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Behind the 50 ETF option positions: 25 million funds for the "big prize"

March 15, 2019 06:16
Author: Xu Xiao as

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Summary
[50 ETF options positions soaring behind: 25 million funds pledge "big prize"] Recently, 50 ETF options positions exceeded 3 million mark for the first time, a record high for five consecutive trading days triggered high market attention. The Securities Times reporter noticed that behind the hot options, the main contract has shifted, and the speculative atmosphere of the 50 ETF purchase of the March 3000 contract (hereinafter referred to as the C3000 contract) became the main contract. (Securities Times)

A few days ago, 50ETFFor the first time, the number of options positions exceeded 3 million mark, and the record high for five consecutive trading days triggered high market attention. The Securities Times reporter noticed that behind the hot options,Main forceThe contract has shifted, and the 50 ETF with a strong speculative atmosphere has purchased the March 3000 contract (hereinafter referred to as the C3000 contract) and became the main contract.

The C3000 contract is a deep imaginary call contract, the so-called virtual value contract, that is, there is no intrinsic value, only time value.

As of yesterday's close, there were up to 378,800 positions held on the C3000 contract. At present, there are only 9 trading days from the expiration date of the March option, and its time value is also facing the risk of accelerated decay, which means that the 371,800 positions and the premiums of more than 25 million yuan are all zero.

Previously, the C2800 options contract soared 192 times a day, which had an impact on attracting retail investors into the options market.

 Soaring positions

A large number of options players enter the market

Since March, the positions of 50 ETF options have started to hit new highs. On March 1, the position of 50 ETF options was 2,294,900; on March 7, the 50 ETF options positions exceeded the historical high of 2.62 million created last year, reaching 2,821,100; for the next three trading days, positions With a record high, the number of 50 ETF options held on March 13 exceeded 3 million for the first time, reaching 3.0083 million.

In less than half a month, the 50 ETF option positions (the total number of open positions) increased by more than 700,000, an increase of 33%. The increase in positions means the inflow of market funds.

The hot market in the options market has attracted a large number of options players to enter. According to the Shanghai Stock Exchange, as of the end of February, the total number of investor accounts was 317,383 (the total number of brokerage client accounts was 317,207). In February, the number of new brokerage client accounts was 4,280. Considering the impact of the Spring Festival holiday, the increase in the number of accounts opened in February was very obvious.

“Obviously, the increase in market volatility and the previous 194-fold increase in the wealth effect of option contracts have led many retail investors to enter the market and look forward to a high volatility in the market.”BrokerThe person in charge of the sales department said.

In February, the cumulative turnover of the 50 ETF options market was 3,856,500, an increase of 10.12% compared with January; the average daily turnover was 2.571 million, an increase of 61.51% compared with January; the average daily transaction value was 66.11 billion yuan, and 1 The month increased by 75.85%.

Although the number of positions continues to record high, some institutional investors believe that the size, type and nominal principal of the Chinese option market are still quite different from those of foreign markets. Currently, the development is still on the way, requiring the strong efforts of all parties in the market. stand by.

“Currently, 50 ETF options have a maximum holding of 20,000 positions in a single account, while 20,000 can only protect up to 600 million shares. If private equity holds more than 1 billion shares, the hedging will be difficult to match. At the same time, the current 50 ETF options flow. Sex is still insufficient, and the entry and exit of 20,000 sheets will have a big impact on the market. Therefore, I think the options market is still not big enough, and the institutions can't participate well,” said Sun Jing, head of Kaifeng Investment Derivatives Trading.

At the same time, in Sun Jing's view, the current propaganda orientation of speculative options in the market is not objective enough, and options are only a tool.

25 million royalty

Bet on virtual value contract

In general, the main contract of the option (the contract with the largest volume and volume) is often the option contract near the current month (that is, close to the target 50 ETF price). It should be 50 ETF to purchase the March 2700 contract (ie C2700 contract). . However, in March of this year, the contract with the largest volume and volume was often the C3000 contract. Since the price of the 50 ETF of the option is only 2.71, the C3000 contract has always been a deep imaginary option.

As of now, the C3000 contract has a holding volume of 377,800, which is much higher than the C2700 contract (near the flat option) and the C2750 contract of 90,200, which is 4 to 5 times. If calculated according to yesterday's closing price of 0.0067, the royalty of 378,800 C3000 contracts exceeds 25 million yuan.

Since virtual value options have no intrinsic value, only time value, and time value largely depends on the level of implied volatility.

Yu Li, director of Chaos Tiancheng Derivatives Investment Department, said that the implied volatility of the C3000 contract before Friday was too high, and the option price hit a maximum of 0.0915. After the plunge last Friday, the implied volatility of the C3000 quickly fell, and the market value of options also plummeted.

"On the next Monday, the C3000 will only have 8 trading days left, and enter the acceleration period of time value decay. Once the target has not risen by 3 on the March expiration date, the market value held by the C3000 buyer will be all zero, heavy positions. The risk is great," Yu Li said.

So why are there so many people buying the C3000 contract? “After experiencing a 192-fold increase in the C2800 contract on February 25, investors’ enthusiasm for deep imaginary call options has soared. Some people are expecting to continue to make a big profit by betting on the market, so they will buy a C3000 contract. If the 50ETF really rises to 3, it is expected to have a yield of seven times to ten times." Hou Yanjun, general manager of Houshi Tiancheng said.

As of yesterday's close, the price of the target 50 ETF is 2.71, to rise to 3, it needs to rise 10.7% in 9 trading days.

On March 8, the Shanghai Stock Exchange also releasedannouncementIt is said that the 50ETF purchases the March 3000 option contract transaction volume, the position is large, and the price fluctuates greatly. At present, the contract has a high degree of imaginary value, and its last trading day, exercise date, and maturity date are March 27, 2019, and there is a risk that the time value will accelerate and decay with the expiration date.

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(Article source: Securities Times)

                (Editor: DF407)

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