Shanghai And Shenzhen 300 Three Options Stock Derivatives Market Entered A Rapid Expansion Period

In December 23rd, the three options of the Shanghai and Shenzhen 300 index were listed together. A share market ushered in the first stock index options, and the three exchanges also welcomed the expansion of options products, which is the first expansion of the A share derivatives market in four years.

On the day, the Shanghai and Shenzhen 300 stock index options volume is 26850 hands, the call option holds 6710 hands, the put option holds 5014 hands, and the gold transaction volume is 298 million yuan. The number of listing contracts is 168, and the February contract accounts for 71.92%. The implied volatility of Shanghai and Shenzhen 300 stock index in the past month is 16.65%, and the 30 day historical volatility is 11.97%.

Shanghai and Shenzhen 300ETF options total 468 thousand and 700 trading volume, including 275 thousand and 200 subscription options, 193 thousand and 500 sell options, 425 million yuan in turnover, 18 billion 838 million yuan in face value and 180 thousand and 700 in total positions.

The Shenzhen Stock Exchange's total number of contracts for the listing of Shanghai and Shenzhen 300ETF options was 72, with a total turnover of 140 thousand and 100 days, with a turnover of 101 million yuan, with a face value of 5 billion 758 million yuan and a total of 71 thousand and 900 positions.

"Everyone's participation is relatively high. The three varieties are looking forward to a long time. They provide traders with three new hedging tools. Compared with the previous Shanghai 50ETF options, the Shanghai and Shenzhen Stock Exchange has a wider coverage, and the ETF options and stock index options of Shanghai and Shenzhen 300 will be more widely accepted". "These three options are more widely accepted." In December 23rd, Huang Xudong, partner and general manager of Ningbo Chuan Li Cci Capital Ltd, was interviewed.

Three big options run smoothly

On the first day of listing, the three Shanghai and Shenzhen 300 options markets were active, with stable overall operation and reasonable volatility pricing.

On the same day, the implied volatility curves of the three kinds of varieties were somewhat differentiated, and the implied volatility surface of the options option was higher than the put option.

In terms of implied volatility premium, the implied volatility of the Shanghai Stock Exchange 300ETF value of the Shanghai Stock Exchange in January is about 13%, while the implied volatility of the contract value in February is about 14%, which is reasonable compared with the historical volatility.

A senior employee of the options market told the twenty-first Century economic news reporter: "most of the friends around today are mainly watching. A few commemorative participation is mainly due to the general liquidity of the market. This may be related to the limited position of the exchange and the threshold of opening accounts. The linkage between the option and the target is strong, and the efficiency of the market maker is relatively high. The participants are still more rational.

From the perspective of different types of options, due to the different trading types, the choice of rights and the upper limit of trading, the options of stock index options are more and the trading ceiling is higher. ETF options have more ways of entrustment and trading, and the enthusiasm and needs of different investors can be satisfied.

"Investors' trading strategy may change some of the stock index futures into a hedge against stock index options, because stock index options can be more elaborate, and can further be divided into big drop and small drop in the judgment of the fall, which will have a better effect in selecting the corresponding strategy." Huang Xudong pointed out.

According to the sub variety, the physical delivery of the Shanghai and Shenzhen Stock Exchange listed the stock options of the ETF fund, 10000 units of contract, the value of the single option is about 39000, and the Shanghai and Shenzhen 300 index options for cash delivery listed by CICC are 100 yuan per point, the value of the sheet is about 390000, which is ten times the value of the ETF option, and the maximum declared quantity reaches 100 hands, much higher than that of the ETF option.

"Shanghai and Shenzhen 300 index options are more suitable for institutional investors to use, and ETF options are more suitable for individual investors. The stock index option corresponds to 100 yuan, and the premium will be very high. It is not very convenient for individual investors to use it. The market value of the stock that must be held is large, and the stock price of the stock held by the institution is high, and the stock index option is more convenient and efficient. Huang Xudong introduced.

In the way of exercising rights, stock index options have more months of exercise and longer contract coverage. The exercise price, the ETF option has 4 virtual value, 1 flat value, 4 real value, 9 exercise price, while the stock index option price depends on the index day's rise and fall. Stock index options currently only support limit orders, and can not use the reserve strategy.

"The Shanghai and Shenzhen 300 stock index options have just started and the positions are relatively strict, so there will not be many people involved in the initial stage and the liquidity is not good enough. Until April, the liquidity and the whole position will come up." Huang Xudong further pointed out.

Rapid expansion of derivatives of financial options

Behind the smooth operation of the three options of Shanghai and Shenzhen 300, a Chinese financial option derivatives market is rapidly entering the expansion stage.

Compared with Shanghai Stock Index 50, the Shanghai and Shenzhen 300 index has significant differences at many levels, which also greatly enhanced the choice of market participants.

The Shanghai and Shenzhen 300 index is the core broad base index of the A share market. The index stock market value is about 30 trillion yuan, accounting for about 60% of the total A stock market value, and the asset size of the Shanghai and Shenzhen stock index 300 is more than 150 billion yuan.

On the day of the listing of the three major options, Fang Xinghai, vice chairman of the securities and Futures Commission, pointed out that in recent years, China's derivatives market combined with the reality of China and learned from the international mature market experience, has made great efforts to "expand the market and deepen the two".

"Enlarging the surface" is to expand the coverage of futures and derivatives on basic assets, increase product supply, and make the market function of asset pricing and risk reflection more beneficial to more industries and wider fields.

"Two deepening", one is to deepen product type, each type of basic assets should have futures and options, meet different investment transactions and risk management needs; two, deepen investor participation, not only to nurture and develop domestic industry and institutional investors, but also to attract foreign investors to participate in China's futures market.

"We believe that with the introduction and smooth operation of more risk management tools such as Shanghai and Shenzhen 300 stock index options, the spot market will be more closely linked, and the function of capital market risk management will also play a better role." Fang Xinghai said.

Li Chao, vice chairman of the securities and Futures Commission, also pointed out that the development of stock option market should serve the real economy, give full play to the positive role of stock options in risk management, and make steady development, always put risk prevention at the top priority; strengthen supervision and protect the legitimate rights and interests of investors; conduct propaganda and guidance, and guide investors to participate in transactions rationally.

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