The determination of price limit mainly depends on the frequency and amplitude of price fluctuation in the spot market of the commodity. Generally speaking, the more frequent and violent the price fluctuation of a commodity, the greater the daily stop loss of the commodity futures contract; On the contrary, it is smaller.
The daily settlement system is established because the risk can only be controlled within one trading day. If the futures price fluctuates violently during the trading day, it may still cause large-scale losses or even overdrafts in the margin accounts of members and customers, and it will be difficult for futures exchanges to guarantee the performance of contracts and control risks. The implementation of the price limit can effectively slow down and restrain the ups and downs caused by some unexpected events and excessive speculation on futures prices, slow down the price fluctuations in each trading day, and control the losses of exchanges, members and customers within a relatively small range. Moreover, because this system can lock in the maximum profit and loss of the contracts held by members and customers every trading day, it creates favorable conditions for the implementation of the deposit system. This is because as long as the amount of margin charged to members and customers is greater than the amount of possible losses within the fluctuation range, it can be guaranteed that futures prices will not be overdrawn when they fluctuate to the daily limit or the daily limit.
Taking the Shanghai Futures Exchange as an example, the specific provisions of the price limit system are as follows:
First, the futures exchange implements the price limit system, and the exchange sets the daily maximum price fluctuation range of each futures contract.
Second, when futures contracts are traded at the daily limit price, the principles of liquidation priority and time priority apply to the transaction, but the principle of liquidation priority does not apply to new positions opened on the same day.
Three, unilateral discontinuous market (hereinafter referred to as unilateral market) refers to the futures contract with a buy (sell) declaration but only a stop-loss price, a sell (buy) declaration but no stop-loss price, or a sale (buy) declaration is made, but no stop-loss price is offered within 5 minutes before the closing of a trading day. Unilateral market in the same direction is called unilateral market when there is no continuous quotation on one side of the stop-loss board in the same direction for two consecutive trading days; On the next trading day after the appearance of unilateral quotation, there is no continuous quotation in the reverse direction, which is called reverse unilateral quotation.
Fourthly, when the futures contract has a unilateral market on a certain trading day (this trading day is called Dl trading day, and the following trading days are called D2, D3, D4, D5 and D6 trading days respectively), when the futures contract is settled on D 1 trading day, the trading margin of the contract will be adjusted as follows: the trading margin ratio of copper futures contract is 7%, and those higher than 7% will be charged according to the original proportion; The trading margin ratio of aluminum futures contracts is 7%, and those that have received more than 7% will be charged according to the original ratio; The trading margin ratio of natural rubber futures contracts is 7%, and if the charging ratio is higher than 7%, it will be charged according to the original ratio; The trading margin ratio of fuel oil futures contracts is 10%, and those with a charge ratio higher than 10% will be charged according to the original ratio. On the D2 trading day, the price of copper futures contracts is limited to 5%, aluminum futures contracts to 5%, natural rubber futures contracts to 6% and fuel oil futures contracts to 7%.
Fifth, if there is no unilateral market for futures contracts on D2 trading day, that is, the fluctuation range of copper futures contracts is less than 5%, aluminum futures contracts is less than 5%, natural rubber futures contracts are less than 6%, and fuel oil futures contracts are less than 7%, then the ratio of fluctuation range to trading margin will return to normal level on D3 trading day.
If there is a unilateral market in the opposite direction on D2 trading day, it will be regarded as the beginning of a new round of unilateral market, and the day will be regarded as Dl trading day. The trading margin and price limit of the next day shall be implemented with reference to Article 4 above.
