CSI 300 ETF Options
LOCATION:
SZSE English/PRODUCTS/Options/CSI 300 ETF Options
LOCATION:
SZSE English/PRODUCTS/Options/CSI 300 ETF Options
CSI 300 Index and Related Products
The CSI 300 Index is one of the most representative broad-based indices in China's A-share market. Comprising 300 securities listed on the Shenzhen and Shanghai Stock Exchanges with relatively large market capitalization and high liquidity, it reflects the overall performance of major listed companies in the two markets.
The CSI 300 Index enjoys broad market recognition and has a wide range of applications. It serves as an important benchmark for domestic and international investors to monitor the performance of China's A-share market, implement index-based investment strategies, and manage investment risks. A diversified ecosystem of products has developed around the index, including exchange-traded funds (ETFs), conventional index funds, enhanced index funds, and related derivatives.
CSI 300 ETF Options
On Dec 23, 2019, the Shenzhen Stock Exchange (SZSE) officially launched CSI 300 ETF options, its first equity options product.
The options are based on Harvest CSI 300 ETF (159919.SZ), which tracks the CSI 300 Index and offers broad exposure to the index's underlying constituents. The launch of CSI 300 ETF options provided investors with a more flexible hedging tool to manage market risk in investment portfolios focused on large-cap blue-chip A-shares.
CSI 300 ETF Options Product Specification
|
Underlying |
Harvest CSI 300 Exchange Traded Fund (CSI 300 ETF, 159919) |
|
||||||||||||||||
|
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 |
|