Shanghai and Shenzhen 300 index futures are delivered in cash, and the settlement price for delivery 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.
Contract size and deposit level
Generally speaking, the margin level should be adapted to the historical maximum volatility of the stock index, and its proportion varies according to the risk of holding positions. Therefore, the margin ratio of arbitrage position in stock index futures should be the smallest, followed by hedging position and speculative position. However, from the current exposure draft, it can be found that the exchange has not made specific provisions on the margin of arbitrage and hedging positions, and it can only be understood that the 8% margin is applicable to all trading positions. Therefore, the author suggests that the exchange make other specific provisions on the margin of hedging and arbitrage positions.
According to relevant regulations, investors in stock index futures must trade through futures companies. In order to control risks, futures companies will charge a certain percentage of margin on the basis of 8% margin charged by the exchange, which will generally reach 12%. After a period of tentative trading, it is possible for futures companies to gradually reduce the margin collection ratio.
If the futures company collects the customer's deposit according to 12%, then trading 1 hand stock index futures needs a deposit of about 50,000 yuan. According to relevant statistics, the number of individual investor accounts with a capital scale of 654.38+10,000 yuan in China stock market accounts for less than 5% of the total. Therefore, it is estimated that there will not be too many small and medium-sized investors participating in stock index futures at the initial stage of listing, the market speculation share may be insufficient, and the institutional hedging market will or will lack enough counterparties, which may lead to market liquidity problems. Therefore, the author thinks that the contract multiplier of 300 is somewhat large, and 200 may be more appropriate.
Daily price fluctuation limit and fuse mechanism
The significant difference between stock index futures trading, commodity futures trading and stock spot trading lies in the introduction of fuse mechanism. The purpose of using the fuse mechanism is to let investors have a cooling-off period when the price suddenly changes, so as to prevent overreaction. The fuse system also provides investors with arbitrage opportunities and increases market liquidity. According to the theory of financial futures position cost model, there is a fixed spread between the spot index of stock index and the price of futures index, and the fuse may stop rising or falling. At this time, if the spot price of the stock index continues to rise or fall, the spot spread will expand, bringing arbitrage opportunities to the market. The convergence of spot price on the last trading day of stock index period can theoretically ensure the realization of this arbitrage.
Minimum floating price and handling fee
It is also in line with the market reality that the minimum price change range of Shanghai and Shenzhen 300 index futures is set at 0.2, which makes trading easier. The minimum price change of 0.2 reduces the tracking deviation of investors' hedging and arbitrage. The lowest fluctuating price and handling fee are related to the lowest income of traders, and their proportion is also closely related to the activity and depth of the market. If the minimum fluctuation price is too small, speculators will be unwilling to provide real-time trading because of lower profits, and their speculative interest will be reduced, which will further affect the liquidity and depth of the market; The lowest fluctuating price is too large, so it is difficult for the market to form a smooth supply and demand curve, which is not conducive to reflecting the real price trend.
The transaction fee for the Shanghai and Shenzhen 300 Index futures is 30 yuan/lot (including risk reserve). In the actual transaction process, the futures company will also charge a certain percentage of fees on the basis of the exchange fees. If the futures company adds 20 yuan/hand, the handling fee for investors to complete a transaction is 100 yuan/hand. Compared with the lowest price range in 60 yuan, this charging standard is too high. Therefore, this charging standard is not conducive to the entry and exit of short-term investors, nor to the improvement of market liquidity. The author believes that the transaction fee standard should be lowered.
Influence of Shanghai and Shenzhen 300 Index Futures on Stock Market
The correlation between the Shanghai and Shenzhen 300 Index and the Shanghai Composite Index is above 97%, the total market value coverage is about 70%, and the circulating market value coverage is about 59%. The Shanghai and Shenzhen 300 Index is highly recognized by the market because of its high market value coverage and strong representativeness. At the same time, the cumulative weight of the former 10 constituent stocks is about 19%, and the cumulative weight of the top 20 constituent stocks is about 28%. The characteristics of high market coverage and scattered weight of constituent stocks determine that the index has good anti-manipulation ability and is the most suitable index for stock index futures in Shanghai and Shenzhen stock markets at present.
The introduction of stock index futures will make the constituent stocks of Shanghai and Shenzhen 300 Index more concerned by the market, and its strategic role will also be enhanced. In particular, super-large blue-chip stocks will play a stronger strategic role in constituent stocks, bringing corresponding market premiums. At present, the competition between domestic stock market and banking industry reflects this significance.
Influence of the introduction of Shanghai and Shenzhen 300 index futures on the fund
The introduction of stock index futures may have a far-reaching impact on index funds and help improve the liquidity of index funds. When there are spot arbitrage opportunities in the market, the impact cost and replication error of buying and selling stocks are large, so index funds will become an effective way to replicate the underlying index. At present, there are two lofs on the market, Jiashi 300 and Dacheng 300, which track the Shanghai and Shenzhen 300 index, and their liquidity is relatively low. There are also ETFs highly related to the CSI 300, which may become the first choice for spot arbitrage and greatly improve the liquidity of such funds.
Simulated trading of Shanghai and Shenzhen 300 index futures
By 65438+February 1, the simulated futures trading has been completed for one month. In the whole trading process, ordinary investors exposed many operational problems, mainly ignorance of the concept of futures and lack of ability and experience in controlling futures index risks. For example, the relationship between currency and forward contracts is unclear, futures are often made in cash, and many investors "speculate" on the stock market. The price in futures is the only change, and the future price change depends on the strength competition between long and short sides and the actual supply and demand relationship of fundamentals, which is very different from spot trading in the stock market.
The most important difference in operation concept lies in the control ability of trading funds. Because the futures adopt the margin system, investors need to keep a certain risk reserve besides trading margin, which can better provide a certain degree of protection for future risks. Otherwise, in actual operation, it is likely to explode, and Man Cang trading often appears in the stock market, which will not bring investors the risk of unexpected transaction amount. But in the futures market, if there is an extreme market, the 8% margin will appear in the same direction three times in a row.
Although the current spot stock market is on the rise, it does not mean that the futures market will continue to rise, because futures are the future trend of the spot, and the price discovery function of futures lies in finding the future price of the spot, so investors should learn to short, especially novices who have never engaged in futures trading, and learn the unique tools of the futures market. Appropriate short selling and appropriate long selling can give them more profit opportunities. At least many institutions entered the market to hedge.
Rational analysis, safe operation and good mentality are the magic weapons for futures and even futures trading to win.