What is contract adjustment?
Option contract adjustment means that in order to keep the rights and obligations of the buyers and sellers of the option contract unchanged when the underlying contract is ex-dividend, the exchange adjusts all the unexpired option contracts of the underlying contract on the ex-dividend date, involving the contract unit, exercise price, contract code and contract abbreviation, and re-lists the underlying ex-dividend contract with a new option contract.
Therefore, when 50ETF pays dividends, 50ETF option traders need to pay attention to the main points.
In case of ex-dividend or ex-dividend of the subject matter of the option contract, the Exchange will adjust the contract units and exercise prices of all unexpired contracts of the subject matter of the contract on the ex-dividend or ex-dividend date, and re-list the ex-dividend or ex-dividend subject matter as a new option contract.
From the perspective of institutional rules, there are two changes in ex-dividend of 50ETF:
The first is the adjustment of the unexpired contract.
The second is the listing of the new contract, which will be introduced in detail below.
0 1? Option contracts adjustment
If the subject matter of the option contract is ex-dividend or ex-dividend, the contract unit and exercise price of the option contract shall be adjusted according to the following formula:
New contract unit = [original contract unit ×( 1+ change ratio of actual circulating shares )× closing price of contract target the day before ex-rights]/[(closing price of contract target the day before ex-rights-cash dividend)+allotment price× change ratio of actual circulating shares]
New exercise price = original exercise price × original contract unit/new contract unit
The dividend plan of 50ETF in this announcement is 0.39 yuan/10 fund share cash, that is, the dividend is 0.039 yuan/share. The registration date of rights and interests is 165438+20231October 20th, that is, the final contract adjustment scheme is determined by the closing price of165438+1October 27th 50ETF.
Assuming that the closing price of1October 29th 165438+50ETF is 3.097 yuan, then,
New contract unit = [10000× 3.097]/[3.097-0.047] ≈10154.
Example: 50ETF buys 65438+February 3 100 contract and pays dividends according to the trading rules.
The exercise price of the new contract = 3./kloc-0 /×10000/1kloc-0/54 ≈ 3.053,
The original contract "50ETF subscription 65438+February 3 100" was shortened to "50ETF subscription 65438+February 3053A".
02? New contract
Due to the above adjustment, the contract that does not expire every month will become a "non-standard" contract, followed by an A. Accordingly, the exchange will list standardized contracts at the same time on the ex-dividend date.
Let's assume that the closing price of165438+1October 29th 50ETF is 3.097 yuan, and the price will become 3.05 yuan after dividends. According to the contract listing rules of the Exchange, there will be 1 flat contract, 4 virtual contracts and 4 real contracts listed every maturity month, so there will be multiple exercise price contracts with "A" listed.
What is the impact of option contract adjustment?
The influence of (1) option liquidity
Due to contract adjustment and new contracts hanging out, the number of tradable option contracts increases and transactions become more dispersed, which may lead to the gradual loss of contract liquidity with "A".
(2) The influence of covering positions
Investors who have already held short positions, originally 1 short positions locked 10000 50 ETF, need to lock 10 154 (for example) 50 ETF due to the change of contract unit after contract adjustment. If investors fail to replenish the corresponding amount of securities, they will face the risk of being forced to close their positions.
(3) the influence of option exercise
When exercising by "A" contract, the unit is not whole 10000 shares, and there may be odd shares, which may cause the put right party and the subscription obligor to occupy additional funds when exercising the bond purchase right.
Note: The above data are all based on the assumption that the closing price of165438+1October 29th is 3.097 yuan, so the actual data are necessarily different. Please refer to the announcement of the day.
Matters needing attention
Covered positions need to be replenished with covered securities according to new contract units. After the contract is adjusted, the contract unit of the original contract will become larger. The original covered locked securities only need 65,438+00,000 ETF. Now it is necessary to supplement the underlying securities or close the position according to the latest contract multiplier.