Derivative

Overview

Stock option contracts are standardized uniform contracts prepared by the SSE, which state that buyers reserve the right to buy or sell such underlyings as the agreed shares or ETFs tracking stock indices at a certain price and a certain time in the future.

SSE 50ETF Options Contract Specification

Underlying SSE 50 ETF
Contract Type Call option and put option
Contract Unit 10,000
Expiration Months Current month, next month and the following two consecutive quarters
Strike Price 5prices (1 at-the-money, 2 out-of-the-money and 2 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 European style
Contract Delivery Physical delivery (unless otherwise specified in business 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 call auction)
PM 13:00-15:00 (the period between 14:57-15:00 is for closing call auction)
Order Type Limit order, market order immediate to limit, market order immediate or cancel, limit kill or fill order, market kill or fill 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 1 or its integral multiples
Price Limit Limit up 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%}
Limit down 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 auction 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 contract 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 unit
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 unit
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 unit
Maintenance margin for short put=Min [settlement price +Max(12%×closeprice of underlying – max(previous close price of underlying–strike price, 0), 7%×strike price), strike price]×contract unit

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