On June 29th, Dashang announced the options contracts of polypropylene (PP), polyvinyl chloride (PVC) and linear low density polyethylene (LLDPE), and arranged the listing and trading of the above three options contracts. Previously, the CSRC announced that the official listing and trading time of PP, PVC and LLDPE option contracts was July 6, 2020.
When thermal coal options are listed and traded, the contract has three aspects of personalized design.
The thermal coal option is listed and traded in Zhengshang Stock Exchange today (June 30th).
On June 29th, Zhengshang Institute calculated the benchmark price of each option contract according to the option pricing model. The implied volatility parameter is determined according to the historical volatility of thermal coal futures and other factors, and the interest rate parameter is the one-year loan market quotation (LPR is currently 3.85%). Among them, the benchmark prices of the underlying ZC2009 (main contract) are 14.3 yuan/ton and 10.3 yuan/ton respectively.
According to the reporter of Futures Daily, in the process of formulating the contract rules of thermal coal options, Zhengshang Institute conducted many investigations, actively solicited the opinions of industrial enterprises, investment institutions, futures companies and market makers, combined with international commodity options contract design practices, and referred to the market operation experience of options such as sugar. The design ideas are basically the same as those of options listed by Zhengshang Stock Exchange in terms of contract types, exercise methods, transactions and quotation units. According to the actual situation and characteristics of thermal coal varieties, the exchange has designed different contract terms such as minimum change price and exercise price range to effectively meet market demand.
According to the previously announced thermal coal option contract, its marketing unit is 1 thermal coal futures contract, which is convenient for investors to hedge the risk of futures positions; The last trading day (expiration date) is the third trading day one month before the delivery month of the underlying futures contract, which is consistent with the options listed by Zhengshang Stock Exchange to meet the hedging requirements of industrial customers and avoid bringing risks to the delivery month. Drawing lessons from the international commodity options market practice and the operating experience of sugar and other options, the exercise method of thermal coal options is set to be American, and the option buyer can exercise on any trading day on or before the expiration date.
Compared with the options listed by Zheng Shang, the thermal coal option contract has three obvious personalized designs:
First, the minimum variable price of thermal coal option is the smallest (0. 1 yuan/ton). Judging from the operation of the domestic option market, the virtual flat option contract is more active, and the Delta value is 0.2-0.5, that is, the option price fluctuation is about 1/5- 1/2 of futures. The ratio of thermal coal option to the minimum price change (0.2 yuan/ton) of futures is 1/2, which is also within this range, and can better meet the needs of thermal coal option and futures market portfolio hedging.
Second, the active monthly contract of thermal coal option is consistent with PTA and methanol option. Considering the introduction of market makers in the non-main contract month of thermal coal futures, the trading and positions have been improved, and the design can not only meet the market trading demand in time, but also help to concentrate market liquidity. For example, according to the contract, after a thermal coal futures contract unilaterally holds 10000 lots on a certain trading day, the corresponding option contract is hanged on the second trading day.
The third is to set the price range of thermal coal option exercise. Since the listing of thermal coal futures, the price mainly fluctuates in the range of 300-700 yuan/ton. According to the operating range of thermal coal futures price, the exercise price ranges of 5 yuan/ton and 10 yuan/ton are set with 500 yuan/ton as the demarcation point. The ratio of exercise price distance to exercise price of thermal coal option is 1%-2%, which is basically consistent with mature market practices in commodity options and abroad.
The contracts listed and traded today include thermal coal option contracts with target months of 2009, 20 10, 201and 21kloc-0/. There are 13 call options and 13 put options (including 6 real option contracts) in each listed contract month.
The relevant person in charge of Zhengshang Institute said that thermal coal is an important variety in China's energy and chemical industry. Zhengshang Institute has made all preparations before the listing of thermal coal options, and the introduction of thermal coal options will play a positive role in promoting the healthy development of China's coal and power industries.
Thermal coal option contracts
Dashang announced three chemical option contracts and trading arrangements.
On June 29th, Dashang announced the options contracts of polypropylene (PP), polyvinyl chloride (PVC) and linear low density polyethylene (LLDPE), and arranged the listing and trading of the above three options contracts. Previously, the CSRC announced that the official listing and trading time of PP, PVC and LLDPE option contracts was July 6, 2020.
According to the reporter of Futures Daily, the above three chemical option contracts are consistent with the previous exposure draft. According to the relevant person in charge of the trading department of Dashang Exchange, when designing and demonstrating the above three chemical option contracts and parameters, the Exchange fully communicated with relevant industrial enterprises and publicly solicited opinions from the market on May 25th. On the whole, all parties in the market think that the contract terms of the above three chemical options are reasonable in design, close to reality and easy to understand and operate, so the three chemical option contracts announced this time are consistent with the plan for soliciting opinions.
Relevant market participants believe that the above three chemical option contracts and parameter designs are reasonable and effective, which not only take into account the operating characteristics of the underlying futures, but also reflect the correlation between varieties, laying a solid foundation for the smooth operation and functional play after listing.
Polypropylene futures option contract
PVC futures option contract
Linear low density polyethylene futures option contract
On the same day, Dashang also arranged the listing transactions of the above three chemical option contracts, including the month of listing contracts, benchmark price, trading instructions, position limit management and related expenses, so that all parties in the market can know in advance and make good preparations for various businesses.
According to the notice, the night trading of the above three chemical options started from the night of listing, and the trading time was consistent with the underlying futures. The first series of options contracts listed and traded are 2009, 20 10, 201,20 12, 210/212. The benchmark price of the new listing contract will be released together with the settlement data on the trading day before listing, and traders can check it through the website of Dashang. The trading instructions are consistent with the listed options. The above three chemical options only support limit orders and stop-loss (profit) orders, and the maximum order quantity at a time is 1 1,000 lots, which is consistent with the underlying futures contract. In terms of position limit management, the sum of all call options' buy positions and put options' sold positions held by non-futures company members and customers in a certain month's option contract and the sum of put options' buy positions and call options' sold positions, in the initial stage of listing, PP and PVC options did not exceed 20,000 lots, LLDPE options did not exceed 10000 lots, and they were not merged with the basic futures contract, so they had actual control. In terms of related expenses, the transaction fee standard of the above three chemical options is 0.5 yuan/lot, and the exercise (performance) fee standard is 1 yuan/lot. At the initial stage of listing, there is no distinction between intraday trading and non-intraday trading, and fees are charged according to uniform standards.
In recent years, China's commodity options market has continued to grow and develop, and the system of option contracts and rules has become increasingly perfect, and the market functions have been effectively brought into play. This year, affected by the COVID-19 epidemic, the fluctuation of international crude oil prices and the complicated economic situation at home and abroad, the business risks of industrial chain enterprises have intensified, and the demand for hedging with options has become increasingly strong. According to the reporter's understanding, the preparation for the listing of the above three chemical options has been progressing in an orderly manner. On July 6th, the listing of chemical options cloud and the cloud forum of "chemical options serving the real economy" will be held, and a number of media and information organizations will broadcast live simultaneously. The listing of the above three chemical options will further improve China's chemical derivatives system and provide more refined risk management means for the market.