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CFFEX: Notice On Delivery Of Equity Index Futures And Options Contracts

Date 13/10/2020

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, and CSI 300 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 IF2010, IH2010, IC2010, and IO2010 (CSI 300 Index options contracts expiring in Oct 2020) is Oct 16, 2020.

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 for the contract is 0.01% of the delivery amount.

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 is RMB 2 per lot.

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