Introduction of common foreign index futures contracts
The emergence and development of Hong Kong Hang Seng Index futures contract
The emergence and development of Japanese stock index futures
Analysis on the experience of Korean stock index derivatives market
The Development of Financial Futures Option Market in Taiwan Province
How is the Shanghai and Shenzhen 300 Index compiled?
What are the main components of the Shanghai and Shenzhen 300 Index?
What is the contract size? What is a contract multiplier?
How much margin does the Shanghai and Shenzhen 300 index futures charge?
Is there a price limit in the contract?
What is the fuse mechanism?
How are the daily opening and closing prices determined?
How is the daily settlement price determined?
How is the final settlement price determined? Why not use the closing price?
What is the minimum change unit of the contract?
How many months has the contract been on the market?
When is the last trading day of the contract?
Is the daily trading time of stock index futures the same as that of the stock market?
I. Major stock index futures listed overseas
1. List of major global stock index futures contracts
The opening time of stock index futures contracts and the opening of exchanges.
American Value Line Index Futures (VLF) 1982.2 Kansas Futures Exchange (KCBT)
Value Line Index Futures (VLF) 1982.2 Kansas Futures Exchange (KCBT)
Value Line Index Futures (VLF) 1982.2 Kansas Futures Exchange (KCBT)
Value Line Index Futures (VLF) 1982.2 Kansas Futures Exchange (KCBT)
Value Line Index Futures (VLF) 1982.2 Kansas Futures Exchange (KCBT)
Value Line Index Futures (VLF) 1982.2 Kansas Futures Exchange (KCBT)
Toronto 50 Index Futures 1987.5 London International Financial Futures Exchange (LIFFE)
Financial Times 100 Index Futures (FTSE 100) 1984.5 London International Financial Futures Exchange (LIFFE)
Association of French Securities Dealers 40 Stock Index Futures (CAC-40) 1988.6 French Futures Exchange (MATIF)
Germany German Stock Index Futures (DAX-30) 1990.9 Deutsche B? rse (DTB)
Swiss Swiss Stock Index Futures (SMI) 1990.5438+0 1
The EOE index of Amsterdam stock index futures in the Netherlands is 1988. 10 Amsterdam Financial Exchange (FTA).
Eurotop 100 index futures (Eurotop100)1991.6 Dutch options exchange (EOE).
Spain Spain Stock Index Futures (IBEX35) 1992. 1 Spanish Derivatives Exchange (MEFFRV)
Sweden Sweden Stock Index Futures (OMX) 1989 38+02
Austrian-Austrian Stock Index Futures (ATX) 1992.8
Belgium Belgian Stock Index 20 Futures (BEL 20) 1993.9
Denmark Danish Stock Index Futures (KFX) 1989+02
Finland Finnish index futures (FOX 1988.5
Japan Nikkei 225 Index Futures (Nikkei 225) 1988.9
Osaka Stock Exchange (OSE) Topix1988.9 Tokyo Stock Exchange (TSE)
Singapore Nikkei 225 Index Futures (Nikkei 225) 1986.9 Singapore Financial Futures Exchange (SIMEX)
Morgan World Index Futures (NISCI) 1993.3 Singapore Financial Futures Exchange (SIMEX)
Hong Kong Hang Seng Index Futures (HIS) 1986.5 Hong Kong Futures Exchange
Korea Korea 200 Index Futures (kops 200) 1996.6 Korea Futures Exchange (KFE)
Taiwan Province Taiwan Province Composite Index Futures (TX) 1998.7 Taiwan Province Futures Exchange (TAIMEX)
Australian Common Stock Index Futures (all common stocks) 1983.2 Sydney Futures Exchange (SFE)
New Zealand New Zealand 40 Index Futures (NZSE 40) 199 1.9
2. Introduction of common foreign index futures contracts
Target name SP500
Dow Jones industrial average
Nasdaq 100
FTSE 100
Standard & Poor's 500 Index
Index futures
Dow Jones industrial average futures
Nasdaq 100
Index futures
Financial Times
Index futures
exchange
CBOT Chicago mercantile exchange
commodity code
SP DJ ND FTSE- 100
Minimum variable price
0. 1 point (USD 25) 1 point (1USD 0) 0.5 point (USD 50) 0.5 (GBP 5)
Commodity price stipulated in the contract
$250 * SP 10 * DJ 100 * Nd 10 * FTSE- 100.
