Category: Money tips Release Date: 2006-07-26
Note: The index futures market is expected by the end of 2006, in this new product is coming a time when many investors are very concerned about the related concepts and the participation of real mode of operation. To this end, special edition organized a group of the basic concept of stock index futures started in hopes of investors to participate in stock-index futures to play the role of some help.
The concept of stock index futures
The full name of the stock index futures price index futures based on stock price index futures as a trading object. The stock index futures market participants, from the point of view, stock index futures there are three functions, namely, hedging, arbitrage and speculation.
Financial futures, stock index futures is the latest in the emergence of a species, but also the 20th century, 80 years appear in the process of financial innovation of the most important and most successful financial tools. Stock index futures has already become a major global financial futures markets traded on one of the most active futures varieties.
Contract Multiplier
Stock index futures contracts on the value of a certain amount of money that the product of the underlying index. The underlying index, stock index futures each point represents a fixed amount of money that a fixed monetary amount known as the contract multiplier.
Since the amount is fixed, so the futures market to the contract points to the underlying index reported a price of futures contracts, according to official information published by Shanghai and Shenzhen 300 index futures contract multiplier is tentatively set at 300 yuan / point. Suppose CSI 300 Index is 1350, then in 1350 in Shanghai and Shenzhen 300 Index futures point is its price at this time; while one in Shanghai and Shenzhen 300 index futures contract value of 1350 × 300 = 405000 Yuan. If the index rose 10 points, then the value of a futures contract increased to 3,000 yuan.
The smallest unit of change
The smallest unit of change (that is, a scale), usually with the points expressed in the contract with minimal changes in units and the multiplier can be obtained by multiplying the smallest unit of currency changes in the form. The smallest unit of market transactions, changes in the level of activity has important implications, if the change in unit too large, will likely crack down on investor enthusiasm for participation. Changes in the determination of the principles of the smallest units, mainly active in ensuring the degree of market transactions, while reducing transaction costs.
Shanghai and Shenzhen 300 index futures unit of the smallest change of 0.1 points per point of 300 yuan terms, the minimum value of the contract price changes, changes in the equivalent of 30 yuan.
Margin
Margin is the clearing agency in order to prevent the breach of contract demands index futures were trading in the purchase contract must pay part of the capital, according to
Are different in nature can be divided into the initial margin and additional margin.
The level of margin will determine the leverage effect of stock index futures, margin levels are too high, will restrain the market trading volume, while the margin level is too low, may give rise to excessive speculation and increase market risks.
The current design in Shanghai and Shenzhen 300 index futures margin deposits in the level of the exchange value of the contract 8%.
Shanghai and Shenzhen 300 index is now assumed for the 1350-point, then the investor trading a stock index futures in hand, required to pay a deposit that is 1350 × 300 × 0.8 = 32400 Yuan. If there is a loss, but also additional funds client is ready to make up for losses caused by margin gap.
In order to more intuitive understanding of the characteristics of stock index futures, we assume that an investor has 10 million yuan to buy a hand-stock index futures contracts, the price is 1350 points, then the investors need to pay margin is 32.4 thousand yuan. If the Shanghai and Shenzhen 300 index was down 120 points, then the customer lost 36,000 yuan on the first day, when customers book rights on the remaining 64,000, if the next day continue to fall 120 points, then the customer's book rights on the remaining 28,000 yuan . At this time funds have been insufficient to cover the customer's deposit, futures brokerage firm will require you to additional margin on the third day before opening, otherwise the next day after the opening bell, it will take to force liquidation.
We assume that the third day clients do not be able to margin calls, while the prices of stock index futures gapped 10 points after the opening bell, to 1,000 points opened, futures companies in 1000 point to be forced open positions, the customer book rights on the basis of 28,000 yuan, but also loss of 10 × 300 = 3000 yuan, account for benefits fell to 25,000 Yuan (in order to facilitate the calculation of these calculations are omitted, the transaction fees for expenses). View from the index fell, the index fell by only 18.5%, but the interests of client funds fell 76%, the index fell 4 times the rate.
Transaction fees
The sale of a futures contract costs incurred, which took payment to each account automatically deducted from the customer. According to the published in Shanghai and Shenzhen 300 stock index futures contracts, transaction fees undecided. Accordance with the relevant provisions of the SFC, the Stock Exchange of futures contracts to members of a unilateral transaction fees charged by the contract are essentially the face value of two ten thousandths, by 100,000 in nominal terms the procedures for each Member of unilateral trade for 20 yuan / Zhang. By convention, is expected to Exchange members will also be charged to the futures contracts, holders of more than three ten thousandths of the fee, the transaction costs of a contract for the transaction volume is expected to five ten thousandths.
Fuse mechanism
Fuse mechanism is that when there is a greater volatility in stock index futures market when the exchange is taken to control risk as a means: When the fluctuations of the exchange required to achieve Fusing point, the Exchange will suspend trading for some time, and then the beginning of normal transaction, and re-set the next point of a fuse. Shanghai and Shenzhen 300 index futures contract price for the previous session fuse settlement price plus or minus 6%, when the market price hit 6%, for 1 minute, fuse mechanism was started. In the ensuing 10 minutes, the sale price of only 6% declared within and continue the transaction, more than 6% of the declaration will be rejected. After 10 minutes, the price limit amplification to 10%.
Trading hours and the last trading day of trading hours
Shanghai and Shenzhen 300 index futures opened 9:15 am, more than the stock market as early as 15 minutes. 9:10 assigned to 9:15 into a collection of auction time. The afternoon to close at 3:15 p.m., the stock market later than 15 minutes of 15:15. The afternoon of the last trading day closing, closing the contract expiration month in line with the stock market closing time for the 15 o'clock, the other contracts are still in the month 15:15 to close.
Delivery and settlement
While the futures market is based on derivatives in the stock market, but futures for delivery in cash, that is only on delivery rather than profit and loss transfer in kind, in the futures contract delivery period, when investors do not have to buy or throw the corresponding stock to fulfill the contract, thus avoiding the stock market in the delivery period of a "squeeze city" phenomenon.
Stock index futures are cash settled, and is implemented according to the law of futures clearing system each day with no debt, investors have accounts in the daily performance bond can not be negative.
Contract Months
Also listed on the Shanghai and Shenzhen 300 index futures contract four months. Are the month, next month and the subsequent two quarters on the month of the contract. If the month compared with July, the August contract for next month, quarter, month contract for September and December. That way for IF0607, IF0608, IF0609, IF0612. IF the code in which the contract, 06, said in 2006, 07, said in July the contract.
Maximum position limit
Under the existing contract design, a single investor of a unilateral contract month position limits for 2000. If you do need to hedge against inflation, you can submit an application to the exchange after approved before they overrun positions, or transaction will be mandatory within the specified time dealing with open positions.