If there is a unilateral market in the same direction on the D2 trading day, the trading margin of the contract will be adjusted as follows at the closing and settlement of the day: the trading margin ratio of copper futures contracts is 9%, and those with a charging ratio higher than 9% will be charged according to the original ratio; The trading margin ratio of aluminum futures contracts is 9%, and if the charging ratio is higher than 9%, it will be charged according to the original ratio; The trading margin ratio of natural rubber futures contracts is 9%, and if the charging ratio is higher than 9%, it will be charged according to the original ratio; The trading margin ratio of fuel oil futures contracts is l5%, and those with a charge ratio higher than 15% are charged according to the original ratio. On D3 trading day, the daily limit of copper futures contract, aluminum futures contract, natural rubber futures contract and fuel oil futures contract is 6%, 6% and 10% respectively.
Sixth, if there is no unilateral market in D3 trading day, that is, the fluctuation range of copper futures contract is less than 6%, aluminum futures contract is less than 6%, natural rubber futures contract is less than 6%, and fuel oil futures contract is less than 10%, then the ratio of price limit to trading margin will return to normal level in D4 trading day.
If there is a unilateral market in the opposite direction on the D3 trading day, it will be regarded as the beginning of a new round of unilateral market, and the day will be regarded as D 1 trading day. The trading margin and price limit of the next day shall be implemented with reference to Article 4.
If the futures contract has a unilateral market in the same direction on the D3 trading day (that is, it reaches the daily limit for three consecutive days), the copper futures contract will be charged 9% of the trading margin when it is closed and settled on the same day, and if the charging ratio is higher than 9%, it will be charged according to the original ratio; 9% trading margin is charged for aluminum futures contracts, and the original proportion is charged if the charging ratio is higher than 9%; Natural rubber futures contracts are charged with 9% trading margin, and those with a charge ratio higher than 9% are charged according to the original proportion; The fuel oil futures contract will be charged with 20% of the trading margin, and if it is higher than 20%, it will be charged according to the original proportion, and the exchange may suspend the payment of some or all members.
When the futures contract has a unilateral market in the same direction on D3 trading day (that is, it reaches the daily limit for three consecutive days), if D3 trading day is the last trading day of the contract, the contract will directly enter delivery; If D4 trading day is the last trading day of the contract, the contract will continue trading on D4 trading day according to the price limit and margin level of D3 trading day; Except for the above two cases, the contract on D4 trading day will be suspended for one day. On the D4 trading day, the Exchange decided to implement one of the following two measures for copper, aluminum, natural rubber and fuel oil futures contracts according to market conditions:
Measure 1: On the D4 trading day, the Exchange decided and announced that on the D5 trading day, it would adopt one or more unilateral or bilateral measures with the same or different proportions, and some or all members would increase the trading margin, suspend some or all members from opening new positions, adjust the range of price limit, limit the withdrawal of funds, close positions within a time limit, and forcibly close positions to resolve market risks; However, the adjusted price limit does not exceed 20%. After the exchange announces the adjustment of the margin level, those with insufficient margin must be added before the opening of D5 trading day. If the fluctuation range of the futures contract does not reach the daily limit on D5 trading day, the ratio of fluctuation limit to trading margin of the futures contract on D6 trading day will return to normal level; If the fluctuation range of the futures contract reaches the daily limit in the same direction as that in the D3 trading day, the Exchange will declare it abnormal and take risk control measures according to relevant regulations; If the fluctuation range of futures contracts on D5 trading day reaches the daily limit on D3 trading day, it is regarded as the beginning of a new round of unilateral market, and that day is regarded as Dl trading day. The margin and daily limit for the next trading day shall be implemented with reference to Article 4.
Measure 2: At the time of settlement on the D4 trading day, the Exchange will automatically match the open position declaration at the price limit on the D3 trading day with the profitable investors (or non-brokerage members) of the net position of the contract according to their positions. If the same investor holds a two-way position, he will close the position first and then close the position according to the above method.
