CSI 1000 stock index futures and options contracts are based on CSI 1000 index. The CSI 1000(000852) index was released on June 7, 2010, and 1000 smaller and more liquid securities other than the CSI 800 index were selected as index samples, which were complementary to CSI 300 and CSI 500. The index is adjusted every six months, and the implementation time of sample adjustment is the next trading day on the second Friday of 65438+ in June and February respectively, and the sample proportion of each adjustment is generally not more than 10%.
CSI 1000 index has good liquidity and continuous price. In the past three years, the average daily turnover rate of its constituent stocks has been around 2%. In addition, the CSI 1000 index has strong maneuverability and the weight distribution of constituent stocks is scattered. The total weight of the top ten heavyweights is 4.88%. And the distribution of industries is relatively uniform, with the industry with the largest weight accounting for 23.8%, followed by information technology, materials, medical care and optional consumption accounting for 22. 1%, 2 1.5%, 10.6% and 7.7% respectively. The scale of CSI 1000 index-related funds has reached1229.6 billion yuan, and CSI 1000 index funds account for 48% of all index funds.
From this point of view, CSI 1000 index has the characteristics of good liquidity, uniform industry distribution, strong operability and large capital scale. With the national economic transformation and the introduction of policies to encourage scientific and technological innovation, the value investment of small and medium-sized enterprises is prominent. The listing of CSI 1000 futures option contract provides a risk hedging tool for institutional investors and individual investors, which is conducive to the stability of the stock market, improving the financing environment and sustainable operation of SMEs.
Contract rules
The first listing contracts of CSI 1000 stock index futures were August 2023 (IM2208), September 2023 (IM2209), February 2023 (IM22 12) and March 2023 (IM2303). The multiplier of CSI 1000 stock index futures contract is set as 200 yuan per point, and the corresponding contract size is about140,000 yuan. The scale of listed stock index futures contracts is about 920,000 yuan to 6.5438+0.35 million yuan. The minimum margin for each contract of CSI 1000 stock index futures is 8% of the contract value, and the margin standard for initial listing is 15%. Cross-variety two-way positions of Shanghai and Shenzhen 300 stock index futures, CSI 500 stock index futures, CSI 1000 stock index futures and SSE 50 stock index futures are charged according to the larger trading margin.
CSI 1000 stock index futures have a maximum order quantity of 20 contracts and a maximum order quantity of 10 contracts. CSI 1000 stock index options have a maximum order quantity of 20 lots per contract limit order. The handling fee standard of CSI 1000 stock index futures contract is tentatively set at 0.23% of the transaction amount, and the declaration fee is per lot 1 yuan. Declaration refers to buying, selling and revoking entrustment. The closing fee of CSI 1000 stock index futures contract is 3.45% of the transaction amount.
The first listed contract months of CSI 1000 stock index options are August 2023 (MO2208), September 2023 (MO2209), June 2023 (MO22 10) and February 2023 (Mo22 10). The margin adjustment coefficient of CSI 100 CSI 1000 stock index option contract fee standard is 15 yuan/hand, and the exercise (performance) fee standard is 2 yuan/hand. The Exchange does not charge the application fee for the CSI 1000 stock index option contract.
CSI 1000 Stock Index Option Market Makers can apply to the Exchange for automatic hedging and liquidation of two-way option positions on the trading day of 9336030- 15336000. There is no handling fee for automatic hedging and liquidation, and the application remains valid. Market makers can also apply to cancel the automatic hedging liquidation at the above time. The market maker's monthly unilateral position limit of CSI 1000 stock index option contract is 15000 lots. The market maker's monthly unilateral position limit for CSI 1000 stock index futures contracts is 4,800 lots.
for commercial use/purpose
Hedge. Whether it is CSI 1000 stock index futures or CSI 1000 stock index options, for CSI 1000 stock investors, derivatives can be used for hedging in anticipation of risks or in order to stabilize holding costs. Especially in the first half of this year, the stock market was in a state of unilateral decline. For medium and long-term investors with a large amount of funds, stock index futures arbitrage can hedge risks. For investors with less funds, choosing stock index options can also achieve the same effect.
The arbitrage trading of CSI 1000 stock index futures and options contracts after listing enriches the arbitrage strategy of derivatives. Common futures arbitrage strategies include futures arbitrage, intertemporal arbitrage and cross-species arbitrage. The listing of CSI 1000 stock index futures contracts enriches inter-period arbitrage and cross-variety arbitrage. In the case of market style rotation, you can choose cross-species arbitrage. Compared with unilateral strategy, arbitrage risk is controllable, margin has advantages and profit curve is relatively stable. Common options arbitrage strategies include vertical arbitrage (call option, put option, put option and put option) suitable for trend markets, cross-market arbitrage (buy cross-position arbitrage and sell cross-position arbitrage) suitable for volatile markets and wide cross-position arbitrage (buy cross-position arbitrage and sell cross-position arbitrage). The CSI 1000 stock index option contract enriches the arbitrage strategy of stock index options and better meets the needs of small and medium investors for derivatives.
Forecast target index. Stock index contract not only has the advantages of insurance, hedging, arbitrage, directly replacing the underlying investment, but also has the function of predicting the underlying index. Its trading volume, trading price and positions reflect investors' understanding of the future fluctuation of the underlying index, which can be used as technical indicators to predict the future trend of the underlying index. The price can reflect the buyers' and sellers' understanding of implied volatility and the market's expectation of the future price fluctuation of the target. The listing of options contributes to the stability of the spot market.
influencing factor
As can be seen from Figure 3, the CSI 1000 Index, CSI 500 Index and Shanghai Composite Index are highly correlated and applicable to the same macro-analysis system. There may be some differences in styles in different periods, which will affect the futures of CSI 1000 index.
The main factors of contract price include international environment, domestic macroeconomic fundamentals, domestic macroeconomic policies, stock market liquidity, corporate profitability and valuation, market risk preference and market sentiment.
The main factors affecting the CSI 1000 stock index option contract are the CSI 1000 index price, option exercise price, expiration time, volatility, short-term interest rate level and dividend yield. The factors of option contract price are closely related to futures and index prices.
In July, due to the concerns about macroeconomic recovery, the expectation of macroeconomic policy cooling, the disturbance of overseas interest rate hikes, and the realization of capital profits, the domestic market wind cooled down and the CSI 1000 index was adjusted back. It is expected that the index and futures will fluctuate and consolidate in the short term before the risk factors land.
This article is from Meierya Futures Research Institute.
Related Q&A: What is the handling fee standard for closing stock index futures contracts of Shanghai and Shenzhen 300, SSE 50 and CSI 500? Limit opening positions to 20 lots per trading day. The margin ratio of Shanghai and Shenzhen 300 stock index futures exchanges is 15%, which is equivalent to 6 times leverage, and the exchange margin is about173,000 yuan/hand. Shanghai and Shenzhen 300 stock index futures are listed on China Financial Futures Exchange, with code if, contract multiplier of 300 and minimum price change of 0.2 point. Therefore, every smallest unit of contract price fluctuation, the corresponding profit and loss is 60 yuan/lot. The trading hours of Shanghai and Shenzhen 300 stock index futures are 9: 30-1:30,13: 00-15: 00; No night trading. At present, the first-hand handling fee of Shanghai and Shenzhen 300 stock index futures is charged according to the turnover multiplied by 0.00002323, and the first-hand handling fee is about 26.4 yuan according to the price of 3800. If you do intraday trading, the exchange will charge a handling fee of 6.67% of the turnover, so it is suggested to lock the warehouse to reduce the cost of intraday trading.