1, trading time
/kloc-opens early in 0/5 minutes and closes late in 0/5 minutes.
According to the provisions of the Shanghai and Shenzhen 300 stock index futures contracts, the trading time is "9: 25 am-165438+0: 30 pm, 13: 00-65438+ 05: 00 pm", and the last trading day is "9: 25 am-/kloc-0".
Zheng Dong, a senior consultant of futures, said that the futures market in the United States is trading for 24 hours, while in Taiwan Province, China, it is increased by 15 minutes in the morning and evening.
2. Limit board
According to the provisions of the Shanghai and Shenzhen 300 stock index futures contracts, the maximum daily price fluctuation is limited to 7% of the settlement price of the previous trading day.
Step 3: Edge
In order to strengthen risk control, the revised business rules increase the minimum trading margin of stock index futures from 10% to 12%. At the same time, in order to ensure the pertinence of the margin adjustment level of the unilateral stock exchange, the restrictive provisions of the margin adjustment of the unilateral stock exchange were revised.
The revised draft stipulates that "if a futures contract has a unilateral market on a certain trading day, the exchange may raise the trading margin standard at the time of settlement on that day". The previous risk control measures stipulated: "If the cumulative increase or decrease in the same direction as that in Dt-1trading day is less than 16%, the trading margin standard of this contract will be charged at 12% when the Dt trading day is settled, and if it is higher than 12%, it will be charged according to the original standard". At the same time, the revised draft also deleted the provisions of "Dt+ 1 trading day unilateral market margin has not returned to the normal standard" and "the trading margin standard is charged according to the normal standard when liquidation is carried out on the day of compulsory lightening".
Insiders also said that 12% is not the final margin collection standard for investors. According to the experience of commodity futures market, futures companies will levy 2 to 5 percentage points on this basis. According to the Shanghai and Shenzhen 300 Index, buying and selling a single contract needs at least10.5 million -0.2 million.
4. Delivery date
It is scheduled to avoid month-end fluctuations on the third Friday of each month.
According to the provisions of the Shanghai and Shenzhen 300 stock index futures contract (draft for comment), the last trading day and delivery date are "the third Friday of the contract expiration month, which will be postponed in case of national legal holidays". According to the calculation, the third Friday of each month is basically in the middle of the month, and sometimes it will even be delivered on 14 and 15 of the month. This is different from the fact that foreign stock index futures are usually delivered at the end of the month.
According to insiders, the stock market usually has a "month-end effect", and many legal entities will go to day trading for accounting reasons, so the month-end fluctuation will be even greater. Stock index futures also have a "maturity effect", and many foundations close their positions on the maturity date, which leads to price fluctuations. If the volatility of the two markets is superimposed, it will increase the volatility of the market and have a greater impact on both the spot market and the futures market. Now the delivery date is set on the third Friday, which can basically be delivered in the middle of the month to avoid violent market fluctuations at the end of the month.
5. Bidding transactions
Limit trading "close the position first"
The continuous bidding transaction of stock index futures is carried out according to the principle of "price first, time first", which is similar to the A-share market. However, in the extreme market of price limit, the order of declaring price limit should be carried out in accordance with the principle of "liquidation priority and time priority". This is because stock index futures use two-way trading, and investors can open multiple positions or short positions.
Call auction and continuous bidding are adopted for stock index futures, and the normal trading day is 9:25-9:30 call auction time. 9:25-9:29 is the instruction declaration time, and 9:29-9:30 is the instruction matching time. Call auction's order declaration time does not accept market order declaration, and call auction's order matching time does not accept order declaration.
In order to prevent some members and customers from using technology to affect the security and normal trading order of the trading system, CICC may take relevant measures to restrict members and customers from issuing trading orders in a way that may affect the security or normal trading order of the trading system.
6. Information disclosure
Funds and insurance positions may be "hidden"
Any stock index futures contract is regarded as an "active monthly contract" as long as its unilateral position reaches 1 1,000 lots or more after listing and trading. After the daily trading of CICC, the trading volume and positions of the top 20 clearing members in the active month contract will be disclosed.
It is worth mentioning that in order to protect the business secrets of its members and customers, CICC only publishes the trading volume and positions of the top 20 clearing members in the active monthly contract. Market participants speculate that large funds such as funds and insurance are expected to become non-settlement members directly connected with CICC in the future, that is to say, the trading positions of stock index futures of large funds such as funds and insurance may be well hidden in the future.
This is quite different from the habit of domestic commodity futures market. The members of the three major domestic commodity futures exchanges are divided into self-operated members and non-self-operated members. No matter what kind of members, as long as the contracts they trade meet the standards of information disclosure, the exchange will announce their trading volume and positions.
7. Volume limit
The limit of a single account is about150,000 yuan.
In order to further strengthen risk control and prevent price manipulation, CICC adjusted the position limit of non-hedging trading in a single stock index futures trading account from the original 600 lots to 100 lots. Based on the current positions, the face value of each contract is 6.5438+0 million yuan, the margin ratio is 6.5438+05%, and the position limit of a single trading account is about 6.5438+0.5 million yuan.
In addition to managing the positions of individual accounts, CICC will also limit the positions of individual settlement members. The position limit standard will be calculated according to the total unilateral position of the contract after daily settlement. However, the customer number positions of hedging and arbitrage transactions shall be implemented in accordance with the relevant regulations of this Exchange.
In order to strengthen the supervision of large households, CICC stipulates that the positions of trading members with different customer numbers or customers engaged in self-operated business are combined with the positions of customers in different members; Add the provision that "the customer's position has not yet reached the relevant aggressive standards, but the Exchange may require him to make aggressive reports when it deems it necessary".
8. Forced lightning
Use compulsory lightening cautiously under extreme market conditions.
Drawing lessons from the experience of domestic futures market in dealing with extreme market, CICC has retained the compulsory lightening system under the condition of continuous price limit, that is, the daily price limit is declared as a liquidation order, and the daily price limit automatically matches the profitable customers of the contract according to the proportion of positions held. Considering that this system is simple and effective in resolving risks, but it is not good for hedging and arbitrage trading, CICC can only be used cautiously in extreme market conditions.
According to Article 86 of the Measures for the Administration of Futures Exchanges, "If futures prices go up and down continuously in the same direction, the exchange can take measures such as adjusting the fluctuation range, raising the trading margin standard, lightening the position and so on according to certain principles to resolve the risk", and the implementation condition of compulsory lightening of stock index futures is changed to "there is a continuous unilateral market in the same direction in futures trading".
9. hedging
Individual investors can also apply for hedging.
In order to promote the hedging function and improve the hedging efficiency, the revised business rules simplify the procedures for the approval of hedging applications, and change the approval unit for hedging applications from sub-contract approval to variety approval.
The revised draft stipulates that the hedging amount is valid for 6 months from the date of approval and can be reused within the validity period. The approved hedging quota can be used for multi-month contracts, and the total amount of hedging positions in the same direction of each contract shall not exceed the approved hedging quota in that direction. Analysts pointed out that through this amendment, investors can dynamically allocate hedging among various contracts, avoiding the need to frequently apply for new hedging quotas due to the delisting of contracts. Mytv365 has more financial information.
Different from the commodity futures market, the revised business rules also allow individual investors to apply for hedging. The whole system design encourages stock index futures to play the basic function of hedging, and CICC will not treat the hedging needs of institutions and individuals differently.