The trading rules of stock index futures refer to the rules that should be followed in stock index futures trading. The full name of stock index futures is stock price index futures, which can also be called stock index futures and futures index. It refers to the standardized futures contract with the stock index as the subject matter. The two sides agreed that on a specific date in the future, they can buy and sell the underlying index according to the size of the stock index determined in advance. As a type of futures trading, stock index futures trading has basically the same characteristics and processes as ordinary commodity futures trading.

Chinese name

Trading rules of stock index futures

kind

rules and regulations

application area

Stock index futures trading

Relevant regulations

Shanghai and Shenzhen 300 stock index futures contracts

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Rules, details, innovative legal rules

content

On June 5438+09, CICC publicly solicited opinions on the revised draft of trading rules and their implementation rules, as well as the Shanghai and Shenzhen 300 stock index futures contracts. In addition to the published revisions of the investor suitability system and the business rules of the exchange, the CSRC will continue to co-ordinate all the work before the listing of the futures index, which is expected to be officially listed around April and accept investors to open accounts.

From the published rules and contract content analysis, State Street Investment believes that there are ten points worthy of attention:

First, the trading time is synchronized with the opening time of the stock market, and investors can use the futures index to manage risks.

2. The price limit is 10%, and the fuse is cancelled, which is consistent with the stock market.

3. The minimum transaction margin collection standard is 12%. Assuming that the Shanghai and Shenzhen 300 Index is 2300 points and the margin ratio is 12%, the margin required for first-hand trading is 2300 * 300 * 12% = 82800 yuan. After the rate adjustment, it needs 69,000 yuan, and each lot is 65,400 yuan lower.

Fourth, the delivery date is set on the third Friday of each month, which can avoid the fluctuation of the stock market at the end of the month.

Five, in case of price limit, according to the principle of "liquidation priority, time priority" for matching transactions.

6. After the daily trading, the trading volume and positions of the top 20 settlement members with active contracts will be disclosed.

7. The position limit of a single non-hedging trading account is 100 lots.

8. Under extreme market conditions, CICC can use the compulsory lightening system cautiously to control risks.

Nine, natural persons can also participate in hedging.

X. Rules reserve space for other innovative varieties such as options.

Rule details

trading hour

According to the provisions of the Shanghai and Shenzhen 300 stock index futures contracts, the trading time is "9: 25 am-165438+0: 30 pm, 13: 00-65438+ 05: 00 pm", and the last trading day is "9: 25 am-/kloc-0".

Zheng Dong, a senior consultant of futures, said that the futures market in the United States is trading for 24 hours, while in Taiwan Province, China, it is increased by 15 minutes in the morning and evening.

Upper or lower limit

According to the provisions of the Shanghai and Shenzhen 300 stock index futures contracts, the maximum daily price fluctuation is limited to 7% of the settlement price of the previous trading day.

cash deposit

In order to strengthen risk control, the revised business rules increase the minimum trading margin of stock index futures from 10% to 12%. At the same time, in order to ensure the pertinence of the margin adjustment level of the unilateral stock exchange, the restrictive provisions of the margin adjustment of the unilateral stock exchange were revised.

The revised draft stipulates that "if a futures contract has a unilateral market on a certain trading day, the exchange may raise the trading margin standard at the time of settlement on that day". The previous risk control measures stipulated: "If the cumulative increase or decrease in the same direction as that in Dt-1trading day is less than 16%, the trading margin standard of this contract will be charged at 12% when the Dt trading day is settled, and if it is higher than 12%, it will be charged according to the original standard". At the same time, the revised draft also deleted the provisions of "Dt+ 1 trading day unilateral market margin has not returned to the normal standard" and "the trading margin standard is charged according to the normal standard when liquidation is carried out on the day of compulsory lightening".

Insiders also said that 12% is not the final margin collection standard for investors. According to the experience of commodity futures market, futures companies will levy 2 to 5 percentage points on this basis. According to the Shanghai and Shenzhen 300 Index, buying and selling a single contract needs at least10.5 million -0.2 million.

account/settlement day

It is scheduled to avoid month-end fluctuations on the third Friday of each month.

According to the provisions of the Shanghai and Shenzhen 300 stock index futures contract (draft for comment), the last trading day and delivery date are "the third Friday of the contract expiration month, which will be postponed in case of national legal holidays". According to the calculation, the third Friday of each month is basically in the middle of the month, and sometimes it will even be delivered on 14 and 15 of the month. This is different from the fact that foreign stock index futures are usually delivered at the end of the month.

