The so-called "delivery day curse" means that the trading volume and volatility of futures and spot will increase significantly on the settlement date of stock index futures. The reason for this is that stock index futures are delivered in cash, and arbitrage trading and position shifting trading will occur on the same day, causing fluctuations in the spot market. The most obvious performance is that the spot market has fallen sharply.
Delivery: Spot transaction between the seller and the buyer of a futures contract. All exchanges have stipulated the specific steps of spot commodity delivery. Some futures contracts, such as stock index contracts, are delivered in cash.
Delivery date:-the date when both parties agree to exchange foreign exchange. According to the regulations of the Chicago Board of Trade, the delivery date is the third day in the delivery process. The settlement company of the contract buyer must deliver the delivery notice together with the fully confirmed cheque to the settlement company office of the contract seller on the delivery date. Futures delivery means that your futures contract expires, and you must make physical delivery. That is, when futures contracts expire, they need to perform their duties according to the laws stipulated in the contracts. The seller must deliver the goods and the buyer must pay the full payment. Generally used for legal persons!
The curse of delivery date is a common "due date effect" in overseas markets. In mature markets, the "three witch effects" often occur, that is, stock index futures and options will have some unusual trading phenomena when they expire. It is found that at the last 1 hour of the simultaneous expiration date of all index derivatives contracts, there will be unusually large trading volume and small stock price fluctuation. In the last half hour before the closing of the maturity date, S&; The trading activity of P500 stock decreased significantly at the opening stage of maturity date, but increased significantly. It is worth mentioning that before China officially launched stock index futures, Singapore rushed to launch Xinhua FTSE A50 stock index futures. Even thousands of miles away, A50 futures still had an impact on A shares on the delivery date. Among them, in the last bull market, several sharp falls that investors remembered deeply, such as "2.27", "5.30" and "6.27", were all related to the due delivery of FTSE A50 index futures contracts in Singapore to some extent. A50 is highly correlated with the SSE 50 Index, and the impact of the delivery date on A shares earned it the nickname "A50 curse".
According to the relevant regulations, the methods of determining the final settlement price of stock index futures in various countries can be divided into two ways: single price and average price, while the settlement price of stock index futures in China is the arithmetic average price of the last two hours of the last trading day of Shanghai and Shenzhen 300 Index, and the maturity effect is relatively weak compared with the single price. The arbitrageurs who hold the spot need to clear their positions at the futures settlement price on the maturity date in order to complete the arbitrage. If there are more arbitrage traders, the selling pressure in the spot market will be concentrated at the same time, which will put downward pressure on the spot index.
Historically, if the position before the delivery date is not reduced, the price difference between near and far months will change, indicating that there may be funds to "act" on the delivery date, and the initiator is often the dominant party, which may rise or fall sharply. Compared with stock index futures, on the settlement date of stock index futures, the volume and volatility of the underlying index increased significantly, which is the expiration of the delivery period of stock index futures. The fundamental reason for the maturity effect is that the stock index futures are settled by cash delivery, and the interaction of arbitrage liquidation, hedging transfer and speculative traders' desire to manipulate the settlement price has produced the maturity effect on the final settlement date.
Because China's "Securities Exchange Law" stipulates that stocks cannot be sold short, and arbitrage trading will only occur when the stock index futures price is higher than the spot price. Arbitrage traders sell stock index futures and buy spot. For arbitrageurs who still hold the spot on the futures maturity date, they need to clear their positions according to the futures settlement price. If there are more arbitrage traders, the selling pressure will be concentrated at the same time, which will put downward pressure on the index. For hedgers, short contracts need to be transferred to other months when the contract is about to expire, so the price of futures contracts will be under certain pressure one month before the contract expires, and the price discovery effect of futures will affect the transmission to the spot index. The speculators in this contract hope to make the spot price develop in a more favorable direction as far as possible on the final settlement date, so as to achieve the purpose of making profits or reducing losses, so the speculators have the willingness to manipulate the price on the last trading day.
Under the influence of the above different factors, the trading volume, volatility and yield of stock index futures on maturity date are obviously different from the average level. According to statistics, the return on investment of stocks bought on the maturity date of stock index futures is higher than the average level of other trading days; Buying stocks from the first half of the expiration date of stock index futures is higher than buying stocks in the second half. From the statistical results, the expiration date of stock index futures has a depressing effect on spot prices.
For some stock investors, several trading days after the expiration of stock index futures can be regarded as a good time to buy stocks. Similarly, there is a slight premium for selling stocks between the maturity dates of two stock index futures. At the same time, stock investors should pay attention to the number of dates with positive arbitrage space this month, whether there is a substantial increase in positions on trading days with arbitrage space, and whether there are more empty orders held by institutions when conditions permit. These factors may put some pressure on the spot index of stock index futures.
In order to prevent the settlement price from being manipulated, CICC sets the settlement price of stock index futures at maturity date as the arithmetic average price of the last two hours of the last trading day of the underlying index, and has the right to adjust the settlement price of stock index futures according to market conditions. Due to the long time span and the scattered weight of constituent stocks, the probability of being manipulated is greatly reduced. At the same time, CICC sets the settlement date of stock index futures as the third Friday of each month, which avoids other factors that may cause spot fluctuations, such as end-of-month effect and end-of-season effect. CICC has fully considered the impact of the expiration effect of stock index futures, but how much impact the expiration effect of stock index futures has on the spot needs to be proved by the market.
Judging from the delivery date of the May contract, on Friday, May 2 1, the due delivery date of our IF 1005, Nasdaq and others closed a Dayang line in the early morning, and the Shanghai stock market opened lower and the Shenzhen stock market opened higher, rising by 27.5% and 263.52% respectively. The transaction volume in both places has increased. Basically, the delivery of the 05 contract has had a certain impact on the market, but it can be said that the impact is very small. Last Friday, the contract had only 480 lots. After all, it's only been a month since it was launched, and few people do it, and the plates are too small. Therefore, the first domestic stock index futures delivery date did not show obvious delivery date effect.