Shanghai and Shenzhen 300 index futures are delivered in cash, and the settlement price is the arithmetic average price of all index points in the last two hours of the maturity date. Under special circumstances, the exchange also has the right to adjust the calculation method to prevent market manipulation risks more effectively. The method of determining the final settlement price can effectively ensure that the spot price of the stock index converges at the last trading moment. The reasons for adopting this method can be summarized as follows: firstly, this is the inherent requirement of the financial one-price rate. Secondly, it can prevent the long-term irrational deviation of spot price difference and effectively control irrational speculation and market manipulation. This is because once irrational speculation or market manipulation leads to irrational deviation of spot price difference of stock index, there will be an arbitrage disk of this price difference, and the final settlement price can ensure that this arbitrage disk can achieve arbitrage. This method of determining the final settlement price has the same significance for hedging.
1 The compilation method of the underlying index corresponding to the Shanghai and Shenzhen 300 stock index futures is the weighted stock average method.
2. Weighted average stock price, also called weighted index, is the average stock price calculated by weighted average according to the relative importance of various sample stocks, and its weight (q) can be the number of stocks traded, the total market value of stocks, the circulation of stocks, etc.
3. When the weighted index falls below the monthly line, the probability of the index falling below the monthly line is less than 10 trading days.
When the weighted index falls below the monthly line, the probability that the index falls below the monthly line for more than 20 trading days is about 45%.
When the weighted index exceeds the monthly line, the probability that the index stays above the monthly line for less than 10 trading days is the greatest.
When the weighted index exceeds the monthly line, the probability that the index stays above the monthly line for more than 20 trading days is about 52%.