Investors engaged in futures trading, whether long or short, must deliver open positions if they do not reverse their positions before the last trading day. The delivery system is an important bridge connecting the spot market and the futures market, and it is an important institutional guarantee to ensure the normal return of futures prices and the convergence with spot prices.

2. What are the delivery methods of stock index futures?

Futures delivery methods can generally be divided into two categories: physical delivery and cash delivery. Commodity futures are mostly delivered in kind and stock index futures are delivered in cash. The reason is that the cost of physical delivery of constituent stocks in stock index futures according to the index weight is too high, and the actual operation is not feasible. Therefore, the delivery of stock index futures is settled in cash according to the level of spot index, thus ensuring the mandatory convergence of futures prices to spot prices.

3. How to determine the settlement price of stock index futures?

There are two main rules to determine the maturity settlement price of stock index futures: single price and average price. Most of the earliest stock index futures contracts use a single spot closing price as the delivery price, which is easy to produce "expiration effect" and "three witch effects" After discovering this problem, some markets changed the delivery price of stock index futures to a special opening price on the day after the last trading day, and the "three witches effect" disappeared, but the "maturity effect" was transferred to the opening of the next day. Later, most markets turned to the average price rule.

Specifically: (1) If we emphasize the improvement of arbitrage (hedging) efficiency, reduce the deviation between futures and spot, and reduce the deviation between delivery settlement price and index closing or opening price, we may tend to adopt simple closing and special opening price as delivery settlement price. (2) If anti-manipulation is emphasized to avoid the maturity effect, the average price of a certain period before closing may be used to determine the settlement price of delivery relatively complicated, thus increasing the manipulation cost.

At present, most stock index futures use the average price method to determine the settlement price.

Four, the world's major stock index futures contracts are used to determine the settlement price?

After more than 30 years of development, there are two methods to calculate the settlement price of major international stock index futures contracts: single price and average price.

(1) For the single price part, Brazil, South Korea and other exchanges adopt the closing price, and the United States, Japan and other exchanges adopt the special opening price.

(2) In the part of average price, most countries adopt arithmetic average price. The sampling time for calculating the settlement price varies from the shortest 10 minute to the longest all-day trading time, but most of them are between 20 minutes and 60 minutes.

Shanghai and Shenzhen 300 adopts arithmetic average price, and selects the last two hours as the sampling time, which greatly enhances its anti-manipulation ability and performs well in the major stock index futures contracts in the world.

5. How to determine the settlement date of Shanghai and Shenzhen 300 stock index futures delivery?

The stock index futures contract shall be settled in cash on the final settlement date. The specific arrangements for the last trading day and the final settlement date shall be implemented according to the regulations of the Exchange, which is now stipulated as the third Friday of the contract expiration month, and shall be postponed in case of legal holidays.

6. How to determine the settlement price of Shanghai and Shenzhen 300 stock index futures? Why?

According to the principle of "high standard and steady start", the Shanghai and Shenzhen 300 stock index futures in China investigated the long exploration of different delivery methods of stock index futures in various markets at the beginning of contract design, combined with the actual situation of China's stock market, gave full play to the advantages of latecomers and focused on preventing manipulation, and chose the arithmetic average price of the spot index in the last two hours of delivery date with relatively complicated calculation, high manipulation cost and good anti-manipulation ability. The settlement price determined by this method is costly and difficult to manipulate.

Seven, the Shanghai and Shenzhen 300 stock index futures settlement price VS delivery settlement price.

Today's settlement price: futures trading adopts the debt-free settlement system of the day. After the daily transaction, the fund status of members or investors will be settled, and the settlement benchmark price is the settlement price of the day. The settlement price of Shanghai and Shenzhen 300 stock index futures on the same day refers to the weighted average price of a futures contract in the last hour according to the trading volume. The calculation result is retained to one decimal place and rounded according to the minimum change price.

Settlement price: the settlement price of Shanghai and Shenzhen 300 stock index futures is the arithmetic average price of the last two hours of the last trading day of the underlying index. The calculation result is retained to two decimal places. (Stock index futures contracts are settled in cash on the final settlement date. The specific arrangements for the last trading day and the final settlement date shall be implemented in accordance with the regulations of the Exchange, which is now stipulated as the third Friday of the expiration month of the contract, and shall be postponed in case of legal holidays. )

So the settlement price of the last trading day is different from the settlement price of delivery.