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What are the methods to determine the settlement price of stock index futures contracts?
In the international market, stock index futures are all delivered in cash, and there are four main ways to determine the settlement price of delivery, namely: the closing price of the spot market on the last trading day; The average price of the spot market for a period of time on the previous trading day; Weighted average price of trading volume for a period of time after the spot opening on the delivery date: the special opening price of the spot market on the delivery date. Delivery method: Shanghai and Shenzhen 300 stock index futures contracts adopt cash delivery method. The trading hours of Shanghai and Shenzhen 300 stock index futures are 9:15-1:30, 13: 00- 15, which is 65438+ earlier than the stock trading. That is, when the contract expires, according to the rules and procedures of the exchange, both parties to the transaction settle the cash difference at the delivery settlement price, without delivering a basket of stocks and other spot to settle the expired open contract. Remind investors that on the last trading day, the closing time of Shanghai and Shenzhen 300 stock index futures trading is the same as that of stock trading, both of which are 15:00. Futures contracts take the settlement price of the day as the basis for calculating the profit and loss of the day. The specific calculation formula is as follows: daily profit and loss = ∑ [(selling transaction price-today's settlement price) × selling quantity× contract multiplier]+∑ [(today's settlement price-buying transaction price) × buying quantity× contract multiplier]+(last trading day's settlement price-today's settlement price) × (last trading day's selling position-last trading day's buying position )× contract multiplier. An investor holds a stock index futures contract 10 on the last trading day, and the settlement price on the last trading day is 1500 points. On that day, the investor bought 8 long positions in the contract at the transaction price of 1505, and sold 5 positions at the transaction price of 15 10. The settlement price of the day is 15 15. Then the daily profit and loss is calculated as follows: daily profit and loss = [(1510-1515) × 5]+[(1515000] If the contract multiplier of the contract is 300 yuan/point, the investor's profit and loss on that day is 205 points ×300 yuan/point = 6 1500 yuan.