Transaction month
Three, six, nine, twelve three, six, nine, twelve three, six, nine, twelve three, six, nine, twelve.
last trading day
The third day of the contract month
The third Thursday of the contract month.
The third Thursday of the contract month.
Thursday
Target name E-mini SP500
Electronic mini DJ
Mini Nasdaq 100
the Nikkei 225 index
Mini Standard & Poor's 500 Index Futures
Mini Dow futures
Mini Nasdaq index futures
the Nikkei 225 index
exchange
CME CBOT CME SIMEX
commodity code
It's YM NQ SSI
Minimum variable price
0.25 point ($ 12.5) 1 point ($5) 0.5 point ($ 10) 5 point (￥ 2,500).
Commodity price stipulated in the contract
$50 * SP $5 * YM $20 * NQ 500 yuan *SSI
Transaction month
Three, six, nine, twelve three, six, nine, twelve three, six, nine, twelve three, six, nine, twelve.
last trading day
The third day of the contract month
The third Thursday of the contract month.
The third Thursday of the contract month.
Thursday is the business day before the second Friday of the contract month.
3. The emergence and development of Hong Kong Hang Seng Index futures contracts.
Hong Kong Hang Seng Index futures contract trading started on May 6th, 1986 at/kloc-0. Stock index futures contracts are based on Hang Seng Index and its four sub-indices: real estate, public utilities, finance and industry and commerce. The contract is divided into four months, namely the current month, the next month and the last two quarters. The month is April, so the contract is divided into Hang Seng Index in April, Hang Seng Index in May, Hang Seng Index in June and Hang Seng Index in September. After the cash delivery of the April contract, the contract becomes a May contract, a June contract, a September contract and a 65438+February contract, and then repeats. The contract value is equal to the current settlement price of the contract multiplied by HK$ 50. The emergence and development of Hang Seng index futures contracts can be roughly divided into three stages, namely, the emergence and rapid development of Hong Kong stock index futures, the institutional reform stage and its steady development stage.
The first stage:1May 1986 to 19871October, summarized as the emergence, rapid development and trading crisis of stock index futures. From 1982 to 1987, the world stock price index was in a period of vigorous development. Under the good background of the great development of world stock index futures, Hong Kong Futures Exchange successfully launched Hang Seng Index futures trading in May 1986. In just over a year after the listing of the Hang Seng Index futures contract, futures trading flourished and developed rapidly. The average daily transaction volume in May of that year was 1800, and the transaction volume in 1987 10/0 exceeded 25,000. 1987 10/6, the transaction volume reached a record high, reaching 40,000 transactions. 19871October 19, the American Wall Street stock market plunged nearly 23% in a single day, which triggered a financial storm in which the global stock market plunged, namely the famous "Black Friday". 19871in the middle and late October, the Hong Kong stock market could not avoid a serious stock market crash for four consecutive days, and stock index futures experienced the first trading crisis. Due to the insufficient ability of the Hong Kong Futures Exchange to deal with the risks of counterparties and the insufficient guarantee services provided by the futures guarantee companies at that time, the Hang Seng Index plummeted by more than 420 points, so the Hong Kong Futures Exchange had to raise the margin and expand the price range of suspension, and the futures index quickly fell. Many members need to replenish the performance bond in time due to large-scale losses, but they are unable to pay it, resulting in the deposit being insufficient to pay the settlement amount, and the debt is as high as hundreds of millions of Hong Kong dollars. 1On October 20th, the Dow Jones index in new york plunged. In view of the default of several Hang Seng Index futures contracts, the Hong Kong Stock Exchange and the Futures Exchange announced a four-day suspension.
The second stage: the Hong Kong Futures Exchange was forced to reform. 1987 10, the US stock market crash triggered a global stock market crash. After four days of tragic decline, stock index futures trading fell into a serious crisis. In order to cope with the serious debt risk caused by the huge margin shortage at that time, especially to prevent the potential delivery crisis in future futures trading, the Hong Kong Futures Exchange began to carry out drastic reforms on the settlement and guarantee system.