According to insiders, the stock market usually has a "month-end effect", and many legal entities will go to day trading for accounting reasons, so the month-end fluctuation will be even greater. Stock index futures also have a "maturity effect", and many foundations close their positions on the maturity date, which leads to price fluctuations. If the volatility of the two markets is superimposed, it will increase the volatility of the market and have a greater impact on both the spot market and the futures market. Now the delivery date is set on the third Friday, which can basically be delivered in the middle of the month to avoid violent market fluctuations at the end of the month.

Bidding transaction

Limit trading "close the position first"

The continuous bidding transaction of stock index futures is carried out according to the principle of "price first, time first", which is similar to the A-share market. However, in the extreme market of price limit, the order of declaring price limit should be carried out in accordance with the principle of "liquidation priority and time priority". This is because stock index futures use two-way trading, and investors can open multiple positions or short positions.

Call auction and continuous bidding are adopted for stock index futures, and the normal trading day is 9:25-9:30 call auction time. 9:25-9:29 is the instruction declaration time, and 9:29-9:30 is the instruction matching time. Call auction's order declaration time does not accept market order declaration, and call auction's order matching time does not accept order declaration.

In order to prevent some members and customers from using technology to affect the security and normal trading order of the trading system, CICC may take relevant measures to restrict members and customers from issuing trading orders in a way that may affect the security or normal trading order of the exchange system.

information disclosure

Funds and insurance positions may be "hidden"

Any stock index futures contract is regarded as an "active monthly contract" as long as its unilateral position reaches 1 1,000 lots or more after listing and trading. After the daily trading of CICC, the trading volume and positions of the top 20 clearing members in the active month contract will be disclosed.

It is worth mentioning that in order to protect the business secrets of its members and customers, CICC only publishes the trading volume and positions of the top 20 clearing members in the active monthly contract. Market participants speculate that large funds such as funds and insurance are expected to become non-settlement members directly connected with CICC in the future, that is to say, the trading positions of stock index futures of large funds such as funds and insurance may be well hidden in the future.

This is quite different from the habit of domestic commodity futures market. The members of the three major domestic commodity futures exchanges are divided into self-operated members and non-self-operated members. No matter what kind of members, as long as the contracts they trade meet the standards of information disclosure, the exchange will announce their trading volume and positions.

Volume limit

The limit of a single account is about150,000 yuan.

In order to further strengthen risk control and prevent price manipulation, CICC adjusted the position limit of non-hedging trading in a single stock index futures trading account from the original 600 lots to 100 lots. Based on the current positions, the face value of each contract is 6.5438+0 million yuan, the margin ratio is 6.5438+05%, and the position limit of a single trading account is about 6.5438+0.5 million yuan.

In addition to managing the positions of individual accounts, CICC will also limit the positions of individual settlement members. The position limit standard will be calculated according to the total unilateral position of the contract after daily settlement. However, the customer number positions of hedging and arbitrage transactions shall be implemented in accordance with the relevant regulations of this Exchange.

In order to strengthen the supervision of large households, CICC stipulates that the positions of trading members with different customer numbers or customers engaged in self-operated business are combined with the positions of customers in different members; Add the provision that "the customer's position has not yet reached the relevant aggressive standards, but the Exchange may require him to make aggressive reports when it deems it necessary".

Forced lightning

Use compulsory lightening cautiously under extreme market conditions.

Drawing lessons from the experience of domestic futures market in dealing with extreme market, CICC has retained the compulsory lightening system under the condition of continuous price limit, that is, the daily price limit is declared as a liquidation order, and the daily price limit automatically matches the profitable customers of the contract according to the proportion of positions held. Considering that this system is simple and effective in resolving risks, but it is not good for hedging and arbitrage trading, CICC can only be used cautiously in extreme market conditions.

According to Article 86 of the Measures for the Administration of Futures Exchanges, "If futures prices go up and down continuously in the same direction, the exchange can take measures such as adjusting the fluctuation range, raising the trading margin standard, lightening the position and so on according to certain principles to resolve the risk", and the implementation condition of compulsory lightening of stock index futures is changed to "there is a continuous unilateral market in the same direction in futures trading".

hedging

Individual investors can also apply for hedging.

In order to promote hedging function and improve hedging efficiency, the revised business rules simplify the procedures of hedging application and approval, and change the application and approval unit of hedging from sub-contract approval to variety approval.

The revised draft stipulates that the hedging amount is valid for 6 months from the date of approval and can be reused within the validity period. The approved hedging quota can be used for multi-month contracts, and the total amount of hedging positions in the same direction of each contract shall not exceed the approved hedging quota in that direction. Analysts pointed out that through this amendment, investors can dynamically allocate hedging among various contracts, avoiding the need to frequently apply for new hedging quotas due to the delisting of contracts.

