Petroleum asphalt futures contracts have been listed and traded since Wednesday, 20 13 10.
(1) Minimum trading margin: 4% of the contract value.
According to the EWMA margin rate distribution analysis of the spot price data of domestic and imported heavy traffic asphalt in East China from June 5438+1 October1to February 3 1 February 2008, the 4% margin level can cover more than 98% of the risk of price fluctuation on trading days.
(2) Quotation unit: RMB/ton
The asphalt spot trading unit is the same as the futures quotation unit, and it is also the same as other major futures varieties, which is convenient for investors to remember and use. Therefore, RMB/ton is more suitable as the quotation unit of asphalt futures.
(3) Minimum floating price: 2 yuan/ton.
The daily price limit is 3%, the daily price fluctuation range is about 135- 150 yuan/ton, and the trading unit is 10 ton, and the price fluctuates by 70-80 points every trading day, which is reasonable. Due to the continuous and high-frequency trading in the futures market, in view of the low unit price of asphalt, the unit price of asphalt futures was designed as 2 yuan/ton in the previous period, which is helpful to improve the price discovery function of the futures market and make the price discovery more accurate and timely. At the same time, considering the investors' capital income, for small and medium-sized investors, 2 yuan/ton is adopted as the minimum variable price, the first contract is 10 ton, and the minimum variable value of each contract is 20 yuan. After the transaction costs are removed, there is still investment income, which is conducive to attracting investors to participate, improving market liquidity and reducing transaction risks.
(4) Maximum daily price fluctuation limit (price fluctuation limit): it shall not exceed 3% of the settlement price of the previous trading day.
Fluctuation range of asphalt spot price From the representative East China region, according to the statistical analysis of domestic and imported heavy asphalt spot price data from 65438+2008 10 to 65438+2065438+February 3 1, the single-day price fluctuation range of 98% trading days is within 3%. Therefore, the daily fluctuation range of 3% basically covers the fluctuation range of spot prices, which is conducive to controlling market risks. Limiting the daily price fluctuation within 3% can not only ensure that the asphalt futures price has a certain fluctuation space, but also match the margin ratio of 4%, which is conducive to controlling risks.
(5) Contract delivery month: within 24 months.
Within 24 months, the latest 1-6 months is a continuous monthly contract, and 6 months later is a quarterly contract. As one of the energy products, asphalt has the characteristics of continuous production. In order to ensure the hedging demand of related enterprises, the last six months are designed as delivery months, which can provide enterprises with better hedging operations to meet the spot demand. In addition, the delivery month of crude oil in the international market is generally 5 years, and it is designed as a quarterly contract after 6 months to test the operability of domestic crude oil futures quarterly contracts in advance.
(VI) Last trading day: On 15 of the delivery month of the contract (postponed in case of legal holidays), the asphalt will be delivered in standard warehouse receipt, which is the same as the non-ferrous metals of the exchange. At the same time, personalized settings are made according to the delivery characteristics of asphalt products, which is in line with the spot market practice. It is convenient for factories and warehouses to inform delivery preparation and schedule management when delivering goods in kind.