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Notice on Adjusting Trading Limits for CSI 300 Index Options

All member entities,

To facilitate the functioning of options products and safeguard market stability, pursuant to the Measures of China Financial Futures Exchange on Risk Control, China Financial Futures Exchange (CFFEX) hereby makes the following adjustments to the trading limits for CSI 300 index options.

From the fourth Monday in June 2020 (June 22, 2020), a client shall be subject to a daily maximum position-opening limit of 200 lots in all contracts of the product, 100 lots in contracts of a single expiration month, and 30 lots in a single deep out-of-the-money (OTM) contract.

With respect to contracts of the same expiration month, deep OTM options refer to call options with a strike price 10 strikes or more above the closing price of the underlying index on the preceding day, or put options with a strike price 10 strikes or more below the closing price of the underlying index on the preceding day. The “daily maximum position-opening limit” refers to the sum of buy-to-open and sell-to-open positions of a client on any trading day in all contracts of the product, in contracts of a single expiration month, or in a specific contract.

Positions opened for hedging or market-making purposes shall not be subject to the above limits. Positions opened by Actual Control Accounts shall be calculated on an aggregated basis and subject to the same limits as for a single client. If a client reaches the threshold for CFFEX to take actions with respect to the trading of two or more contracts in a single day, the client will be treated as having violated the trading limits only once.

If any client violates the above provisions for the first time, CFFEX will suspend the client from opening new positions for five trading days; for the second time, suspension will be extended to ten trading days; and if such violation occurs for three times or more, a one-month suspension will be imposed. Cases of serious violation shall be handled in accordance with the Measures of China Financial Futures Exchange on Dealing with Violations and Breaches.

CFFEX may further adjust the specific standards, implementation date, and relevant measures specified in this notice based on market conditions.


China Financial Futures Exchange

June 18, 2020


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