When the Hong Kong Futures Exchange launched the stock index futures contract, the earliest settlement task was entirely undertaken by the clearing house, which supervised the transactions of members and monitored the possible trading risks of members. On the other hand, members manage their customers' transactions and are responsible for monitoring their trading risks. Members implement the reliable procedures of the clearing house, but fail to perform the guarantee function or obligation, that is, they cannot guarantee that customers can pay any open contract deposit. 1987 10 after the delivery crisis, the reform of settlement system was put on the agenda. 1987126 October, the Hong Kong Futures Exchange made a decision to rescue the market, that is, the Hong Kong government contributed 50% and the major banks and securities firms contributed 50% to raise a standby loan of HK$ 2 billion (later increased to HK$ 4 billion) from the Hong Kong Futures Guarantee Corporation, so as to enhance its ability to resist risks and ensure the performance of all futures contracts of the Hong Kong Futures Exchange. After that, the guarantee company used about HK$ 2 billion in reserves to deal with the1800 million open contracts of brokers who failed to perform the contracts. However, the government later stipulated that the loan would be repaid by recovering the arrears of members who failed to fulfill their obligations and the special levy on futures contracts and all stock transactions. By imposing a special tax to repay the delivery debt, the bail-out loan is invisibly passed on to investors.
Subsequently, the futures exchange continued to carry out a series of reforms to strengthen its ability to resist risks and strengthen its function of monitoring market risks. The reform has three main points. First, members are divided into four grades. Brokers who only buy and sell for themselves are classified as the first category, brokers who trade on their own behalf with exchange member customers are classified as the second category, brokers who trade on behalf of non-member customers are classified as the third category, and brokers with underwriting rights are classified as the fourth category. According to the risks, the Exchange will increase the equity requirements of trading broker members. Through this reform, every kind of brokerage member should always monitor the financial situation of customers, and members should also bear the risk that customers may default on their deposits. Secondly, through the reform, a reserve fund of HK$ 200 million has been set up to replace the previous guarantee company. The clearing company of the futures exchange can use this fund to directly pay the deposit owed by the members of the brokerage firm, so as to timely resolve the market transaction and delivery risks. Third, another result of the reform is the reorganization of the clearing house. In order to more strictly ensure the security and liquidity of the development deposit deposited by the members of the securities firm, through this reorganization, the clearing company will be merged into a subsidiary of the futures exchange to complete the settlement tasks of daily transactions and delivery, which is more convenient for the futures exchange to control risks and deal with crises in time.
The third stage: the standardization and development of the financial futures market since the exchange reform. After a series of reforms, the trading activities of the Hong Kong Futures Exchange have gradually stabilized, and investors have regained their confidence in stock index futures trading. In this process, the market system and various systems have been improved, the market order has become more standardized, and the trading volume has been rising continuously, which provides reference and feasible experience for the establishment and future construction of Chinese mainland stock index futures.
Attachment: Hong Kong Hang Seng Index Futures Contract
Cross-reference
Hang Seng Index (compiled, calculated and issued by Hang Seng Index Services Limited)
Contract multiplier
HK$ 50.00 per minute
Contract month
The current month, the next month and the next two quarters (contract cost: the price of the Hang Seng Index futures contract registered by the clearing company (calculated by the complete index point).
Commodity price stipulated in the contract
Contract cost multiplied by contract multiplier
Minimum lattice amplitude
The lowest lattice amplitude is an exponential point.
Volume limit
Regardless of the long position or short position, the monthly position of Hang Seng Index Futures, Hang Seng Index Options and Small Hang Seng Index Futures is limited to ***delta 10000, and in any case, the long position or short position of Small Hang Seng Index Futures cannot exceed delta2000. When calculating the position limit, the position delta of each small Hang Seng Index futures is 0.2.
Pre-listing period
(Hong Kong time) 9: 00 a.m.15 to 9: 45 a.m. (the first transaction) and 2: 00 a.m. to 2: 30 p.m. (the second transaction).
trading hour
(Hong Kong time) 9: 45 am-0/2: 30 pm (part I) and 2: 30 pm-4 pm 15 pm (part II).
Trading hours of the last trading day
(Hong Kong time) 9: 45 ~ 12: 30 (first quarter trading), 14: 30 ~ 16: 00 (second quarter trading) Because the closing time of the spot market may change at any time, the closing time of the futures market must be automatically adjusted according to the change of the closing time of the spot market.
Trading method
Electronic automatic transaction
last trading day
Last second working day of each month
settlement method
Settle in cash
final settlement
The final settlement of the Hang Seng Index contract is decided by the clearing company, and the index point is lowered to the nearest integer index point based on the average value of the index points quoted by the Hang Seng Index every five minutes on the last trading day.
