CSI 500 Index and Related Products
The CSI 500 Index measures the price performance of a broad range of small- and mid-cap companies in the A-share market. It comprises the 500 largest stocks by total market capitalization selected from all A-shares, after excluding constituents of the CSI 300 Index and the top 300 stocks by market capitalization.
A diversified range of financial products has developed around the CSI 500 Index, encompassing ETFs, index funds, enhanced index funds, and related derivatives. These products provide investors with a range of instruments to gain exposure to small- and mid-cap stocks, implement index-based investment strategies, and manage related risks.
CSI 500 ETF Options
On September 19, 2022, the SZSE launched CSI 500 ETF options. This marked the launch of the first exchange-traded options product based on the CSI 500 Index and provided an effective instrument for managing risks associated with small- and mid-cap stocks.
The underlying asset for CSI 500 ETF options is Harvest CSI 500 ETF (159922.SZ), which tracks the CSI 500 Index and reflects the overall performance of small- and mid-cap stocks. The launch of CSI 500 ETF options further diversified the SZSE's equity options product offering, providing investors with a more flexible hedging instrument to manage market risk associated with investment portfolios comprising small- and mid-cap stocks.
CSI 500 ETF Options Product Specification
|
Underlying |
Harvest CSI 500 Exchange Traded Fund (CSI 500 ETF, 159922.SZ) |
|
||||||||||||||||
|
Contract Types |
Call options and put options |
|
||||||||||||||||
|
Exercise Style |
European style |
|
||||||||||||||||
|
Contract Multiplier |
10,000 |
|
||||||||||||||||
|
Expiration Months |
4 contract expiration months (spot month, next calendar month, and next two calendar quarter months) |
|
||||||||||||||||
|
Contract Delivery |
Physical delivery (unless otherwise specified) |
|
||||||||||||||||
|
Strike Prices |
At least 9 prices (1 at-the-money, 4 out-of-the-money, 4 in-the-money) |
|
||||||||||||||||
|
|
||||||||||||||||||
|
Strike Price Intervals |
|
|
||||||||||||||||
|
Expiration Date |
The fourth Wednesday of the contract expiration month (if the expiration date is a holiday, it will be put off to the next business day) |
|
||||||||||||||||
|
Trading Hours |
Morning: 9:15–9:25 (for opening auction), 9:30-11:30 Afternoon: 13:00–15:00 (14:57-15:00 for closing auction) |
|
||||||||||||||||
|
Exercise Date |
Same as the expiration date. Exercise orders should be submitted between 9:15-11:30, 13:00-15:30 on the exercise date and will not be accepted otherwise. |
|
||||||||||||||||
|
Delivery Date |
The day after the exercise date |
|
||||||||||||||||
|
Tick Size |
RMB 0.0001 |
|
||||||||||||||||
|
Order Size |
1 contract |
|
||||||||||||||||
|
Order Types |
Ordinary limit order, Fill-or-Kill limit order, Opposite-side Best Price market order, Same-side Best Price market order, Five Best market orders Immediate or Cancel, Immediate or Cancel market order, Fill-or-Kill market order and other types of orders as specified by the SZSE |
|
||||||||||||||||
|
Trading Types |
Buy to open, buy to close, sell to open, sell to close, open covered call, close covered call and other types as specified by the SZSE |
|
||||||||||||||||
|
Price Limit |
Call Price up limit = max {previous closing price of underlying×0.5%, min [ (2×previous closing price of underlying – strike price), previous closing price of underlying]×10%} Price down limit = previous closing price of underlying×10% Put Price up limit = max{strike price×0.5%, min [(2×strike price –previous closing price of underlying), previous closing price of underlying]×10%} Price down limit = previous closing price of underlying×10% |
|
||||||||||||||||
|
Circuit Breaker |
During continuous auction, if the intraday trading price of a contract moves by 50% or more above or below the latest reference price and the absolute value of such movement reaches or exceeds 10 times the tick size, the contract will enter a 3-minute call auction session |
|
||||||||||||||||
|
Minimum Initial Margin |
Short Call Initial margin = {previous settlement price + max [12%×previous closing price of underlying – max (strike price – previous closing price of underlying, 0), 7%×previous closing price of underlying]}×contract size Short Put Initial margin = min {previous settlement price +max [12%×previous closing price of underlying – max (previous closing price of underlying–strike price, 0), 7%×strike price], strike price}×contract size |
|
||||||||||||||||
|
Minimum Maintenance Margin |
Short Call Maintenance margin ={settlement price +max [12%×closing price of underlying – max(strike price–closing price of underlying, 0), 7%×closing price of underlying]}×contract size Short Put Maintenance margin=min {settlement price +max [12%×closing price of underlying – max (closing price of underlying–strike price, 0), 7%×strike price], strike price}×contract size |
|
||||||||||||||||
|
Maximum Contracts Per Order |
50 contracts maximum for each limit order. 10 contracts maximum for each market order |
|