The China Securities Regulatory Commission (CSRC) has officially approved the registration of Egg options, Corn Starch options and Live Hog options on Dalian Commodity Exchange (DCE) . The relevant matters on listing and trading are hereby released:
I. Listing and Trading Time
Egg options, Corn Starch options and Live Hog options will be listed for trading on August 23, 2024. On the listing day, the call auction will be from 8:55 to 9:00, and the opening time will be at 9:00. The night trading session of Corn Starch options will begin in the night of August 23, 2024.
II. Contracts Listed for Trading
The contract months of Egg options, Corn Starch options and Live Hog options listed on the first day start from January 2025 (namely JD2501, CS2501 and LH2501 contracts). Egg options listed for trading are JD2501, JD2502, JD2503, JD2504, JD2505, JD2506 and JD2507. Corn Starch options listed for trading are CS2501, CS2503, CS2505 and CS2507. Live Hog options listed for trading are LH2501, LH2503, LH2505 and LH2507.
III. Listing Prices
The listing prices of Egg options, Corn Starch options and Live Hog options contracts are calculated based on the BAW American futures options pricing model. The interest rate in the model is the latest benchmark one-year deposit rate, and the volatility is the historical volatility of the underlying futures contract. The listing prices will be released together with the settlement data through the Member Service System after the settlement on the trading day prior to the listing day, and will also be released on DCE’s website (www.dce.com.cn).
IV. Trading Orders
Limit order and stop limit order will be offered. The maximum quantity of orders placed each time of the options contract is the same as that of the underlying futures contract.
V. Exercise and Fulfillment
During the trading hours of any trading day and from 15:00 to 15:30 on the expiration day, clients may submit application for exercise, hedging liquidation of the two-way options positions, hedging liquidation of the two-way futures positions following exercise or fulfillment. During the trading hours and from 15:00 to 15:30 on the expiration day, clients may submit application for cancelling automatic exercise of options.
VI. Position Limits
The position limit for Egg options is 400 lots, the position limit for Corn Starch options is 15,000 lots, and the position limit for Live Hog options is 125 lots. The position limits of Egg options, Corn Starch options, Live Hog options and their underlying futures are separate. With respect to the options contracts of a particular month held by the Non-Futures Company Member and the client, neither the sum of the buying open interest of all call options and the selling open interest of all put options, nor the sum of buying open interest of all put options and the selling open interest of all call options may exceed the position limit of the corresponding options contracts. The positions involving actual control relationship shall be calculated on a consolidated basis.
VII. Portfolio Margin
From the settlement on August 23, 2024, JD2501, CS2501 and LH2501 options contracts will be the contracts applicable to portfolio positions.
VIII. Related Commissions
The trading commissions of Egg options is 0.5 CNY/lot, the trading commissions of Corn Starch options is 0.2 CNY/lot, the trading commissions of Live Hog options is 1.5 CNY/lot. The exercise (fulfillment) commissions of Egg options, Corn Starch options and Live Hog options are the same as the corresponding trading commissions.
The hedging commissions of Egg options is 0.25 CNY/lot, the hedging commissions of Corn Starch options is 0.1 CNY/lot, the hedging commissions of Live Hog options is 0.75 CNY/lot.
The order fees shall be collected on Egg options, Corn Starch options and Live Hog options, which are the same as the other listed options on DCE, as of the trading hour of October 25, 2024 (i.e. the night trading session of October 24).The order fees shall be collected on daily basis, and be calculated on the basis of underlying futures contracts. The standards are as follows:
Table: The order fees standards of Egg options, Corn Starch options and Live Hog options
|
Options |
Charging rate: CNY/count |
||||
|
Message amount≤4000 count |
4000 count＜Message amount≤8000 count; OTR≤2 |
4000 count＜Message amount≤8000 count; OTR＞2 |
Message amount＞8000 count; OTR≤2 |
Message amount＞8000 count; OTR＞2 |
|
|
Egg options, Corn Starch options and Live Hog options |
0 |
0 |
1 |
2 |
5 |
Contract order fee = ∑(each message amount of contract by clients or Non-Futures Company Members on the then-current day × each charging rate)
Message amount = number of order placements + number of order cancellations
OTR= message amount / number of executed orders-1
As for the same client who has several trading codes with different Futures Company Members, or clients and Non-Futures Company Members involving actual control relationship, DCE will calculate their number of order placements, number of order cancellations and number of executed orders on a consolidated basis.
IX. Market Maker Mechanism and Quotation Inquiry
The market maker mechanism is implemented in the trading of Egg options, Corn Starch options and Live Hog options. Non-Futures Company Members or clients may submit a quotation inquiry to the market makers on non-continuous-quotation contracts. The continuous-quotation contracts will be released on DCE’s website. The quotation inquiry shall specify the contract symbol of the options. The interval between two quotation inquiries on the same options contract should not be less than 60 seconds. The maximum number of quotation inquiries on each options product under the same trading code is 200 per day.
All entities concerned are required to effectively make preparations for the listing and trading of Egg options, Corn Starch options, Live Hog options, and improve risk management measures to ensure the smooth operation of the market.
