On October 28, Dalian Commodity Exchange (DCE) released notices on the listing and trading of log futures and options. Specifically, log futures will be listed on November 18 (Monday), 2024 , followed by log options on November 19 (Tuesday), 2024. Currently there is no night trading session for log futures and options.
According to the notices, the first three log futures contracts to be listed are LG2507, LG2509, and LG2511. To ensure smooth trading and rigorous risk control, at launch DCE will set their daily price limit to 6% of the last settlement price and, for the listing day, to 12% of the listing price. The trading margin is 8% of the contract value. The trading commission is 0.01% of the transaction value for log futures, and 0.005% of the transaction value for hedging trading commission.
The first option contracts to be listed are contracts with underlying of LG2507, LG2509, and LG2511, with a position limit of 1,500 lots. The trading commission of log options is 1 CNY/lot; the exercise (fulfillment) commission is currently set to the same rate as the trading commission. The hedging trading commission is 0.5 CNY/lot. The listing price is calculated by DCE based on the BAW model for pricing American options. The interest rate in the model is the latest benchmark one-year deposit rate, and the volatility is based on factors such as the historical volatility of the physicals prices comprehensively. Limit orders and stop limit orders are available to log options. The maximum order size is 1,000 lots, same as the underlying futures contract.
