The delivery date of stock index futures or options generally has little effect on the stock market, on the contrary, the stock market ups and downs have a certain impact on stock index delivery. Because the object of stock index options or futures tracking is the corresponding index, when the index rises or falls on the delivery date, it will cause the futures or options to rise or fall.

The delivery of stock index futures means that according to the price difference between the futures contract held by investors and the actual price of the current spot market, more refunds and less supplements are equivalent to closing the position at the spot price on the delivery day. Generally in the form of cash delivery.

Delivery of stock index futures: according to the difference between the "price" of your futures contract and the actual "price" of the current spot market, it is equivalent to closing the position at the spot "price" on the delivery date. Stock index futures are delivered in cash.

The so-called cash delivery means that there is no need to deliver a basket of stock index components, but the spot index on the maturity date or the next day is used as the final settlement price, and the position is closed through profit and loss settlement at the final settlement price.

Delivery system

Investors engaged in futures trading, whether long or short, must deliver open positions if they do not reverse their positions before the last trading day. The delivery system is an important bridge connecting the spot market and the futures market, and it is an important institutional guarantee to ensure the normal return of futures prices and the convergence with spot prices.

Delivery settlement price

There are two main rules to determine the maturity settlement price of stock index futures: single price and average price. Most of the earliest stock index futures contracts use a single spot closing price as the delivery price, which is easy to produce "expiration effect" and "three witch effects" After discovering this problem, some markets changed the delivery price of stock index futures to a special opening price on the day after the last trading day, and the "three witches effect" disappeared, but the "maturity effect" was transferred to the opening of the next day. Later, most markets turned to the average price rule.

Specifically: (1) If we emphasize the improvement of arbitrage (hedging) efficiency, reduce the deviation between futures and spot, and reduce the deviation between delivery settlement price and index closing or opening price, we may tend to adopt simple closing and special opening price as delivery settlement price. (2) If anti-manipulation is emphasized to avoid the maturity effect, the average price of a certain period before closing may be used to determine the settlement price of delivery relatively complicated, thus increasing the manipulation cost.

At present, most stock index futures use the average price method to determine the settlement price.