Futures is a trading contract that is bought and sold in advance at an agreed price. Futures trading is divided into speculation and delivery. Speculation earns the difference by buying low and selling high or buying high and selling low. Delivery is a transaction that is executed in the future by locking the transaction price in advance. Taking gold futures as an example, the price of gold is 12 1 1 USD/oz. Party A and Party B signed a gold futures contract with the delivery date of 20 16070 1. If the price of gold reaches 16070 1300 USD/oz, it will still be 12 1 1. The subject matter of commodity futures is physical objects, such as crude oil, gold, silver, copper, aluminum, sugar, wheat and rice. The subject matter of financial futures is non-physical, such as stock price index, interest rate and exchange rate. And stock index futures are futures contracts with the stock price index as the subject matter. Popular understanding is a price quiz game with the stock price index as the object, which can buy up or down. Bulls are called bulls and bears. Both the bull and the bear pay a margin of 10%- 15% to buy and sell stock index futures contracts, and then calculate the profit and loss according to the price of 300 yuan at each index point. Every time the index rises by one point, the bulls gain 300 yuan and the bears lose 300 yuan. Every time the index drops by one point, the bears gain 300 yuan and the bulls lose 300 yuan. For example, the Shanghai and Shenzhen 300 Index at 20 160302 13:00 is 3,000 points, and the price is expected to rise. Then I buy a first-class stock index futures contract, and the deposit occupied is 3,000 * 300 *10% = 90,000 yuan, 20/kloc-0. Then the profit is (3030-3000)* 300 = 9000 yuan. This 300 yuan/point is called the price multiplier, and the price multiplier varies from country to country. At present, there are stock index futures in more than 40 countries in the world, including US Standard & Poor's 500 stock index futures of US$ 250, NASDAQ 100 index futures of US$ 0/00 and Frankfurt index futures of US$ 5. London Financial Times 100 Index Futures is 25 pounds, and Hong Kong Hang Seng Index Futures is 50 Hong Kong dollars. At present, there are three kinds of stock index futures contracts in China, namely Shanghai and Shenzhen 300 stock index futures IF, CSI 500 stock index futures IC and SSE 50 stock index futures IH. Each stock index futures has four contracts according to different time, one for the current month, one for the next month and two for the quarterly month. For example, the currently listed Shanghai and Shenzhen 300 stock index futures contracts are IF 1604, IF 1605, IF 1606, IF 1609, and IF 1604 is the contract of the current month, which means 20 16. IF 1605 is the contract for next month, referring to the contract delivered on the third Friday of May 20 16, and IF 1606 is the contract for the current season, referring to the contract delivered on the third Friday of June 20 1609, referring to the contract for the next season. Refers to the main characteristics of contract stock index futures delivered on the third Friday of September 20 16. The Shanghai and Shenzhen 300 Index is the most important index of stock index futures. It comprehensively sorts 2,800 stocks in Shanghai and Shenzhen stock markets according to their daily average trading volume and daily average total market value, and selects the top 300 stocks as samples. A real-time stock price index based on the market value of these 300 constituent stocks on June 5438+February 365438 +0, 2004. For example, the Shanghai and Shenzhen 300 Index was 3000: 20 1 1 as of March 2, which means that the 300 points were 1. The total market value of the Shanghai and Shenzhen 300 Index accounts for about 50% of the total market value of the two cities. In addition, CSI 500 Index and SSE 50 Index are also the target index trading hours of stock index futures from Monday to Friday, from 9: 30 am to 1 1: 30 am and from 13: 00 pm to 15: 00 pm. For example, the 20 160302 Shanghai and Shenzhen 300 Index is 3,000 points, and the corresponding contract value is 3,000 points *300 yuan/point = 900,000 yuan. The margin ratio for buying and selling first-hand stock index futures contracts is 65,438+00%-65,438+05% of the contract value. If the Shanghai and Shenzhen 300 Index reaches 3,000 points, it is equivalent to a