Design description of main clauses
① marketing unit: 1 hand rapeseed meal futures contract?
The trading unit of an option contract refers to the number of subject matter corresponding to each trading unit. The trading unit of rapeseed meal option is set to 1 rapeseed meal futures contract, which is convenient for investors to hedge the risk of futures positions and is conducive to investors' familiarity and mastery.
② Quotation unit: RMB/ton?
Option quotation unit is generally consistent with the basic futures quotation unit. The quotation unit of rapeseed meal option contract is RMB/ton, which is the same as that of rapeseed meal futures contract.
③ Minimum variable price: 0.5 yuan/ton?
The minimum change price of option refers to the minimum change of unit price of option contract. From the operation of sugar, cotton and other options markets, the virtual flat option contract is more active, and its Delta value is between 0.2 and 0.5, that is, the price fluctuation of options is about 1/5 to 1/2 of futures.
The ratio (1 yuan/ton) of rapeseed meal option to the lowest price change of futures is within this range, which can better meet the needs of rapeseed meal option and futures investment in market portfolio.
④ Price limit range: the same as the price limit range of the underlying futures?
The price limit of rapeseed meal option contract is the same as that of the underlying futures (the absolute number is the same), that is, the price limit of option contract is calculated according to the settlement price and price range ratio of the underlying futures contract. When the option premium is less than the stop-loss margin, the price of the stop-loss board takes the minimum change price of the option contract.
⑤ Signing month: last two months+active month?
The contract month of rapeseed meal option is defined as the last two months and an active month with a position of more than 5000 lots (unilateral), which is consistent with the option setting of sugar and cotton. It can not only meet the needs of market transactions, but also help to concentrate market liquidity and improve market operation efficiency.
⑥ Last trading day/expiration date: the third trading day one month before the delivery month of the underlying futures contract?
Choosing the third trading day one month before the delivery month as the expiration date of rapeseed meal option is consistent with sugar and cotton options, which is convenient for members to exercise their rights on the expiration date and is conducive to investors' familiarity.
On the one hand, the expiration date of the option is as close as possible to the delivery month of the underlying futures, which is beneficial for enterprises to make better use of the option for hedging;
On the other hand, the option expires before the adjustment of the gradient position limit one month before the target futures delivery month, which can reduce the impact of option exercise on the futures delivery month operation.
⑦ Exercise price quantity: 13?
Excessive exercise price is not conducive to the concentration of market liquidity; The quantity is too small to effectively cover the fluctuation range of the underlying futures price.
According to the operating experience of sugar cotton option and the fluctuation characteristics of rapeseed meal futures price, the rapeseed meal option contract is linked with 13 call option and 13 put option on the first day (that is, six real options, 1 flat options and six hypothetical options, corresponding to 13 exercise price), which can basically cover the fluctuation of the futures price on the next day.
With the change of futures price, if the number of real or virtual options is less than 6, the option contract corresponding to the new exercise price will be added.
⑧ Exercise price range: set by segments according to exercise price?
The design of exercise price range mainly considers the target price level and fluctuation degree. The smaller the distance between exercise prices, the more option contracts corresponding to exercise prices, which is not conducive to the concentration of market liquidity; The greater the distance between exercise prices, the fewer the number of corresponding option contracts, and the fewer exercise prices available for investors to choose, which is difficult to meet the trading needs of different investors.
Since the listing of rapeseed meal futures, the price has mainly fluctuated in the range of 1700 yuan/ton to 3 100 yuan/ton. There are two different exercise price ranges of rapeseed meal option, 2500 yuan/ton and 5000 yuan/ton, and the ratio of exercise price range to exercise price is between 1%-2%, which is basically consistent with the mature commodity options market in the world.
⑨? Exercise method: American?
Option exercise methods can be divided into American and European. For option buyers, American options can be exercised on or before the expiration date, while European options can only be exercised on the expiration date.
International commodity options is usually an American option. American option exercise mode is conducive to maintaining a strong correlation between options and futures prices, providing investors with flexible choices and reducing the impact of centralized expiration of options on the operation of the basic market.
Since the listing of white sugar options, the non-expiration date accounts for about 65,438+00% of the power of the Head Office, and there is a demand for early exercise in the market. Drawing lessons from the experience of options market at home and abroad, rapeseed meal options also adopt American options.
⑩? Transaction code: RM- contract month -C(P)- exercise price?
The rapeseed meal option contract follows the common trading code composition in commodity options, and is consistent with the trading code composition of sugar, cotton and other varieties, which is convenient for investors to understand and master. Among them, Call option is represented by capital letter C, and Put option is represented by capital letter P. ..