the exercise conditions, the seller is obliged to settle the cash difference at the stipulated settlement price and settle the expired open position contract.
If the customer chooses to exercise the right, he shall apply to the exchange for exercising the right through the members.
Article 47 A member shall submit an application to the Exchange within the specified time entrusted by the client. If the position that meets the exercise conditions does not apply for waiver of exercise, the exchange will exercise the right automatically. If the position does not meet the exercise requirements, the customer's exercise application will be considered invalid.
Article 48 On the last trading day, the Exchange shall handle the buyer's position of the expired stock index option contract as follows:
(1) The real option whose actual value is greater than the exercise fee of the option contract stipulated by the Exchange shall be regarded as the buyer's application for exercise, except that the buyer applies for waiver of exercise before the time stipulated by the Exchange;
(2) The Exchange shall not exercise the rights applied by the buyers of virtual options, flat options and real options whose actual value is less than or equal to the exercise fees stipulated by the Exchange.
The expiration date of stock index option contract is judged by its exercise price and delivery settlement price. The real value of call option is: max ((delivery settlement price-exercise price of stock index option contract) × contract multiplier, 0); The real value of put option is max ((exercise price-settlement price of stock index option contract) × contract multiplier, 0).
Article 49 For positions held by buyers and customers who meet the exercise conditions, the Exchange shall select the corresponding positions of sellers and customers according to the proportion of positions. If the same customer holds a trading position in an option contract of the same member, the selling position will participate in the exercise after deducting the number of buying positions that apply for waiver of exercise.
Article 50 The settlement price of a stock index option contract shall be the arithmetic average price of the last two hours of the underlying index on the last trading day. The calculation result is reserved to 2 decimal places.
The ownership of the transaction adjusts the settlement price of delivery according to market conditions.
Article 51 The gains and losses of the exercise of stock index option contracts shall be included in the profits and losses of the day. Profits are included in the settlement reserve, and losses are deducted from the settlement reserve.
Gain and loss of stock index option contract exercise = ∑ [(settlement price-exercise price) × call option contract exercise quantity× contract multiplier]+∑ [(settlement price-exercise price )× call option contract exercise quantity× contract multiplier]-∑ [(exercise price-exercise price )× call option contract exercise quantity× contract multiplier]-∑ [(exercise price-delivery)
Article 52 The Exchange shall collect exercise fees according to the exercise quantity of the stock index option contract on that day and the prescribed standards.
The transaction ownership adjusts the exercise fee standard according to the market situation.
Chapter IX Simulated Trading Risk Management
Article 53 The simulated trading of stock index options shall be subject to the margin system. Buyers of stock index option contracts do not need to pay trading margin. The calculation formula of the seller's trading margin of stock index options is as follows:
Trading margin of each call option = (settlement price of stock index option contract on the current day × contract multiplier) +max (closing price of the current day × contract multiplier × adjustment coefficient of stock index option contract margin-imaginary amount, minimum guarantee coefficient × closing price of the current day × contract multiplier × adjustment coefficient of stock index option contract margin).
Trading margin of each put option = (settlement price of stock index option contract on the same day × contract multiplier) +max (closing price of underlying index on the same day × contract multiplier × adjustment coefficient of stock index option contract margin-imaginary amount, minimum guarantee coefficient × exercise price of stock index option contract × contract multiplier × adjustment coefficient of stock index option contract margin).
Among them, the margin adjustment coefficient of Shanghai and Shenzhen 300 stock index option contracts is 15%, and the minimum guarantee coefficient is 0.667. The imaginary value of call option is max ((exercise price of stock index option contract-closing price of the underlying index on the same day) × contract multiplier, 0); The imaginary value of the put option is max ((the closing price of the underlying index-the exercise price of the stock index option contract) × contract multiplier, 0).
After the transaction is completed, the exchange collects the trading margin from the seller according to the trading margin of each contract and the number of put option contracts.
Fifty-fourth stock index options simulation trading to implement the price limit system. The range of price limit is set by the exchange, and the exchange can adjust the range of price limit according to market conditions.
Article 55 The simulated trading of stock index options shall be subject to the position limit system. The customer's unilateral position limit for a certain contract series is 1800 lots. Hedging transactions, arbitrage transactions and market-making transactions are not subject to the position limit.
Position limit refers to the maximum number of unilateral positions held by customers in a certain contract series as stipulated by the exchange.
Contract series refers to the collection of all contracts of the same option product within a contract month.
When the same customer opens positions in different members, the total number of unilateral positions in a contract series shall not exceed the position limit of the customer.
Unilateral positions are calculated according to the sum of the positions of call options and put options, and the sum of the positions of call options and put options.
Article 56 A large position declaration system shall be implemented for simulated trading of stock index options. The exchange may announce the standard of position declaration according to the market risk.
Members or customers whose positions meet the reporting standards or requirements set by the Exchange shall fulfill their reporting obligations in accordance with the provisions on risk management of the Exchange.
Article 57 A risk early warning system shall be implemented for simulated trading of stock index options. When the Exchange deems it necessary, it may take one or more measures, such as asking for a report, reminding in conversation, warning in writing, and issuing a risk warning letter, separately or simultaneously, to warn and resolve risks.
Chapter X Handling of Violation of Rules
Article 58 Simulation members and customers shall participate in this simulation trading activity on the principle of active participation and honest trading, and shall not commit any of the following violations:
(1) Simulated members persuade customers to use simulated transaction price information to bet on real funds;
(2) Manipulating market transaction prices;
(3) Other circumstances that violate the provisions of the Exchange or the principle of good faith.
Article 59 If a simulated trading member or customer is suspected of violating the rules, the Exchange may take the following temporary measures against the investigated person in order to prevent the consequences of violation from further expanding and ensure the implementation of the handling decision:
(1) Suspension of accepting applications for opening new simulated trading codes;
(2) Restrict deposits;
(3) restricting withdrawals;
(4) Limit the opening of positions.
(5) reduce the position limit;
(6) Closing positions within a time limit.
Article 60 If a simulated member or customer violates the regulations of the Exchange, he shall be ordered to make corrections, and may take measures such as talking reminder, written warning, informed criticism, public condemnation, restriction of opening positions, suspension of trading, cancellation of simulated trading qualification, suspension or restriction of business, adjustment or cancellation of simulated trading membership, etc. According to the seriousness of the case.
Chapter II XI Supplementary Provisions
Article 61 The right to interpret these Rules belongs to China Financial Futures Exchange.
Article 62 These Rules shall be implemented as of 20 13 1 1.8.