handling fee of 90,000-135,000 yuan, which is about 0.7% of the contract value under normal circumstances, and can be increased to 23% under abnormal circumstances. For example, the Shanghai and Shenzhen 300 Index is 3600 points, and the handling fee is 0.7%, that is, 3600*300*0.00007=75 yuan. Since 20 150907, the handling fee has been adjusted to 23/10000. At that time, the Shanghai and Shenzhen 300 index was 3250 points. At this moment, buying and selling a hand of Shanghai and Shenzhen 300 index futures needs to pay a handling fee of 3250 * 300 * 0.00023 = 2240 yuan, which is about 30 times higher than the highest price limit of the closing price of the previous trading day 10%. The leverage ratio assumes that the Shanghai and Shenzhen 300 Index is 3,000 points at 20 160302 13:00, and the price is expected to rise, so I bought a Shanghai and Shenzhen 300 stock index futures contract, and the margin occupied is 3,000 * 300 *10% = 90,000 yuan, 20/kloc. Then the profit is (3030-3000)*300=9000 yuan. Compared with the initial investment of 90,000 yuan, my rate of return is 10%, while the Shanghai and Shenzhen 300 Index only rose by 1%, which is 10 times leverage. When the margin ratio is 40%, the leverage is 2.5 times that of both sides. You can also buy short (technical term: short), as long as you can accurately judge the future direction of the index, buying up is called long, and buying down is called short. As long as you open your position on the day of the trading period, you can close your position on the same day, instead of waiting until the next day, and the stock is called T+ 1, and you can't sell it until the next day. The process of liquidation is called liquidation, which is similar to selling. After buying up, the corresponding liquidation instruction is selling liquidation, and after buying down, the corresponding liquidation instruction is the total number of contracts established by bulls and bears on the trading day of buying liquidation (unit: hand). For example, the turnover of 20 160302 IF 1603 contract is 24500 lots. In 20 15, the total trading volume of Shanghai and Shenzhen 300 stock index futures was 277 million lots, up 27% year-on-year, and the average daily trading volume was 1 1300 lots = trading volume * contract value. For example, the average contract price of 20 160302 IF 1603 is 3000 points. Its turnover is 24,500 lots * (3,000 points *300 yuan/point) = 22 billion yuan. In 2065,438+05, the total turnover of Shanghai and Shenzhen 300 stock index futures was 3,465,438+0 trillion yuan (accounting for 665,438+0% of the domestic futures market), with a year-on-year increase of 65,438+009% and an average daily turnover of 654,39. For example, 20 160302 IF 1603 contracts hold 38,700 lots, and the average daily positions of Shanghai and Shenzhen 300 stock index futures on 20 15 are 6.5438+0.3 million lots, occupying (bilateral) margin of about 45 billion yuan, corresponding to the stock market value of about 6.5438+0.55. Basis = futures price-spot price, where the futures price is higher than the spot price, it is called positive basis, and the futures price is lower than the spot price, it is called negative basis. In 20 15 years, the average basis between the main futures contract and the spot index of Shanghai and Shenzhen 300 stock markets is 1.5%, which is due to the limited domestic securities lending, resulting in the lack of correlation of the arbitrage mechanism of securities lending. As the futures of the CSI 300 Index will be delivered on the third Friday of each month, and the arithmetic average price of the CSI 300 spot index two hours before the deadline of 15:00 is taken as the delivery settlement price, no matter how big the basis difference between the futures and the spot is, the futures of the CSI 300 Index will eventually converge to zero, resulting in the correlation coefficient between the futures and the spot reaching above 0.99, which has a strong correlation, just like the relationship between the owner and the puppy when walking. Sometimes it is behind the owner, but the final direction is that the trading code determined by the owner is IF for the Shanghai and Shenzhen 300 stock index futures, IC for the CSI 500 stock index futures, and IH Exchange and China Financial Futures Exchange (hereinafter referred to as CICC) for the SSE 50 stock index futures.