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Published on 2018-07-23 11:02:28 Share it web version
                        Heavy news! Stock index futures are about to return to normalization. Pay close attention to the timetable.
Source: brokerage Chinese Author: Jin Ling Editing: dongfangcaifuwang

Stock index futures are about to return to normal? That's right, this is a real news!

The brokerage Chinese reporter learned from informed sources that the supervisory department leaders revealed in the training class of the chairman and general manager of the first futures company in 2018 this morning that the stock index futures trading will resume normalization, and various futures companies can carry out related preparatory work. However, the person familiar with the matter said that the regulator did not mention a clear timetable.

  Stock index futures limited impact function

Stock index futures trading is limited, and it is still going back to the mid-2015 period of abnormal stock market volatility. The China Financial Futures Exchange announced a series of tightening initiatives.

On the evening of September 2, 2015, CICC announced that since September 7, 2015, the margin for non-holding holdings has been raised to 40%, and the closing fee has been increased to 23%, which is a full increase. 20 times. At the same time, non-hedging customers' single-day open trading volume of more than 10 lots is considered abnormal trading behavior.

Under such restrictions, the liquidity of the stock index futures market plummeted, and as a result, there were many "Oolong" incidents caused by lack of liquidity.

For example, around 10:42 am on May 31, 2016, the IF1606, the main contract of the Shanghai and Shenzhen 300 stock index futures, suddenly plunged to 2732.4, hitting the limit under the weight of nearly 700 empty orders, and then quickly increased. On the evening of the same day, the results of the survey released by CICC said that it was the result of a series of insurance customers selling the commissions at a market price of 398 lots, which triggered the technical selling of the market.

On the afternoon of March 14, 2017, the trend of the SSE 50 stock index futures contract IH1703 was suddenly flat, and the price dropped from 2348 to 2128.6, approaching the down limit. Then quickly returned to the normal price, and closed smoothly, closing at 2349.0, closing down 0.05%.

On July 19, 2017, a similar situation happened again. A managed customer bought a ticket for the 18-hand Shanghai-Shenzhen 300 stock index futures IF1708 contract, and the price of the contract was instantly hit to the daily limit.

Loose twice in 2017

Under the repeated appeals of market participants, stock index futures finally ushered in two loosenings in 2017.

The first loosening was announced on February 16, 2017. CICC announced that under the unified deployment of the China Securities Regulatory Commission, CICC will comprehensively assess market risks and actively improve regulatory arrangements, in accordance with “functions and dynamic adjustments”. The principle of strengthening supervision and preventing risks has decided to adjust the relevant trading arrangements in a sound and orderly manner:

First, since February 17, 2017, the regulatory standards for over-trading behavior of stock index futures have been adjusted from the original 10 hands to 20 lots, and the number of open positions for hedging transactions is not subject to this limit;

Second, since the settlement on February 17, 2017, the CSI 300 and SSE 50 stock index futures non-hedging trading margins have been adjusted to 20%, and the CSI 500 stock index futures non-hedging trading margins have been adjusted to 30% (three The product set holding position trading margin remains unchanged at 20%);

Third, since February 17, 2017, the transaction fee for the CSI 300, SSE 50, and CSI 500 stock futures positions will be adjusted to 9.2 million of the transaction amount.

The second loosening took place on September 15, 2017. In the two consecutive announcements, CICC announced that since September 18, 2017 (Monday), the CSI 300, SSE 50, and CSI 500 stock index futures contracts have been adjusted to the transaction fee standard. The transaction amount is 6.9 parts per million. Previously, the fee standard was 9.2% of the transaction amount, which means that the transaction fee was lowered by 25% this time.

In addition, the CSI 300 and SSE 50 stock index futures trading margin standards are adjusted from 20% of the current contract value to 15%, which is also implemented from September 18, 2017. The margin reduction is also 25%.

 The regulatory authorities have repeatedly aired this year.

It is worth noting that since 2018, the regulatory authorities have also publicly mentioned stock index futures trading.

