SSE 50ETF Options Contract Specification

Underlying SSE 50 Exchange Traded Open-End Index Securities Investment Fund (50 ETF)
Contract Type Call options and put options
Contract Size 10,000
Expiration Months Current month, next month and the following two consecutive quarters
Strike Price 9 prices (1 at-the-money, 4 out-of-the-money and 4 in-the-money)
Strike Price Interval RMB 0.05 for price below RMB 3 (inclusive),
RMB 0.1 for price between RMB 3 and 5 (inclusive),
RMB 0.25 for price between RMB 5 and 10 (inclusive),
RMB 0.5 for price between RMB 10 and 20 (inclusive),
RMB 1 for price between RMB 20 and 50 (inclusive),
RMB 2.5 for price between RMB 50 and 100 (inclusive),
RMB 5 for price above RMB 100
Exercise Style Exercised at the expiration date (European style)
Contract Delivery Physical delivery (unless otherwise specified in rules)
Expiration Date The fourth Wednesday of each expiration month
(if the expiration date falls on a holiday, it will be put off correspondingly)
Exercise Date Same as the expiration date. Exercise orders are accepted
between 9:15-9:25, 9:30-11:30, 13:00-15:30
Delivery Date The day after the exercise date
Trading Hours AM 9:15-9:25, 9:30-11:30 (the period between 9:15-9:25 is for opening auction)
PM 13:00-15:00 (the period between 14:57-15:00 is for closing auction)
Order Types Limit order, market order immediate to limit, market order immediate or cancel,
kill or fill limit order, kill or fill market order and other types of orders
as specified by the SSE
Long/Short Types Long Open, Short Open, Long Close, Short Close, Open Covered Call,
Close Covered Call and other types as specified by the SSE
Tick Size RMB 0.0001
Order Size One or its integral multiples
Price Limit Price up limit for call option=max {previous close price of underlying×0.5%,
min [(2×previous close price of underlying - strike price),
previous close price of underlying]×10%}
Price down limit for call option=previous close price of underlying×10%
Price up limit for put option=max {strike price×0.5%,
Min [(2×strike price – previous closing price of underlying),
previous close price of underlying]×10%}
Price down limit for put option=previous close price of underlying×10%
Circuit Breaker During the continuous trading session period, if the percentage change of
option price reaches or exceeds 50% of the latest reference price and the absolute
value of price change reaches or exceeds 5 ticks, the option trading will enter
a 3-minute call auction period
Minimum Initial Margin Initial margin for short call= [previous settlement price + Max
(12%×previous closing price of underlying – max (strike price – previous closing price of underlying, 0),
7%×previous close price of underlying)]×contract size
Initial margin for short put=Min [previous settlement price +Max
(12%×previous closing price of underlying – Max
(previous close price of underlying–strike price, 0),
7%×strike price), strike price]×contract size
Minimum Maintenance Margin Maintenance margin for short call=[settlement price +Max
(12%×closing price of underlying – max(strike price– previous close price of underlying, 0),
7%×close price of underlying)]×contract size
Maintenance margin for short put=Min [settlement price +Max
(12%×close price of underlying – max (previous close price of underlying–strike price, 0),
7%×strike price), strike price]×contract size

CSI 300ETF Options Contract Specification

Underlying Huatai-Pinebridge CSI 300 Exchange Traded Open-End Index Securities Investment Fund (CSI 300 ETF, 510300)
Contract Type Call options and put options
Contract Size 10,000
Expiration Months Current month, next month and the following two consecutive quarters
Strike Price 9 prices (1 at-the-money, 4 out-of-the-money and 4 in-the-money)
Strike Price Interval RMB 0.05 for price below RMB 3 (inclusive), RMB 0.1 for price between RMB 3 and 5 (inclusive), RMB 0.25 for price between RMB 5 and 10 (inclusive), RMB 0.5 for price between RMB 10 and 20 (inclusive), RMB 1 for price between RMB 20 and 50 (inclusive), RMB 2.5 for price between RMB 50 and 100 (inclusive), RMB 5 for price above RMB 100
Exercise Style Exercised at the expiration date (European style)
Contract Delivery Physical delivery (unless otherwise specified in rules)
Expiration Date The fourth Wednesday of each expiration month (if the expiration date falls on a holiday, it will be put off correspondingly)
Exercise Date Same as the expiration date. Exercise orders are accepted between 9:15-9:25, 9:30-11:30, 13:00-15:30
Delivery Date The day after the exercise date
Trading Hours AM 9:15-9:25, 9:30-11:30 (the period between 9:15-9:25 is for opening auction)
PM 13:00-15:00 (the period between 14:57-15:00 is for closing auction)
Order Types Limit order, market order immediate to limit, market order immediate or cancel, kill or fill limit order, kill or fill market order and other types of orders as specified by the SSE
Long/Short Types Long Open, Short Open, Long Close, Short Close, Open Covered Call, Close Covered Call and other types as specified by the SSE
Tick Size RMB 0.0001
Order Size One or its integral multiples
Price Limit Price up limit for call option=max {previous close price of underlying×0.5%, min [(2×previous close price of underlying - strike price), previous close price of underlying]×10%}
Price down limit for call option=previous close price of underlying×10%
Price up limit for put option=max {strike price×0.5%, Min [(2×strike price – previous closing price of underlying), previous close price of underlying]×10%}
Price down limit for put option=previous close price of underlying×10%
Circuit Breaker During the continuous trading session period, if the percentage change of option price reaches or exceeds 50% of the latest reference price and the absolute value of price change reaches or exceeds 5 ticks, the option trading will enter a 3-minute call auction period
Minimum Initial Margin Initial margin for short call= [previous settlement price + Max (12%×previous closing price of underlying – max (strike price – previous closing price of underlying, 0), 7%×previous close price of underlying)]×contract size
Initial margin for short put=Min [previous settlement price +Max (12%×previous closing price of underlying – Max (previous close price of underlying–strike price, 0), 7%×strike price), strike price]×contract size
Minimum Maintenance Margin Maintenance margin for short call=[settlement price +Max (12%×closing price of underlying – max(strike price– previous close price of underlying, 0), 7%×close price of underlying)]×contract size
Maintenance margin for short put=Min [settlement price +Max (12%×close price of underlying – max (previous close price of underlying–strike price, 0), 7%×strike price), strike price]×contract size