2. At present, the opening fee ratio of CSI 300(IF), CSI 500(IC) and SSE 50(IH) in China is 0.000023, and the closing fee ratio is 0.000345; The margin ratio is IF 12%, IC 14% and IH 12% respectively.
3. There are three kinds of stock index futures, namely CSI 300(IF), CSI 500(IC) and SSE 50(IH). If the commission =4856.4*300*0.000023=33.5 yuan/lot, and Pingjincang = 4856.4 * 300 * 0.000345 = IC handling fee = 7119 * 200 * 0.000023 = Pingjincang = 7 1 19 * 200 * 0.00IH handling fee = 3169.2 * 300 * 0.000023 = 21.87 yuan/hand, Pingjincang = 3/kloc-0. Note: (declaration fee 1 yuan).
1. Stock index delivery: refers to the difference between the "price" of your futures contract and the actual "price" of the current spot market, which is equivalent to closing the position at the spot "price" on the delivery day. Stock index futures are delivered in cash.
1. The so-called cash delivery means that there is no need to deliver a basket of stock index components, but the spot index on the maturity date or the next day is used as the final settlement price, and the position is closed through profit and loss settlement at the final settlement price.
2. Stock index futures contracts need to be delivered at maturity, just like other futures. However, general commodity futures, treasury bonds futures and foreign exchange futures are delivered in kind, while stock index futures and short-term interest rate futures are delivered in cash.
Second, the settlement price
1. There are two main rules for determining the maturity settlement price of stock index futures: single price and average price. Most of the earliest stock index futures contracts use a single spot closing price as the delivery price, which is easy to produce "expiration effect" and "three witch effects" After discovering this problem, some markets changed the delivery price of stock index futures to a special opening price on the day after the last trading day, and the "three witches effect" disappeared, but the "maturity effect" was transferred to the opening of the next day.
2. Specifically: (1) If we emphasize the improvement of arbitrage (hedging) efficiency, reduce the deviation between futures and spot prices, and reduce the deviation between delivery settlement prices and index closing or opening prices, we may tend to adopt simple closing and special opening prices as delivery settlement prices. (2) If anti-manipulation is emphasized to avoid the maturity effect, the average price of a certain period before closing may be used to determine the settlement price of delivery relatively complicated, thus increasing the manipulation cost.
3. At present, most stock index futures use the average price method to determine the settlement price.