On June 14, Fang Xinghai, vice chairman of the China Securities Regulatory Commission, mentioned during the "2018 Lujiazui Forum" that conditions would be created to allow foreign investors to participate in stock index futures.

On the morning of May 30, the chairman of CICC, Hu Zheng, also introduced the current situation and development plan of the stock index futures market at the 15th Shanghai Derivatives Market Forum.

Hu Zheng pointed out at the time that CICC continued to improve market trading rules, optimize the structure of participants, and promote the function of the stock index futures market. In recent years, the trading position ratio of the stock index futures market has remained stable, and the investor structure has become more and more reasonable. The financial licensees represented by securities self-operated, private equity funds, QFII and RQFII have become the most important participants in the market, and the average daily positions accounted for The market share is close to 70%.

He said that the current domestic stock index futures transaction costs are still high, market liquidity needs to be further improved, and the market function is limited, which is difficult to fully meet the needs of investor risk management. From the experience of capital market development in the world, stock index futures is the most basic, mature and most actively traded financial derivatives, and is an indispensable risk management tool for any powerful capital market.

  【Related reports】

  Industry experts: Stock index futures trading restrictions further "loose" can be expected

In the first half of this year, under the influence of the continued de-leverage in the country and the complicated situation in the international market, the negative sentiment in the market was high, and A-shares continued to oscillate, and the performance of related asset management products was generally unsatisfactory. The reason is that Liu Wencai, an executive director of the Shanghai North Bund Absolute Income Investment Institute and a visiting professor at Shanghai University of Finance and Economics who participated in the design of the Shanghai and Shenzhen 300 stock index futures, believes that this has something to do with the temporary trading restrictions on stock index futures.

Although CICC has carried out two “loose” restrictions on the temporary trading restrictions of stock index futures since last year, the trading volume and positions of the stock index futures market have been enlarged, and the futures of the futures index has improved, but the stock index futures. The market still cannot meet the normal risk management of asset management institutions and the need for residents to preserve and increase their wealth. It is precisely because stock index futures are difficult to effectively play its "flooding channel" function, investors can not effectively hedge the risk and continue to "cut the meat decompression", so that A shares have repeatedly bottomed out, stock index futures are more prone to further expansion of the discount .

In Liu Wencai's view, futures and options are the best risk management tools. Just like insurance in daily life, in the case of sufficient market activity and investors, it can effectively hedge market risks. “The further expansion of the stock index futures premium means that the market liquidity is insufficient, just like the higher premiums in the insurance market, which means the risk is increased. To reduce the 'premium', the market needs sufficient liquidity. There is a need for more traders who can provide liquidity to participate," Liu Wencai said.

In view of this, he called for further “relaxation” of stock index futures temporary trading restrictions, improve market liquidity, and enable the function of the stock index futures market to be effectively utilized, thereby making the capital market run more smoothly.

Liu Wencai has always believed that the future restrictions on temporary trading of stock index futures will be further "unbundled" or even comprehensively "banned." Especially in today's capital market, China's capital market is gradually opening to the outside world, he even believes that the stock index futures temporary trading restrictions on the full "exit" can be expected.

"The inclusion of A-shares in the MSCI index is not only a milestone in the opening of China's capital market, but will also gradually increase the proportion of foreign investors in the A-share market. In view of the fact that foreign investors are accustomed to managing investment risks through derivatives such as stock index futures, future stock indexes Futures temporary trading restrictions will be further 'relaxed'." Liu Wencai believes that not only that, but also the addition of new trading varieties and tools to enhance the international competitiveness and attractiveness of China's capital market.

It is understood that CICC is currently promoting the development and listing of stock index options products. In this regard, Liu Wencai said that the asset management industry has long been looking forward to stock index options.

"If the stock index futures is 'solution of gold', you can separate the alpha and beta in the stock, then the stock index option is more like a 'lithographic machine', which can further divide and refine the risk, and the strategy derived from it is relatively more. On this basis, relevant institutions can innovate products with different risks and benefits to meet the more diversified needs of investors.” Liu Wencai said. (Source: Futures Daily)

Published on 2018-07-23 11:02:28
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Source: brokerage Chinese Author: Jin Ling Editing: dongfangcaifuwang

Stock index futures are about to return to normal? That's right, this is a real news!