Different from the commodity futures market, the revised business rules also allow individual investors to apply for hedging. The whole system design encourages stock index futures to play the basic function of hedging, and CICC will not treat the hedging needs of institutions and individuals differently.

reform

The rules reserve space for new varieties such as options.

In the "Trading Rules of China Financial Futures Exchange (Draft for Comment)", the reporter noticed that there are many expressions about "options", which shows that CICC also reserved space for future financial innovation when formulating rules.

According to industry insiders, the international trading volume of options is several times that of futures. For example, South Korea's index options are the most traded varieties in the world. The "foreshadowing" in the trading rules leaves room for launching options in the future.

Regarding the new products such as the "SSE 50 Index" speculated by the market, relevant parties indicated that there was no progress in this regard. In the long run, CICC will establish a product system including equity, interest rate and exchange rate. At present, the main task is to ensure the smooth listing and safe operation of the Shanghai and Shenzhen 300 index futures, and there is no idea of launching other related products.

Legal rules

legal provision

Judging from the existing rules of various countries, the tax rules of most countries are based on the basic premise that stock index futures trading is a sales contract, such as Germany, the United States, Britain, Australia and so on. However, there are differences in the identification of the transaction target. For example, Germany believes that the trading target of stock index futures is a highly abstract stock index, which cannot be delivered in kind, while Britain believes that the trading target is the rights and obligations in the contract. At present, there are many disputes about the legal nature of stock index futures contracts in domestic academic circles, including three different theories: "buying and selling futures", "buying and selling futures contracts" and "compromise". All three theories believe that the stock index futures contract belongs to the sales contract, but if the stock index futures contract is a sales contract, the result of contract performance is "the seller transfers the ownership of the subject matter to the buyer", and the income obtained from this should be "the income from property transfer". However, according to Article 8, paragraph 9 of the Regulations for the Implementation of the Individual Income Tax Law, "property" refers to "valuable securities, shares, buildings, land use rights, machinery and equipment, vehicles and boats and other property", while Article 16 of the Regulations for the Implementation of the Enterprise Income Tax Law stipulates that "property" includes fixed assets, biological assets, intangible assets, shares and creditor's rights. According to the theory of "buying and selling futures contracts", futures trading is the auction of futures contracts in special places, that is, the general transfer of rights and obligations of futures contracts, which seems to belong to "creditor's rights" in property. However, although there is no clear definition of "creditor's rights" in the Implementation Regulations of the Enterprise Income Tax Law, the "creditor's rights" in the tax law do not have the same connotation and extension as the creditor's rights in the civil law, but only refer to the rights arising from monetary lending in the traditional sense. Therefore, although according to the civil law, stock index futures contracts contain creditor's rights, it is still difficult to be classified as "creditor's rights" in the tax law. In fact, whether stock index futures trading belongs to "contract trading" is still in doubt. From the actual transaction process, investors' opening position is the conclusion process of forward delivery contract, while hedging and closing position is to write off the original contract by concluding a new futures contract with the same quantity and the opposite direction. Investors didn't transfer their own stock index futures contracts, but because they hold two contracts with the same number and opposite directions at the same time, the performance of the new contract can just ensure the realization of the original contract, and the interests of all parties can be realized through the settlement system, thus ending the obligation of investors to participate in delivery and liquidation. Therefore, stock index futures trading is not "contract trading".

According to the viewpoint of "buying and selling futures", stock index futures trading is the behavior of traders buying and selling stock price index by concluding standardized futures contracts, and its subject matter is the stock price index compiled in a certain way and its ups and downs. The stock price index is a virtual non-physical economic symbol, which has no value in itself, so it seems difficult to classify it as "property" in the income tax law. Some scholars believe that although the stock index cannot be delivered in futures trading and can only be settled in cash, it can also become a "thing" in trading as long as it is legally recognized as a "fiction". But as the scholar emphasized, a virtual thing can be made into a legal thing, and it must be a real and realistic right, which can bring tangible benefits to the obligee. The stock index is an objective set of data, and its rise and fall are only related to the changes of some stock prices. In fact, it is still not dominated by manpower, so it is difficult to set any rights that can bring certain benefits above the stock index. Therefore, the stock index is not "property" and is not the object of stock index futures trading.

