On July 18, the China Securities Regulatory Commission approved the China Financial Futures Exchange to carry out CSI 1000 stock index futures and options trading, and the relevant contracts will be officially listed on July 22, 2022.

Three questions will help you understand CSI 1000 stock index futures!

1. What are the characteristics of CSI 1000 Index?

What are the differences between the CSI 1000 Index and the SSE 50, CSI 300, and CSI 500 Index?

Let’s take a look at it from the perspective of composition, performance and valuation, and market transaction data: From the composition perspective, from the perspective of industry composition, the top three industries in the CSI 1000 Index are industry, information technology, and materials, and the three together account for

The ratio exceeds 67%, and the proportion of financial and real estate components is the lowest, totaling only 3.7%.

The industry distribution structure of CSI 1000 is closest to that of CSI 500 Index, and the biggest difference from SSE 50 Index.

The top three weighted industries of the CSI 500 are also materials, industry and information technology, accounting for 56.7% in total, while the top three weighted industries of the SSE 50 Index are finance, daily consumption and information technology, accounting for 64.3% in total.

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From the perspective of constituent stocks, the CSI 1000 Index has the largest number of constituent stocks, but the constituent stocks have the smallest market value.

The CSI 1000 Index contains 1,000 constituent stocks, which is obviously the largest number of constituent stocks among the four stock indexes. However, the market value of these 1,000 stocks is basically less than 50 billion yuan, making them typical small-market companies.

Sorted by the market capitalization of the constituent stocks, the four indices cover ultra-large stocks, large and medium-sized stocks, small and medium-sized stocks, and small-cap stocks.

Performance and Valuation The net profit growth rate of the CSI 1000 Index fluctuates greatly, more similar to the CSI 500 Index, and the performance stability is not as stable as the CSI 300 and SSE 50 Index.

In the past, the return on net assets of the CSI 1000 Index was the lowest among the four indexes. However, after the disclosure of this year’s semi-annual report, the return on net assets of the CSI 1000 Index exceeded that of the CSI 500 Index.

The CSI 1000 Index has the lowest earnings per share among the four indexes, but the highest valuation.

Since the beginning of 2016, the average rolling price-to-earnings ratios of the CSI 1000 Index, SSE 50, CSI 300, and CSI 500 Index have been 45.23, 10.61, 13.03, and 29.05 times respectively.

Market trading data shows that the current turnover of the CSI 1000 Index is approximately 230 billion yuan, which is second only to the CSI 300 Index and much higher than the SSE 50 Index.

The current turnover rate of the CSI 1000 Index is around 3.5%-4%, which is much higher than the other three indexes. At the same time, the historical volatility of the CSI 1000 Index is also higher than the other three indexes. From the beginning of 2016 to the present,

The historical volatility averages of the CSI 1000 Index, SSE 50, CSI 300, and CSI 500 Index are 23.25%, 18.10%, 18.19%, and 21.17% respectively.

Simply put, the characteristics of the CSI 1000 Index are: small market capitalization, high valuation, and high volatility.

2. What are the characteristics of CSI 1000 stock index futures?

The code of CSI 1000 stock index futures is IM. The contract details are basically the same as those of the other three futures index varieties, except for two points that need to be noted: First, the contract multiplier of IM is 200 yuan/point, and the current price of CSI 1000 Index is 7,000 points.

Around 1.4 million, which means that the value of a single IM contract after listing will be around 1.4 million.

The current single contract values ??of IF, IH and IC are approximately 1.28 million, 850,000 and 1.25 million. Therefore, after IM is listed, it will become the largest single contract among the four stock index varieties.

Second, the margin ratio after IM is listed is 15%, which is also the highest margin ratio among the four varieties.

3. What are some guesses after the listing of CSI 1000 stock index futures?

IM with high trading activity is also the first typical risk management tool for small-capitalization stocks. The volatility of these stocks is relatively large, and the corresponding risk management needs are stronger, supporting IM's risk management trading needs.

On the other hand, the spot trading volume of the CSI 1000 Index is not low, which means that the trading volume of the CSI 1000 Index futures should also be not low; coupled with the characteristics of high valuation and high volatility of the CSI 1000 Index, the volatility of IM is also

It will be larger, which will also bring more transaction needs.

Therefore, we infer that the trading activity of IM after its listing is definitely not low.

IM may be at a discount after listing. Currently, IC has maintained a long-term discount among futures indexes. A large part of the reason is due to the Alpha strategy hedging demand.