I. Contract specifications
1, subject matter of the contract
50ETF and soybean meal option are both real options, the former is based on "50ETF fund" and the latter is based on "futures contract corresponding to the month".
2. Contract value and change unit
50ETF option trading units quote in the form of "yuan/share", and the minimum change unit of option price is 0.0005438+0 yuan.
The soybean meal option is quoted in the form of "yuan/ton", so the option fee of 1 soybean meal option is equal to "quoted price * 10".
3. Expiration time
Generally speaking, the maturity of 50ETF option is 3 days later than the corresponding futures contract, and the maturity of soybean meal option is about 1 month earlier than the underlying futures.
4. This contract
50ETF option is a financial option, the recent contract is the main force, and the soybean meal option will be affected by the underlying futures, and the option in the month where the main futures contract is located is the main contract:
Second, the trading rules
1, trading time
50ETF options include opening and closing positions in call auction, while soybean meal options only open positions in call auction without closing positions in call auction.
2. Trading rules
The main difference between 50ETF and soybean meal option in trading rules is that the former has a fuse system and the latter does not; And 50ETF options are ready to open/close positions, and soybean meal options are not available for the time being.
3. Exercise system
50ETF is a European option, which can only be exercised on the expiration date; Soybean meal option is an American option, which can be exercised on any trading day before expiration.
4. Edge
Although the margin formulas of 50ETF and soybean meal option are different, they are essentially the same, and both adopt nonlinear margin model, which reduces the proportion of virtual value obligation warehouse to pay margin.
5. Warehouse restriction system
50ETF options implement the position limit system from three dimensions: right position, total position and one-day opening position, while soybean meal options limit the number of "options holding one-way positions in the same month".
Third, the value characteristics
1, pricing target
50ETF option: Although the target of calculation is 50ETF fund, the price of 50ETF adjusted by "(IH Futures/SSE 50 Index) *50ETF price" is more significant for pricing, which can avoid the big difference of implied volatility between call option and put option.
Soybean meal option: the monthly futures contract corresponding to the option contract plays a decisive role in pricing.
2. Discounting of real options
Influenced by the trading mechanism and the intrinsic properties of European options, the real-valued European options that are about to expire may be discounted, that is, "the premium is less than the intrinsic value and the time value is negative". For American options, it is basically impossible to discount real options because of the existence of early exercise mechanism, because once discounted, the holders of bullish soybean meal options can use "declared exercise+soybean meal futures short position" for arbitrage; The obligee of put option can use "declaring exercise right+soybean meal futures long position" for arbitrage.
3. Pricing model
50ETF option: BS pricing model is adopted.
Soybean meal option: large companies adopt BAW pricing model. At the same time, investors can consider using binary tree pricing model (also known as CRR method) and Monte Carlo simulation to price soybean meal options.
4. Additivity of Greek letters
Because 50ETF options have a unified pricing target, the Greek letters between option contracts can barely be added (but it is necessary to pay attention to the addition of Vega values in different months and need to be fine-tuned). However, because the pricing target of soybean meal option is the futures contract in the corresponding month, the trend of soybean meal futures in different months may be quite different, especially the price difference between main and non-main soybean meal futures is usually large. Therefore, you can add the Greek letters of soybean meal options in the same month contract, but you can add the Greek letters of cross-month contracts.