CFFEX Notice〔2022〕 No.74
All member entities,
The China Securities Regulatory Commission (CSRC) has officially approved the listing of SSE 50 index options contracts (the “Contracts”) at China Financial Futures Exchange (CFFEX). This Notice is hereby given on relevant matters.
1. Listing Date
The Contracts will be listed for trading on December 19, 2022 (Monday).
2. Contracts to be Listed and Listing Benchmark Prices
The first batch of SSE 50 index options contract months to be listed include HO2301, HO2302, HO2303, HO2306, HO2309 and HO2312.
CFFEX will publish the listing benchmark price of each contract on the trading day preceding its listing day.
3. Maximum Order Size
The maximum size of limit orders in SSE 50 index options shall be 20 lots.
4. Trading Margin
The margin adjustment factor of SSE 50 index options shall be 12%, and the minimum safety factor shall be 0.5.
5. Position Limit
The limit on either long or short positions held by the same client in a particular SSE 50 index options contract month shall be 1,200 lots (positions held through different members shall be calculated on an aggregate basis).
6. Fees and Charges
For SSE 50 index options contracts, transaction fee shall be RMB 15 per lot. Exercise (Assignment) fee shall be RMB 2 per lot. Order submission fee shall be exempted until further notice.
7. Market Making
Market makers for SSE 50 index options may, from 9:30 a.m. to 3:00 p.m. on each trading day, apply through carrying members for the automatic netting of long and short positions they hold. Such netting arrangement shall become valid upon approval of the application, and relevant fees shall be exempted until further notice. Market makers may also apply to cancel such automatic netting during the above time. Market makers are subject to a limit of 15,000 lots on either long or short positions in all SSE 50 index options contracts they hold, and of 4,800 lots on either long or short positions in all SSE 50 index futures contracts. CFFEX will continue to improve the management of different categories of market makers.
8. Request for Quotes
A client’s request for quotes (RFQs) on the same options contract shall be made at an interval of no less than 60 seconds. No RFQ is accepted for an options contract if the best bid-ask spread is less than or equal to the spread listed below.
Bid Price (index points) | Bid-Ask Spread for Current Month Contracts (index points) | Bid-Ask Spread for Other Contracts (index points) |
Bid < 10 | 0.6 | 1 |
10 ≤ Bid < 20 | 1 | 2 |
20 ≤ Bid < 50 | 2.6 | 4 |
50 ≤ Bid < 100 | 5 | 8 |
100 ≤ Bid < 250 | 8 | 15 |
250 ≤ Bid < 500 | 15 | 25 |
500 ≤ Bid < 1000 | 30 | 50 |
1000 ≤ Bid < 2000 | 60 | 100 |
Bid≥2000 | 120 | 200 |
CFFEX may adjust the specific standards, effective date, and relevant measures stipulated in this Notice according to market conditions. Other matters concerning the listing of the Contracts will be announced separately.
Members are required to ensure business readiness and control market risks to facilitate the listing and trading of SSE 50 index options in a safe and stable manner.
