China Index Futures Market Updates

Transcription

1 9:1 9: 1: 1:3 1: 11: 13:1 13:39 1: 1:9 1: 9:3 9: 9:8 1:1 1:6 1: 1: 11:8 11: 13: 13:19 13:33 13:7 1:1 1:1 1:9 1:3 1:7 China Index Futures Market Updates SWS Futures Dec, 1 RESEARCHINSTITUTE ANALYST Fuyu Ma Tel: [email protected] Bijia Jian Tel: [email protected] INTERNATIONAL BUSINESS DIVISION CSI3 Index Futures Chart Basis(right) Dominant Contract CSI3 Source:Wind, SWS Futures Research Institute Benchmark Contract Intraday Trading Volume Chart Rock Fu Tel: [email protected] Shenshen Dai Tel: [email protected] SWS FUTURES Add:8th Floor, Bao an Building, 8Dongfang Road, Shanghai, China 1 Tel: Fax: Web: Intraday Trading Volume IF11 Source:Wind, SWS Futures Research Institute

2 9:1 9:31 9:7 1:3 1:19 1:3 1:1 11:7 11:3 13:8 13: 13: 13:6 1:1 1:8 1: 1: CSI3 Index Futures Market Previous Close Previous %Change Volume(l Turnover Open Settlement ots) (million Interest(lots) RMB) CSI % IF % 1,966,3 1,81, ,738 IF % 8,18 79,66 3,8 IF % 8,7 79,18 7, IF % 386 1, Intraday Spread of IF11and IF11 Total Trading Volume and Open Interest ,6, 1,, 1,, 1,, 8, 6,,, lots lots 16, 1, 1, 1, 8, 6,,, Spread(right) IF11 IF11 VOLUME OI(Right) Open Interest VS Top 1 Net Short Open Interest VS Top Net Short /3 7/ 8/8 9/1 1/18 11/18 1/ /13 /1 1/ Net Short of Top 1(right) CSI /3 7/8/89/1 1/18 11/181/ /13 /11/ Net Short of Top (right) CSI 3 1 1

3 x 1 x 1 SHIBOR Weekly Central Bank Currency Net Put /8 13/9 13/1 13/11-3 1/ 1/7 1/9 1/11 Securities Lending Balance 1, 7 Margin Trading Balance 8 6 1/7 1/9 1/11 P/ERatio A Share B Share /7 1/9 1/11 M1 M M1 M 3

4 Appendix: CSI3 Index Futures Introduction The underlying asset of the CSI 3 index futures contract is CSI 3 index.csi3 consists of 3 stocks with the largest market capitalization and liquidity from the entire universe of listed A share companies in China. CSI 3 aims to reflect the price fluctuation and performance of China A share market. CSI 3 index futures were launched in April 1. Daily Settlement Price is calculated using the volume-weighted average price during the last hour of trading. The final settlement price is the arithmetic average of the underlying index during the last two hours on the last trading day. Current Listed Contract Code Delivery Month Limit Up /Down Margin Listed Day Last Trading /Delivery Day IF % 1% IF % 1% IF % 1% IF % 1% CSI 3 Index Futures Contract Underlying Index CSI 3 Index Contract Multiplier Valued at RMB 3 per index point Unit Index point Tick Size. point Contract Months Monthly: current month, next month, next two calendar quarters (four total) Trading Hours 9:1 am - 11:3 am, 1: pm - 3:1 pm Trading Hours on Last Trading Day 9:1 am - 11:3 am, 1: pm - 3: pm Limit Up/Down +/-1% of settlement price on the previous trading day Minimum Margin 1% of the contract value Last Trading Day Third Friday of the contract month, postponed to the next business day if it falls on a public holiday Delivery Day Third Friday, same as "Last Trading Day" Settlement Method Cash Settlement Transaction Code IF Exchange China Financial Futures Exchange Source: CFFEX, SWS Futures Research Institute

5 RESEARCHINSTITUTE ANALYST Fuyu Ma Tel: [email protected] Bijia Jian Tel: [email protected] INTERNATIONAL BUSINESS DIVISION Rock Fu Tel: [email protected] Shenshen Dai Tel: [email protected] Disclaimer: This report is disseminated in China by SHENYIN&WANGUO FUTURES CO., LTD. This report is for our clients only. The report is based on current public information that we consider reliable, but we do not represent it is accurate or complete, and it should not be relied on as such. The clients shall not base their investment decisions solely on this report. We seek to update our research as appropriate, but various regulations may prevent us from doing so. In the absence of any authorization by the Company in writing, no part of this report shall be copied, photocopied, replicated or redistributed to any other person in any form by any means, or be used in other ways which infringe upon the copyrights of the Company.