CFFEX: Notice On The Listing And Trading Of CSI 1000 Index Futures And Index Options Contracts

The China Securities Regulatory Commission (CSRC) has officially approved the listing of CSI 1000 index futures and 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 July 22, 2022 (Friday). 

2. Contracts to be Listed and Listing Benchmark Prices

The first batch of CSI 1000 index futures contracts to be listed include IM2208, IM2209, IM2212 and IM2303.

The first batch of CSI 1000 index options contract months to be listed include MO2208, MO2209, MO2210, MO2212, MO2303 and MO2306.

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 CSI 1000 index futures shall be 20 lots, and the maximum size of market orders shall be 10 lots.

The maximum size of limit orders in CSI 1000 index options shall be 20 lots.

4. Trading Margin

The trading margin for CSI 1000 index futures contracts shall be 15%.

For the calculation of trading margin, positions shall be aggregated across CSI 300 index futures, CSI 500 index futures, CSI 1000 index futures and SSE 50 index futures, and trading margin shall be collected solely from the long or short side for which a larger amount of margin is required.

The margin adjustment factor of CSI 1000 index options shall be 15%, 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 CSI 1000 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 CSI 1000 index futures contracts, transaction fee shall be 0.0023% of notional trading value (0.0345% of notional trading value for closing intraday positions). Order submission fee shall be RMB 1 per order (including buy and sell orders and cancellation of orders). A 50% reduction shall apply to the delivery fee until December 31, 2022.

For CSI 1000 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 CSI 1000 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 CSI 1000 index options contracts they hold, and of 4,800 lots on either long or short positions in all CSI 1000 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.

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 CSI 1000 index futures and index options in a safe and stable manner.