CFFEX Notice〔2022〕 No.73

All member entities,

To further regulate the trading of equity index futures and options, pursuant to the Measures of China Financial Futures Exchange on Risk Control, China Financial Futures Exchange (the “Exchange”) hereby issues the following notice on the trading limits for equity index futures and options contracts.

I. Trading Limits

Starting from market open on December 19, 2022, for CSI 300, CSI 500, CSI 1000, and SSE 50 index futures, a client shall be subject to a daily maximum position-opening limit of 500 lots in the same contract. Positions opened for hedging or risk management purposes are not subject to the above limit. 

Starting from market open on December 19, 2022, for CSI 300, CSI 1000, and SSE 50 index options, a client shall be subject to a daily maximum position-opening limit of 200 lots in all contracts of the same product, 100 lots in contracts of the same expiration month, and 30 lots in the same deep out-of-the-money (OTM) contract. Positions opened for hedging, risk management or market making purposes are not subject to the above limits. 

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 same product, in contracts of the same expiration month, or in a specific 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 trading day, or put options with a strike price 10 strikes or more below the closing price of the underlying index on the preceding trading day. 

Positions opened by a group of Actual Control Accounts shall be calculated on an aggregate basis and be subject to the same limits as a single client. If, with respect to its trading of contracts of the same product, a client reaches the threshold for the Exchange to take actions more than once within a trading day, it shall be treated as a single violation of the trading limits.

II. Handling of Violations

If any client violates the above limits for the first time, the Exchange will suspend the client from opening new positions for 5 trading days; for the second time, the suspension will be extended to 10 trading days; and if such violation occurs for three times or more, a 1-month suspension will be imposed. Cases of serious violation shall be handled in accordance with the Measures of China Financial Futures Exchange on Risk Control and the Measures of China Financial Futures Exchange on Dealing with Violations and Breaches.

The Exchange may further adjust the specific standards and relevant measures specified in this Notice based on market conditions.

This Notice shall come into effect on December 19, 2022. The Notice on Trading Limits for Equity Index Futures and Options Contracts (CFFEX Notice [2022] No. 39) shall be automatically abolished.