The price of this contract is limited to 4% of the settlement price of the previous trading day.
On the day when the new futures contract is listed, the price limit is 2 times (8%) of the actual price limit of the futures contract.
If there is a transaction on the same day, the next trading day will be restored to the prescribed price limit.
If there is no transaction on that day, the next trading day will continue to implement the price limit range of the previous trading day.
If a futures contract is closed at the price of the price limit, the principle of closing is to close the position first and time first.
When a futures contract has a buy (sell) declaration with a stop-loss price, a sell (buy) declaration without a stop-loss price, or a deal is made as soon as a sell (buy) declaration is made, but the stop-loss price is not offered within 5 minutes before the closing of the trading day, it is called a unilateral market without a stop-loss price (hereinafter referred to as a unilateral market).
If a futures contract is unilaterally quoted on a certain trading day (this trading day is called D 1 trading day, and the subsequent trading days are called D2, D3 and D4 trading days respectively), when the futures contract is settled on D 1 trading day and D2 trading day, the trading margin standard will be increased by 50% on the basis of the original trading margin standard; On D2 trading day, the price limit of the futures contract was increased by 50% on the basis of the original price limit.
If there is no unilateral market in the same direction in the futures contract on D2 trading day, the trading margin standard will be restored to the pre-adjustment level at the time of settlement on that day; On the D3 trading day, the daily limit returned to the level before adjustment. If there is a unilateral market in the same direction on the D2 trading day, the improved trading margin standard will remain unchanged on the settlement date and the D3 trading day, and the price limit of the D3 trading day will remain unchanged.
If there is no unilateral quotation in the same direction in the futures contract on the D3 trading day, the trading margin standard will be restored to the pre-adjustment level at the settlement of that day; The daily limit of D4 trading day returned to the pre-adjustment level. If the futures contract still has the same unilateral market on the D3 trading day (that is, the same unilateral market appears for three consecutive trading days), the futures contract will be suspended for one day on the D4 trading day.
According to the market situation, the Exchange decided to take corresponding measures for the selection of futures contracts on D4 trading day or D5 trading day.
D4 trading day forced lightening.
Take the following measures on D5 trading day:
(1) Raising the trading margin standard;
(2) Adjust the range of price limit;
(3) Suspension of opening and closing positions;
(4) Restrict the withdrawal of funds.
(5) Closing positions within a time limit.
(6) Other risk control measures.
Forced lightening refers to all positions of customers (including non-futures company members, the same below) whose unit position loss declared by the closing price of D3 trading day is greater than or equal to a certain proportion of the settlement price of D3 trading day (the minimum trading margin standard stipulated in futures contracts), and automatically matched with the profitable positions of futures contracts according to the prescribed ways and methods.
Before compulsory lightening, the two-way positions of the same customer in the futures contract are automatically hedged first.
After the compulsory lightening, the trading margin standard and the price limit range of the futures contract on the next trading day shall be implemented according to the pre-adjustment level. The economic losses caused by compulsory lightning shall be borne by members and their customers.
Methods and procedures of forced lighting:
(1) Determination of the declared quantity
After the closing of trading day D3, the stop-loss price has been reported in the computer system, but the transaction has not been completed, and the unit position loss of the customer's futures contract is greater than or equal to the sum of all declared positions that have been closed under a certain proportion of the settlement price of trading day D3 (the minimum trading margin standard stipulated in futures contracts). When the customer's position is less than the quotation number of the closing order due to the automatic hedging of the customer's two-way position, the system will automatically adjust the closing quantity. If the customer is unwilling to close the position according to the above method, he can cancel the order before the market closes, and it will not be declared as closing the position. Calculation method of profit and loss of customer unit position;
Sum of profit and loss of customer positions in this futures contract (yuan) = profit and loss unit of customer positions in this futures contract/customer positions in this futures contract (hand)
The total profit and loss of customers' positions in the futures contract refers to the total profit and loss of customers' positions in the futures contract, which is calculated according to the difference between the actual transaction price and the settlement price of the day.
(2) Determination of the liquidation scope of profitable customers.
Speculative positions (including intertemporal arbitrage positions) and hedging positions with customer unit position profits calculated according to the above methods are included in the liquidation scope.
(3) Principles and methods for the distribution of closed positions.
1. Closing distribution principle
(1) Within the scope of liquidation, it is divided into four levels according to the size of profit and the difference between speculation and hedging, and distributed step by step.
It is first allocated to speculative positions (hereinafter referred to as speculative positions with twice the profit) whose profit is greater than or equal to the price range specified in the futures contract (calculated at the settlement price of D3 trading day, the same below).
Secondly, it is allocated to speculative positions whose profit is greater than or equal to the specified price range of futures contracts 1 times (hereinafter referred to as speculative positions with profit 1 times).
Redistribute to speculative positions with profit greater than or equal to the specified price range of futures contracts 1 times (hereinafter referred to as speculative positions with profit less than 1 times).
Finally, it is allocated to a hedging position with a profit greater than or equal to 2 times the contract price range (hereinafter referred to as a hedging position with 2 times the profit).
(2) The distribution ratio of the above levels is based on the ratio of the declared liquidation quantity (remaining declared liquidation quantity) to the closeable profit positions at all levels.
2. Distribution methods and steps of liquidation.
If the number of speculative positions with twice profit is greater than or equal to the declared closed position, the declared closed position will be distributed to speculative customers with twice profit according to the ratio of the declared closed position to the speculative positions with twice profit. If the number of speculative positions with twice profit is less than the declared liquidation number, the actual liquidation number will be distributed to the declared liquidation customers according to the ratio of speculative positions with twice profit to the declared liquidation number; Then the remaining declared positions are allocated to speculative positions with profit 1 times according to the above allocation method; There is still the rest, and then it will be profitable.
1 times the allocation of speculative positions below profit; If there is a surplus, it will be allocated to the hedging position with 2 times the profit; If there is any left, I won't send it. For specific methods and steps, see the annex to the present Measures. The number of positions closed shall be in "hands", and those less than one hand shall be calculated as follows. First, the integer part of the closed position quantity is allocated to each transaction code, and then the decimal part is allocated in the order of "rounding".
If the futures contract risk has not been released after taking the above measures, the Exchange will declare that it has entered an abnormal situation and take risk control measures according to relevant regulations.
Where a futures contract has a unilateral market on the first day of a new futures contract, the price limit and trading margin standards of the futures contract are not subject to the above provisions in this chapter. Except for thermal coal, if the futures contract has a unilateral market since the middle of one month before the delivery month, the trading margin standard of the futures contract is not restricted by the above provisions in this chapter.
If the futures contract shows the third consecutive unilateral market in the same direction on the last trading day of the delivery month, after the market closes on that day, the exchange will decide to implement compulsory lightening of the futures contract first, and then conduct paired delivery or direct paired delivery.