4. The emergence and development of Japanese stock index futures.
The development of Japanese stock index futures has gone through three obvious stages:
The first stage: from the early 1980s to 1987, stock index futures grew out of nothing driven by external factors. Japan opened its securities market in the early 1980s, allowing foreign investors to invest in the domestic stock market. But its stock index futures contract first appeared overseas. On September 3rd, 1986, the Nikkei 225 index futures were traded on the Singapore Financial Futures Exchange (SIMEX). According to the securities exchange law of Japan at that time, securities investors were prohibited from engaging in futures trading. Therefore, the Japanese securities market at that time did not have the legal conditions to launch stock index futures trading. Moreover, according to the securities exchange law at that time, domestic funds in Japan were forbidden to invest in the Nikkei 225 index of SIMEX, and only institutional investors in the United States and Europe used SIMEX's Nikkei 225 stock index futures contract to hedge their stocks invested in Japan. Domestic institutional investors are obviously at a disadvantage. For this reason,1June 9, 987, Japan launched the first stock index futures contract-50 stock futures contracts, which was restricted by the prohibition of cash delivery in the Securities Exchange Law at that time. 50 kinds of stock futures contracts are delivered in cash, and the delivery target is a basket of stocks represented by stock indexes.
The second stage: the transition stage from 1988 to 1992. At present, the domestic stock index futures market is gradually on the right track by amending and enacting laws. In the first few months after the introduction of 50 stock index futures, the trading developed slowly until 1987 stock market plummeted. 1on the morning of October 20th, 1987, 10, the Japanese stock market could not start trading, and the selling price was much higher than the buying price. Due to the limit of the price limit, the transaction reached the price limit at the beginning. At that time, 50 kinds of stock futures contracts were delivered in cash, so domestic investors could not trade stock index futures. However, foreign investors trading on the Singapore International Commodity Exchange can continue to trade futures contracts. Affected by this incident, the Japanese financial market management authorities approved the Osaka Stock Exchange's application for trading Nikkei futures at 1988. 1988 in may, Japan revised the securities trading law to allow cash delivery of stock indexes and options. In September of that year, Osaka Stock Exchange began trading in Nikkei 225 index futures. 1In March, 992, 50 kinds of stock futures of Osaka Stock Exchange stopped trading.
The third stage: the stock index is revised and the stock index futures market is mature. Since the Nikkei 225 index uses the first batch of 225 stocks listed, it is indexed in the form of simple average share price. In view of this situation, Osaka Stock Exchange, according to the instructions of the Ministry of Finance, developed a new Nikkei 300 index futures with little impact on the spot market to replace Nikkei 225, and started trading on February 1994. Since then, the Japanese stock index futures market has officially matured.
Singapore International Financial Exchange (SIMEX) took the lead in launching the Japanese Nikkei 225 index futures trading at 1986, and achieved success. Two years later, OSE launched the Nikkei 225 index futures trading. 1990, the Chicago Mercantile Exchange (CME) also launched the Nikkei 225 index futures trading, which formed a situation that three * * * Nikkei 225 indexes were traded on the same trading day. However, in the competition, Singapore has always been ahead because it has formed certain advantages. Until the beginning of 1995, Nicholas, a futures trader of Royal Bank of Bahrain, collapsed due to illegal operation of speculating on the Nikkei 225 index, and the market had a crisis of confidence in SIMEX's Nikkei 225 index, and funds began to flow back to the Japanese market, and OSE took the opportunity to regain its dominant position. In a sense, the Bahrain incident is also the result of the competition between OSE and SIMEX. In order to compete for the market share of OSE, SIMEX did not hesitate to relax the monitoring of the market. When the position of Bahrain Bank was obviously high, it was not handled in time, which directly led to the huge losses of Bahrain Bank. If SIMEX takes effective measures to participate in market competition and make full use of its own advantages, it is entirely possible that Singapore will always occupy a dominant position in the Nikkei 225 index futures market. But generally speaking, Japan is still in an awkward position for a long time when promoting the Nikkei 225 stock index futures trading in China. According to the data of 2005, Japan only accounts for 55.05% of the global Nikkei 225 index futures market. In 2005, the futures price of Singapore Nikkei 225 index seriously affected the price of Japan Nikkei 225 index, and Singapore Nikkei 225 had a great degree of pricing power.