Stock index futures trading is based on the need to manage and avoid systemic risks. The purpose of participating in stock index futures trading is to undertake, transfer or manage certain risks with certain monetary investment. In this trading activity, the stock price index is only a reflection of the risk of the development and change of the stock market at a specific time in the future, or a carrier. The stock price index basically represents the trend and range of stock price changes in the whole market, and the stock price index at each time point reflects the risk of the stock market at that particular time point. This risk can be quantified as monetary value. Although the stock price index is a virtual existence, the risk it represents is real and can be expressed in money. The conclusion of stock index futures contract is not to realize the transfer and possession of stock value index, but to obtain the opportunity to avoid or bear specific risks at a specific time in the future through the conclusion of the contract. Therefore, stock index futures trading is actually an agreement on the transfer and commitment of future risks at the expense of a certain currency, and its target is the risk management right in a specific period. One party of the transaction transfers the risk management right, so as to get the corresponding reward, and the other party obtains the risk management right and pays a certain fee. In this kind of transaction, the stock price index is not the object of both parties' transactions, just like other financial products, it represents a specific type of market risk. The transaction price of stock index futures reflects the degree of future market risk changes and the value of risk management right determined by it. Therefore, the stock index futures contract is a trading contract with "risk management right" as the subject matter, with the stock price index as the reference, reflecting that its value changes with the change of the index. With the transfer of risk management right, the corresponding property between the parties has changed. The risk management right based on the stock price index is also a "property" that can bring tangible benefits to the obligee, and the increase or decrease of property caused by its transfer between the parties should have the effect of tax law.

Trading rules

The first point is to regard the market as a stock index. Since the stock index futures, what has the stock become? The stock has become a spot. Stocks are stocks, and stock indexes are futures. We do commodities, so the copper in the market is in stock, and I am here to do futures. Soybeans are in stock and futures are traded here. With the stock index, stocks are our spot. Futures have two main functions, the first is to avoid risks, and the second is to find prices. Hedging is the main way to avoid risks, and there will be many ways. The main research of firm trading. Let's have a look. Futures guide spot, and spot promotes futures. A simple inference from this sentence is that the stock index guides the market and the market pushes the stock index. When trading, we should pay attention to the fact that the stock index has gone up and the overall direction is the same. There is no doubt that it will develop in the same direction. It is said that in a minute or two, the stock index will guide the market. When you can't see its direction, you can just look at the stock index, which will tell you how to go.

Suppose the stock index goes up and the market goes down. If you wait here for a minute or two, you will see a turnaround in the market. The market turned up. When the market goes up, the stock index goes down, and the market goes up, pushing the stock index up, pushing the stock index up again, and the stock index up drives the market to continue to rise. The continuous rise of the broader market pushed the stock index to rise again. This time, picking onions in dry land happened at these 30 or 50 points. We saw the market upside down. At this time, you must never be empty again. After a while, you will jump ten points, and suddenly one will be thirty or fifty points, so that you can level the bill, and when it falls back, it will fall back ten points and eight points. Can you short, don't short, and continue to make more orders?

In the transaction, we saw the idea of making a single order. What is the first short line? The skill is to rely on the disk for a short time, so that you can feel a force instantly. Suppose there is a piece of paper here, then there is a force. This is an arrow, which can penetrate the paper, and I can also use it to pierce the paper. Of course, we know that the power of arrows is quite great. This is how the traders mentioned just now grasp these points. Look at the market in the short term and look at the trend in the long term. In the middle of the transaction, since we look at the market, we will do the stock index. When it appears in one direction, you should do it boldly. Both the market and the stock index are upward. Do more boldly and don't think too much. Every trader has a tiger in his heart. This tiger is always ready to run out, that is, afraid of losing it. In fact, in the transaction, don't think so much, you really have a bottom. When you look at the direction, you will find it easy to make money. If the two directions deviate, the market goes down and the stock index goes up, I will wait there, and I dare not short the order or make more orders until the two send the same signal.

treaty

Stock index futures contract is a standardized agreement made by futures exchange, and it is the object of stock index futures trading. Generally speaking, stock index futures contracts mainly include the following elements:

(1) contract object. That is, the basic assets of the stock index futures contract, such as the Shanghai and Shenzhen 300 stock index futures contract is the Shanghai and Shenzhen 300 stock price index.

(2) Contract value. The contract value is equal to the product of the index point of the market price of the stock index futures contract and the contract multiplier.

(3) The quotation unit and the lowest price change. The quotation unit of stock index futures contract is the index point, and the minimum change price is the minimum change range of the index point.

(4) Contract month. Refers to the month when the stock index futures contract is due for delivery.

(5) trading time. Refers to the time when stock index futures contracts are traded on the exchange. Investors should note that there may be special provisions on the trading hours of the last trading day.

(6) price restrictions. It means that the fluctuation range of the trading price of a futures contract in a trading day or a certain period of time shall not be higher or lower than the prescribed fluctuation range.

(7) Margin for contract transactions. Contract trading margin accounts for a certain proportion of the total contract value.

(8) mode of delivery. Stock index futures are delivered in cash.

(9) The last trading day and delivery date. Stock index futures contracts shall be settled in cash on the delivery date, and the specific arrangements for the last trading day and delivery date shall be implemented in accordance with the provisions of the exchange.