Comparison of Rapeseed Meal Options and Rapeseed Meal Futures

Design Notes on Main Terms

① Trading Unit: 1 Lot of Rapeseed Meal Futures Contract?

The trading unit of an option contract refers to the quantity of underlying material corresponding to each trading unit. Setting the meal options trading unit for 1 lot of meal futures contracts is convenient for investors to hedge the risk of futures parts, and is conducive to investor familiarity and mastery.

② Quotation unit: yuan (RMB) / ton?

The unit of quotation for options is generally the same as that for the underlying futures. The same as the meal futures contract quotation unit, meal options contract quotation unit for yuan (RMB) / ton.

③ Minimum change price: 0.5 yuan / ton?

Options minimum change in price is the minimum value of the option contract unit price change up or down. From the sugar, cotton and other options market operation, virtual value, flat option contracts are more active, its Delta value between 0.2 and 0.5, that is, the option price fluctuations for futures is about 1/5 to 1/2.

Meal options and futures minimum change price (1 yuan / ton) ratio in this range, can better meet the needs of the combination of investment in options and futures market of vegetable meal.

④ Stopping range: the same as the underlying futures stopping range?

The stopping range of vegetable meal options contracts is the same as that of the underlying futures (the same absolute number), i.e., the stopping range of the options contract is calculated in proportion to the settlement price and spread of the underlying futures contract. When the option premium is less than the stop range, the stop price takes the minimum change in the price of the option contract.

⑤ Contract month: two near months + active month?

The contract month of the meal options is stipulated as two near-months and the active month with a position of more than 5,000 lots (unilateral), which is the same as that of the sugar and cotton options. Both to meet the market demand for trading, but also conducive to the concentration of market liquidity, improve the efficiency of market operation.

6 Last trading day/expiration date: the 3rd trading day of the month before the delivery month of the underlying futures contract?

Selecting the third trading day of the month prior to the delivery month as the expiration date of the meal options is consistent with the sugar and cotton options, which is convenient for the members to operate the expiration date of the exercise business, and is conducive to the familiarization of investors.

On the one hand, the option expiration date is as close as possible to the underlying futures delivery month, which is conducive to the better use of options to carry out hedging;

On the other hand, the options in the underlying futures delivery month one month prior to the adjustment of the gradient limit expiration can reduce the impact of the exercise of the options on the operation of the futures delivery month.

⑦ Number of strike prices: 13?

The number of strike prices is too high, which is not conducive to centralized market liquidity; the number is too low, which cannot effectively cover the range of price fluctuations of the underlying futures.

Based on the experience of sugar and cotton options and the characteristics of the fluctuation of meal futures prices, the first day of the meal options contract will be listed 13 call options and 13 put options (i.e., 6 real, 1 flat and 6 imaginary options, corresponding to 13 strike prices), which can basically cover the underlying futures prices on the next day, up and down 1.5 times the range of the price of the corresponding price of the day's up and down stops.

With the change of futures prices, if the number of real or imaginary options is less than 6, a new option contract corresponding to the strike price will be added.

⑧ Exercise price spacing: set according to the exercise price segments?

The design of the exercise price spacing mainly takes into account the level of the underlying price and the degree of volatility. The smaller the exercise price spacing, the more the exercise price corresponds to the number of option contracts, not conducive to the concentration of market liquidity; the larger the exercise price spacing, the fewer the number of corresponding option contracts, the less the exercise price available to investors to choose from, and it is difficult to meet the trading needs of different investors.

Since the listing of the meal futures, the price mainly fluctuates within the range of 1700 yuan/ton to 3100 yuan/ton. Meal options to 2,500 yuan / ton and 5,000 yuan / ton segments set up different exercise price spacing, exercise price spacing and the ratio of the exercise price between 1% and 2%, and the international mature market commodity options are basically the same.

9? Exercise mode: American style?

Option exercise methods can be divided into American and European style. For the option buyer, American-style options can be exercised on the expiration date and any trading day before, while European-style options can only be exercised on the expiration date.

International commodity options are generally American-style options. The American option exercise method is conducive to maintaining a stronger correlation between option and futures prices, providing investors with flexible choices and reducing the impact of concentrated option expiration on the operation of the underlying market.

Since the listing of sugar options, the proportion of non-expiry date exercise volume to the total exercise volume is about 10%, and there is demand for early exercise in the market. Drawing on the experience of domestic and international options market operation, meal options also use American-style options.

⑩? Trading code: RM - contract month - C (P) - strike price?

Rabies meal options contracts follow the domestic commodity options trading code composition, and sugar, cotton and other varieties of options trading code composition consistent, easy for investors to understand and master. In this case, call options (Call) with a capital letter C, put options (Put) with a capital letter P, said.