Like the stock market, stock index futures also have price limits. CICC stipulates that the price of Shanghai and Shenzhen 300 index futures should be limited to10% of the settlement price of the previous trading day. It should be noted that the settlement price is used instead of the closing price!
For example, on a certain day, the index closed at 3200 points and the settlement price was 3220 points. If the price limit is 10%, the price limit points are 3220× (1+10%) = 3542, and the price limit points are 3220× (1-65442).
Similarly, the rise and fall of Shanghai and Shenzhen 300 index futures are also calculated based on the settlement price of the previous day of the trading contract. For example, the Shanghai and Shenzhen 300 index fell by 2.49% yesterday, but the decline of the Shanghai and Shenzhen 300 index futures is not necessarily 2.49%, because the trend of spot and futures will not be the same, and their calculation reference will be different.
What's the settlement price? According to the existing rules of CICC, the settlement price of the day refers to the weighted average price of the trading volume of the futures contract in the last hour. If there is no transaction in the last hour and the price is on the price limit, the price of the price limit shall be taken as the settlement price of the day; If there is no transaction in the last hour, and the price is not within the price limit, the weighted average price of the volume in the previous hour will be taken. If there is still no deal during this period, push it forward for another hour. By analogy, if the trading time is less than one hour, the weighted average price of the whole period will be taken.
The closing price is the final transaction price. For example, the closing price is used to limit the price of a stock. Why is the futures market so troublesome that the settlement price is needed?
This is to prevent speculative large funds from deliberately pulling up or smashing in the late session, resulting in price deviation and market instability. Because some varieties of futures are relatively small, they are easy to pull or smash. More importantly, futures are margin transactions with high capital utilization rate. The same money is easier to pull or smash in the futures market than in stocks.
2。 Volume and position
In futures trading, the change of volume and position are two important factors to judge the market operation law. Here, let's first define the concepts of volume and position. Open interest contract is the accumulation of all open interest contracts in futures or options contracts, and it is a sign of the activity and liquidity of the futures market. When the price reaches or approaches a specific price, it will affect the buying and selling ability of investors. Open positions can be used as a warning tool in the futures market. Simply put, the opening amount can be calculated as follows: if a new buyer trades with a new seller, the opening amount will increase by one unit. If a trader who already holds a long position transfers it to another new trader who wants to hold a long position, the position will remain unchanged; If a trader who holds a long position hedges with a trader who tries to close the original short position, the position will be reduced by one unit.
Volume is the cumulative turnover of futures or options contracts in a specific period, which is usually used to record the trading situation on the trading day. In most cases, investors will not trade in markets with extremely low turnover and positions. In other words, low turnover and open positions indicate that this is a illiquid market. Because in such a market, the better point and timeliness will be greatly reduced. Similarly, an overactive market may keep traders from feeling the pulse.