1. Contract multiplier
In stock index futures, the index value is monetized, that is, every point of the futures stock index represents a certain amount of money, and this fixed amount is the "contract multiplier". The contract multiplier of each stock index futures is different. For example, the contract multiplier of Hang Seng Index futures is HK$ 50 per point.
Stock index futures use index points to quote. For example, Hang Seng Index Futures 15000 is its price at a certain moment.
2. Contract value and deposit
The contract value is obtained by multiplying the contract multiplier by the number of stock index futures points.
If multiplied by the margin ratio, you can get the margin amount that should be occupied in trading the first-hand stock index futures contract.
For example, the Hang Seng Index futures contract listed in Hong Kong stipulates that the contract multiplier is HK$ 50, and the product of futures Hang Seng Index futures prices will get the total value of a contract. If the Hang Seng Index quoted in the futures market is 15000 points, it means that the value of a contract is HK$ 750000. If the Hang Seng Index rises by 65,438+000 points, it means that the value of a contract has increased by HK$ 5,000.
Similarly, if the futures company stipulates that the margin ratio is 10℅, then the margin for investors to trade the first-hand Hang Seng Index futures is HK$ 75,000.
3. The lowest price change
The minimum change price of stock index futures is the minimum value of market change stipulated by the exchange, and it is also expressed by an index point. For example, the minimum change price of Hang Seng Index futures in Hong Kong is 1 index point, because the value of each index point is HK$ 50. So as far as a contract (or a contract) is concerned, its minimum change value is HK$ 50.
4. Daily price fluctuation limit
Most exchanges set daily price fluctuation limits on their listed stock index futures contracts, which is similar to what we usually call the price limit system. The regulations of each exchange are different, not only in the scope of restrictions, but also in the way of restrictions.
In terms of restriction methods, there are price limit system and fuse mechanism, some exchanges only use one, and some exchanges have two price limit methods at the same time.
The fuse mechanism refers to the daily limit measure, which is a price limit measure adopted by the exchange to control market risks. When the fluctuation range reaches the fuse point specified by the exchange (i.e. the predetermined range), the exchange will suspend trading for a period of time to cool the market. For this "suspension", some exchanges adopt the way of "continuous fuse", that is, they can still trade during the "suspension" period, but they can only trade within the price range of the fuse point; Some exchanges adopt a "fuse" method, that is, they cannot trade during the "suspension" period, and the market completely stops at the fuse point. This "cools down" for a period of time (usually ten minutes), and then normal trading begins, and the next fuse point is reset (that is, a wider range). Generally, there are only two fuse points, and some markets use daily limit boards at the same time.
The fuse mechanism is determined in advance and effective on the same day.
5. Settlement method
Stock index futures are settled in cash, and the daily debt-free settlement system is implemented according to the rules of futures, that is, the daily performance bond in the investor's account cannot be negative.
The pricing methods of settlement prices of various exchanges are slightly different, but they are generally as follows:
For the daily settlement price, the weighted average price of the last hour of the day is taken as the settlement price after closing.
The settlement price on the maturity date, that is, the delivery settlement price, is based on the index of the spot market of the stock on that day, and the arithmetic average price sampled every 5 minutes is rounded up according to the minimum change price as the settlement price. Calculation method of transaction ownership adjustment under special circumstances.
6. Mode of delivery
Stock index futures are delivered in cash.
If the investor's position contract is still open on the expiration date, it will be delivered in net cash. That is to say, the position is automatically closed according to the settlement price of the spot market index of the stock on that day, and then the net difference of the position is made up in the customer account.
There are examples later to illustrate this point.
7. Contract month
Refers to the expiration month of stock index futures, and the same kind of stock index futures distinguishes different contracts in different expiration months.
Generally speaking, the "contract month" of stock index futures contracts includes the current month, the next month and the next two quarters, that is, up to four contracts.
Every stock index futures contract has an expiration time, and when it expires, the futures are in stock. In addition, the last trading day and the last settlement day of stock index futures are the same day, which refers to the last working day when the contract expires.