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Notice on Issues Related to the Delivery of Equity Index Futures and Options Contracts
2023-08-11

CFFEX Notice〔2023〕 No.46


All member entities,

Pursuant to the Trading Rules of China Financial Futures Exchange and relevant detailed implementation rules, the last trading day of a CSI 300 Index futures, SSE 50 Index futures, CSI 500 Index futures, CSI 300 Index options, CSI 1000 Index futures, CSI 1000 Index options, and SSE 50 Index options contract is the third Friday of the expiry month. Where the last trading day is a public holiday or trading of that contract is suspended on that day for extraordinary situations or other reasons, the last trading day shall be postponed to the following trading day. Accordingly, the last trading day of IF2308, IH2308, IC2308, IO2308(CSI 300 Index options contracts expiring in August 2023), IM2308,MO2308(CSI 1000 Index options contracts expiring in August 2023),and HO2308(SSE 50 Index options contracts expiring in August 2023) is August 18, 2023.

For an equity index futures contract, the limit up/limit down on the last trading day shall be ±20% of the preceding trading day’s settlement price. The last trading day is also the delivery day, and the final settlement price of the contract is the arithmetic average price of the underlying index during the last two trading hours on the last trading day, rounded to two decimal places. The delivery fee shall be charged in accordance with the relevant rules of the Exchange.

For an equity index options contract, the daily (including the last trading day) limit up/limit down is ±10% of the closing price of the underlying index from the preceding trading day. The last trading day is also the delivery day, and the final settlement price of the contract is the arithmetic average price of the underlying index during the last two trading hours on the last trading day, rounded to two decimal places. The exercise (assignment) fee for the contract shall be charged in accordance with the relevant rules of the Exchange.

Members are requested to strengthen risk control through necessary risk alerts and other risk management measures, and to ensure market stability.