The so-called price limit system, also known as the daily maximum price fluctuation limit, means that the trading price fluctuation range of futures contracts in a trading day should not be higher or lower than the specified price fluctuation range, and the quotation exceeding this price fluctuation range will be regarded as invalid and cannot be traded. The price limit is generally determined according to the settlement price of the previous trading day of the contract (generally in the form of percentage and fixed quantity). In other words, the settlement price of the last trading day plus the maximum allowable increase constitutes the upper limit of the price increase of that day, which is called the daily limit; The settlement price of the previous trading day minus the maximum allowable decline constitutes the lower limit of the price decline of that day, which is called the daily limit.
The determination of price limit mainly depends on the frequency and amplitude of price fluctuation in the spot market of the commodity. Generally speaking, the more frequent and violent the price fluctuation of a commodity, the greater the daily stop loss of the commodity futures contract; On the contrary, it is smaller.
The daily settlement system is established because the risk can only be controlled within one trading day. If the futures price fluctuates violently during the trading day, it may still cause large-scale losses or even overdrafts in the margin accounts of members and customers, and it will be difficult for futures exchanges to guarantee the performance of contracts and control risks. The implementation of the price limit can effectively slow down and restrain the ups and downs caused by some unexpected events and excessive speculation on futures prices, slow down the price fluctuations in each trading day, and control the losses of exchanges, members and customers within a relatively small range. Moreover, because this system can lock in the maximum profit and loss of the contracts held by members and customers every trading day, it creates favorable conditions for the implementation of the deposit system. This is because as long as the amount of margin charged to members and customers is greater than the amount of possible losses within the fluctuation range, it can be guaranteed that futures prices will not be overdrawn when they fluctuate to the daily limit or the daily limit.
Taking the Shanghai Futures Exchange as an example, the specific provisions of the price limit system are as follows:
First, the futures exchange implements the price limit system, and the exchange sets the daily maximum price fluctuation range of each futures contract.
Second, when futures contracts are traded at the daily limit price, the principles of liquidation priority and time priority apply to the transaction, but the principle of liquidation priority does not apply to new positions opened on the same day.
Three, unilateral discontinuous market (hereinafter referred to as unilateral market) refers to the futures contract with a buy (sell) declaration but only a stop-loss price, a sell (buy) declaration but no stop-loss price, or a sale (buy) declaration is made, but no stop-loss price is offered within 5 minutes before the closing of a trading day. Unilateral market in the same direction is called unilateral market when there is no continuous quotation on one side of the stop-loss board in the same direction for two consecutive trading days; On the next trading day after the appearance of unilateral quotation, there is no continuous quotation in the reverse direction, which is called reverse unilateral quotation.
Fourthly, when the futures contract has a unilateral market on a certain trading day (this trading day is called Dl trading day, and the following trading days are called D2, D3, D4, D5 and D6 trading days respectively), when the futures contract is settled on D 1 trading day, the trading margin of the contract will be adjusted as follows: the trading margin ratio of copper futures contract is 7%, and those higher than 7% will be charged according to the original proportion; The trading margin ratio of aluminum futures contracts is 7%, and those that have received more than 7% will be charged according to the original ratio; The trading margin ratio of natural rubber futures contracts is 7%, and if the charging ratio is higher than 7%, it will be charged according to the original ratio; The trading margin ratio of fuel oil futures contracts is 10%, and those with a charge ratio higher than 10% will be charged according to the original ratio. On the D2 trading day, the price of copper futures contracts is limited to 5%, aluminum futures contracts to 5%, natural rubber futures contracts to 6% and fuel oil futures contracts to 7%.
Fifth, if there is no unilateral market for futures contracts on D2 trading day, that is, the fluctuation range of copper futures contracts is less than 5%, aluminum futures contracts is less than 5%, natural rubber futures contracts are less than 6%, and fuel oil futures contracts are less than 7%, then the ratio of fluctuation range to trading margin will return to normal level on D3 trading day.
If there is a unilateral market in the opposite direction on D2 trading day, it will be regarded as the beginning of a new round of unilateral market, and the day will be regarded as Dl trading day. The trading margin and price limit of the next day shall be implemented with reference to Article 4 above.
