SZSE 100 ETF Options
LOCATION:
SZSE English/PRODUCTS/Options/SZSE 100 ETF Options
LOCATION:
SZSE English/PRODUCTS/Options/SZSE 100 ETF Options
SZSE 100 Index and Related Products
The SZSE 100 Index is positioned as a flagship product index for the SZSE market. It comprises 100 companies listed on the SZSE, selected for their large market capitalization and high liquidity, and represents leading companies in the SZSE market. The index represents China's leading innovative and growth-oriented enterprises, with strong innovation and growth attributes and distinct market-oriented blue-chip characteristics, making it an attractive investment instrument for asset allocation.
A diversified range of financial products has developed around the SZSE 100 Index, encompassing ETFs, index funds, enhanced index funds, and related derivatives. These products provide investors with a range of instruments to gain exposure to high-quality SZSE-listed assets, implement index-based investment strategies, and manage related risks.
SZSE 100 ETF Option
On December 12, 2022, the SZSE launched the SZSE 100 ETF Options. This marked the launch of the first exchange-traded derivative in China's mainland based on the SZSE 100 Index and the first options product targeting innovative blue-chip stocks.
The underlying asset for the SZSE 100 ETF Options is E Fund SZSE 100 ETF (159901.SZ), which tracks the SZSE 100 Index and covers leading companies listed on the SZSE Main Board and ChiNext Market. The launch of the SZSE 100 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 innovative blue-chip stocks.
SZSE 100 ETF Options Product Specification
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Underlying |
E Fund SZSE 100 Exchange Traded Fund (SZSE 100 ETF, 159901.SZ) |
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Contract Types |
Call options and put options |
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Exercise Style |
European style |
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Contract Multiplier |
10,000 |
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Expiration Months |
4 contract expiration months (spot month, next calendar month, and next two calendar quarter months) |
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Contract Delivery |
Physical delivery (unless otherwise specified) |
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Strike Prices |
At least 9 prices (1 at-the-money, 4 out-of-the-money, 4 in-the-money) |
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Strike Price Intervals |
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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) |
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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) |
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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. |
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Delivery Date |
The day after the exercise date |
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Tick Size |
RMB 0.0001 |
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Order Size |
1 contract |
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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 |
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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 |
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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% |
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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 |
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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 |
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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 |
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Maximum Contracts Per Order |
50 contracts maximum for each limit order. 10 contracts maximum for each market order |
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