The brokerage Chinese reporter learned from informed sources that the supervisory department leaders revealed in the training class of the chairman and general manager of the first futures company in 2018 this morning that the stock index futures trading will resume normalization, and various futures companies can carry out related preparatory work. However, the person familiar with the matter said that the regulator did not mention a clear timetable.

  Stock index futures limited impact function

Stock index futures trading is limited, and it is still going back to the mid-2015 period of abnormal stock market volatility. The China Financial Futures Exchange announced a series of tightening initiatives.

On the evening of September 2, 2015, CICC announced that since September 7, 2015, the margin for non-holding holdings has been raised to 40%, and the closing fee has been increased to 23%, which is a full increase. 20 times. At the same time, non-hedging customers' single-day open trading volume of more than 10 lots is considered abnormal trading behavior.

Under such restrictions, the liquidity of the stock index futures market plummeted, and as a result, there were many "Oolong" incidents caused by lack of liquidity.

For example, around 10:42 am on May 31, 2016, the IF1606, the main contract of the Shanghai and Shenzhen 300 stock index futures, suddenly plunged to 2732.4, hitting the limit under the weight of nearly 700 empty orders, and then quickly increased. On the evening of the same day, the results of the survey released by CICC said that it was the result of a series of insurance customers selling the commissions at a market price of 398 lots, which triggered the technical selling of the market.

On the afternoon of March 14, 2017, the trend of the SSE 50 stock index futures contract IH1703 was suddenly flat, and the price dropped from 2348 to 2128.6, approaching the down limit. Then quickly returned to the normal price, and closed smoothly, closing at 2349.0, closing down 0.05%.

On July 19, 2017, a similar situation happened again. A managed customer bought a ticket for the 18-hand Shanghai-Shenzhen 300 stock index futures IF1708 contract, and the price of the contract was instantly hit to the daily limit.

Loose twice in 2017

Under the repeated appeals of market participants, stock index futures finally ushered in two loosenings in 2017.

The first loosening was announced on February 16, 2017. CICC announced that under the unified deployment of the China Securities Regulatory Commission, CICC will comprehensively assess market risks and actively improve regulatory arrangements, in accordance with “functions and dynamic adjustments”. The principle of strengthening supervision and preventing risks has decided to adjust the relevant trading arrangements in a sound and orderly manner:

First, since February 17, 2017, the regulatory standards for over-trading behavior of stock index futures have been adjusted from the original 10 hands to 20 lots, and the number of open positions for hedging transactions is not subject to this limit;

Second, since the settlement on February 17, 2017, the CSI 300 and SSE 50 stock index futures non-hedging trading margins have been adjusted to 20%, and the CSI 500 stock index futures non-hedging trading margins have been adjusted to 30% (three The product set holding position trading margin remains unchanged at 20%);

Third, since February 17, 2017, the transaction fee for the CSI 300, SSE 50, and CSI 500 stock futures positions will be adjusted to 9.2 million of the transaction amount.

The second loosening took place on September 15, 2017. In the two consecutive announcements, CICC announced that since September 18, 2017 (Monday), the CSI 300, SSE 50, and CSI 500 stock index futures contracts have been adjusted to the transaction fee standard. The transaction amount is 6.9 parts per million. Previously, the fee standard was 9.2% of the transaction amount, which means that the transaction fee was lowered by 25% this time.

In addition, the CSI 300 and SSE 50 stock index futures trading margin standards are adjusted from 20% of the current contract value to 15%, which is also implemented from September 18, 2017. The margin reduction is also 25%.

 The regulatory authorities have repeatedly aired this year.

It is worth noting that since 2018, the regulatory authorities have also publicly mentioned stock index futures trading.