If there is a unilateral market in the same direction on the D2 trading day, the trading margin of the contract will be adjusted as follows at the closing and settlement of the day: the trading margin ratio of copper futures contracts is 9%, and those with a charging ratio higher than 9% will be charged according to the original ratio; The trading margin ratio of aluminum futures contracts is 9%, and if the charging ratio is higher than 9%, it will be charged according to the original ratio; The trading margin ratio of natural rubber futures contracts is 9%, and if the charging ratio is higher than 9%, it will be charged according to the original ratio; The trading margin ratio of fuel oil futures contracts is l5%, and those with a charge ratio higher than 15% are charged according to the original ratio. On D3 trading day, the daily limit of copper futures contract, aluminum futures contract, natural rubber futures contract and fuel oil futures contract is 6%, 6% and 10% respectively.
Sixth, if there is no unilateral market in D3 trading day, that is, the fluctuation range of copper futures contract is less than 6%, aluminum futures contract is less than 6%, natural rubber futures contract is less than 6%, and fuel oil futures contract is less than 10%, then the ratio of price limit to trading margin will return to normal level in D4 trading day.
If there is a unilateral market in the opposite direction on the D3 trading day, it will be regarded as the beginning of a new round of unilateral market, and the day will be regarded as D 1 trading day. The trading margin and price limit of the next day shall be implemented with reference to Article 4.
If the futures contract has a unilateral market in the same direction on the D3 trading day (that is, it reaches the daily limit for three consecutive days), the copper futures contract will be charged 9% of the trading margin when it is closed and settled on the same day, and if the charging ratio is higher than 9%, it will be charged according to the original ratio; 9% trading margin is charged for aluminum futures contracts, and the original proportion is charged if the charging ratio is higher than 9%; Natural rubber futures contracts are charged with 9% trading margin, and those with a charge ratio higher than 9% are charged according to the original proportion; The fuel oil futures contract will be charged with 20% of the trading margin, and if it is higher than 20%, it will be charged according to the original proportion, and the exchange may suspend the payment of some or all members.
When the futures contract has a unilateral market in the same direction on D3 trading day (that is, it reaches the daily limit for three consecutive days), if D3 trading day is the last trading day of the contract, the contract will directly enter delivery; If D4 trading day is the last trading day of the contract, the contract will continue trading on D4 trading day according to the price limit and margin level of D3 trading day; Except for the above two cases, the contract on D4 trading day will be suspended for one day. On the D4 trading day, the Exchange decided to implement one of the following two measures for copper, aluminum, natural rubber and fuel oil futures contracts according to market conditions:
Measure 1: On the D4 trading day, the Exchange decided and announced that on the D5 trading day, it would adopt one or more unilateral or bilateral measures with the same or different proportions, and some or all members would increase the trading margin, suspend some or all members from opening new positions, adjust the range of price limit, limit the withdrawal of funds, close positions within a time limit, and forcibly close positions to resolve market risks; However, the adjusted price limit does not exceed 20%. After the exchange announces the adjustment of the margin level, those with insufficient margin must be added before the opening of D5 trading day. If the fluctuation range of the futures contract does not reach the daily limit on D5 trading day, the ratio of fluctuation limit to trading margin of the futures contract on D6 trading day will return to normal level; If the fluctuation range of the futures contract reaches the daily limit in the same direction as that in the D3 trading day, the Exchange will declare it abnormal and take risk control measures according to relevant regulations; If the fluctuation range of futures contracts on D5 trading day reaches the daily limit on D3 trading day, it is regarded as the beginning of a new round of unilateral market, and that day is regarded as Dl trading day. The margin and daily limit for the next trading day shall be implemented with reference to Article 4.
Measure 2: At the time of settlement on the D4 trading day, the Exchange will automatically match the open position declaration at the price limit on the D3 trading day with the profitable investors (or non-brokerage members) of the net position of the contract according to their positions. If the same investor holds a two-way position, he will close the position first and then close the position according to the above method.
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