Suppose that the margin ratio required by the futures exchange is λZ, the margin ratio charged by the futures company is λF, I 1 is the stock index futures point at the opening, I2 is the stock index futures point at the strong flat point, C is the contract multiplier of stock index futures, and n is the number of stock index futures hands bought by investors. If Man Cang starts to buy, when the price changes in an unfavorable direction, I2.
The first item on the right side of the formula is the margin when opening the position, and the second item is the margin charged by the futures exchange after the stock index futures fall from the point. After finishing, the calculation formula of the forced liquidation point for Man Cang to buy stock index futures is obtained:
Suppose an investor bought three futures contracts of the Shanghai and Shenzhen 300 Index at 4 150 on June 20, 2007, based on the experience that closing positions in a bull market is a buying opportunity. Under the condition that the exchange margin ratio λZ=0. 10, the futures company will add two percentage points, and the paid margin ratio is λF=0. 12. Therefore, according to the formula, it can be calculated that the strong flat point is 4058 points, that is, it entered the strong flat on June 22. At this time, the customer's loss is 92× 300× 3 = 82,800 yuan, and the deposit collected by the futures company is 438,264 yuan. However, after the customer loses 82,800 yuan, the customer's equity is only 365,400 yuan (that is, 448,200-82,800 yuan), which is not enough to pay the margin charged by the futures company. The strong level of futures companies is generally set at the margin level charged by the exchange, that is, 4058× 300× 0.10× 3 = 365,220 yuan. It can be seen that for investors who bought Man Cang at 4 150, the index fell to 4,058, and the customer's rights and interests were just enough to pay the margin of CICC, which triggered a strong leveling point.
For investors who sell stock index futures in Man Cang, the formula for calculating the strong flat point only needs to change the negative sign in the above formula into the positive sign, and investors can deduce it by themselves. It can be calculated that for investors bought by Man Cang, when the futures of Shanghai and Shenzhen 300 Index fell by 2.22% relative to the opening price, the strong flat point was triggered. For investors selling in Man Cang, when the Shanghai and Shenzhen 300 index futures rose by 1.82% relative to the opening price, a strong flat point was triggered. It can be seen that according to the fluctuation range of the current index, Man Cang's selling operation may trigger a strong level almost every day.
Why is it Man Cang, but the index that Man Cang can afford has fallen more than the index that Man Cang can afford? The reason is that the margin changes dynamically with the index, and the rising margin will increase and the falling margin will decrease. With this in mind, you have a basic understanding of futures trading.