On June 14, Fang Xinghai, vice chairman of the China Securities Regulatory Commission, mentioned during the "2018 Lujiazui Forum" that conditions would be created to allow foreign investors to participate in stock index futures.

On the morning of May 30, the chairman of CICC, Hu Zheng, also introduced the current situation and development plan of the stock index futures market at the 15th Shanghai Derivatives Market Forum.

Hu Zheng pointed out at the time that CICC continued to improve market trading rules, optimize the structure of participants, and promote the function of the stock index futures market. In recent years, the trading position ratio of the stock index futures market has remained stable, and the investor structure has become more and more reasonable. The financial licensees represented by securities self-operated, private equity funds, QFII and RQFII have become the most important participants in the market, and the average daily positions accounted for The market share is close to 70%.

He said that the current domestic stock index futures transaction costs are still high, market liquidity needs to be further improved, and the market function is limited, which is difficult to fully meet the needs of investor risk management. From the experience of capital market development in the world, stock index futures is the most basic, mature and most actively traded financial derivatives, and is an indispensable risk management tool for any powerful capital market.

  【Related reports】

  Industry experts: Stock index futures trading restrictions further "loose" can be expected

In the first half of this year, under the influence of the continued de-leverage in the country and the complicated situation in the international market, the negative sentiment in the market was high, and A-shares continued to oscillate, and the performance of related asset management products was generally unsatisfactory. The reason is that Liu Wencai, an executive director of the Shanghai North Bund Absolute Income Investment Institute and a visiting professor at Shanghai University of Finance and Economics who participated in the design of the Shanghai and Shenzhen 300 stock index futures, believes that this has something to do with the temporary trading restrictions on stock index futures.

Although CICC has carried out two “loose” restrictions on the temporary trading restrictions of stock index futures since last year, the trading volume and positions of the stock index futures market have been enlarged, and the futures of the futures index has improved, but the stock index futures. The market still cannot meet the normal risk management of asset management institutions and the need for residents to preserve and increase their wealth. It is precisely because stock index futures are difficult to effectively play its "flooding channel" function, investors can not effectively hedge the risk and continue to "cut the meat decompression", so that A shares have repeatedly bottomed out, stock index futures are more prone to further expansion of the discount .

In Liu Wencai's view, futures and options are the best risk management tools. Just like insurance in daily life, in the case of sufficient market activity and investors, it can effectively hedge market risks. “The further expansion of the stock index futures premium means that the market liquidity is insufficient, just like the higher premiums in the insurance market, which means the risk is increased. To reduce the 'premium', the market needs sufficient liquidity. There is a need for more traders who can provide liquidity to participate," Liu Wencai said.

In view of this, he called for further “relaxation” of stock index futures temporary trading restrictions, improve market liquidity, and enable the function of the stock index futures market to be effectively utilized, thereby making the capital market run more smoothly.

Liu Wencai has always believed that the future restrictions on temporary trading of stock index futures will be further "unbundled" or even comprehensively "banned." Especially in today's capital market, China's capital market is gradually opening to the outside world, he even believes that the stock index futures temporary trading restrictions on the full "exit" can be expected.

"The inclusion of A-shares in the MSCI index is not only a milestone in the opening of China's capital market, but will also gradually increase the proportion of foreign investors in the A-share market. In view of the fact that foreign investors are accustomed to managing investment risks through derivatives such as stock index futures, future stock indexes Futures temporary trading restrictions will be further 'relaxed'." Liu Wencai believes that not only that, but also the addition of new trading varieties and tools to enhance the international competitiveness and attractiveness of China's capital market.

It is understood that CICC is currently promoting the development and listing of stock index options products. In this regard, Liu Wencai said that the asset management industry has long been looking forward to stock index options.

"If the stock index futures is 'solution of gold', you can separate the alpha and beta in the stock, then the stock index option is more like a 'lithographic machine', which can further divide and refine the risk, and the strategy derived from it is relatively more. On this basis, relevant institutions can innovate products with different risks and benefits to meet the more diversified needs of investors.” Liu Wencai said. (Source: Futures Daily)