Stock index futures: how to calculate the margin required for trading according to the margin system?

One of the characteristics of futures trading is the implementation of margin system. Anyone who participates in stock index futures trading, whether the buyer or the seller, must pay the trading margin according to the regulations of the exchange, and decide whether to add the margin according to the price change. Margin is the financial guarantee for investors to perform the contract, which proves the sincerity of the buyer or seller and helps to prevent breach of contract. The customer's deposit is deposited into the bank account through the specialized bank designated by the futures company, which is different from the futures company's own funds. Then the futures company will uniformly transfer the deposit to the professional bank account designated by the exchange.

When the buyer and the seller make a deal, the exchange will charge the trading margin to both parties according to a certain proportion of the value of the position contract. Therefore, the trading margin is the funds already occupied by the contract.

The margin required for buying and selling futures contracts is different. Generally speaking, the greater the price fluctuation of futures contracts, the more margin is needed. According to the trading rules formulated by CICC, the minimum trading margin rate of domestic stock index futures contracts is 8% of the contract value.

It should be reminded that in order to control customer risk more strictly, futures companies will generally increase the margin ratio stipulated by CICC by 0 ~ 3 percentage points. Therefore, in general, the minimum trading margin ratio of Shanghai and Shenzhen 300 stock index futures contracts should be in the range of 8% ~ 1 1%.

According to the margin rate, investors can calculate the margin required for buying and selling 1 stock index futures, so as to scientifically allocate and manage funds and control trading risks.

situation

If the Shanghai and Shenzhen 300 Index Futures 65438+February contract quotation is 4 100 points and the trading margin charged by the futures company is 15%, then:

The value of the first-hand futures contract (Zhang) = 4 100 points ×300 yuan/point = 1.23 million yuan.

Margin required for buying and selling Shanghai and Shenzhen 300 index futures contracts 1 lot (sheet) =123x15% =184,500 yuan.

If the funds in the investor's account

In addition, in the following four special circumstances with high market risk, CICC will increase the trading margin ratio according to market risk:

1. The unilateral market situation with continuous price limit and unilateral discontinuous quotation in futures trading.

First of all, what is a unilateral city? CICC clearly defines the concept of unilateral market: unilateral market refers to the situation that a contract has a buy (sell) declaration with a stop-loss price but no sell (buy) declaration with a stop-loss price within 5 minutes before the market closes, or a deal is made as soon as a sell (buy) declaration is made, but no stop-loss price is set. To be more clear, the upper (lower) stop plate is blocked.

It is very important to judge the unilateral market, which is related to whether CICC will take a series of risk control measures in the future. We take stock index futures trading as an example to understand unilateral market.

situation

On a certain trading day, the futures price of SSE 50 stock index reached the daily limit five minutes before the contract closed in June and did not open. According to the definition of CICC, the contract has a unilateral market on this day (see figure 1).

Figure 1 Time-sharing chart of June contract of SSE 50 stock index futures on a certain trading day

On a certain trading day, the June contract reached the daily limit in the last five minutes, but did not keep the daily limit price in the last five minutes, and was opened. Therefore, according to the definition of CICC, today's contract cannot be defined as a unilateral market (see Figure 2).

Figure 2 Time-sharing chart of June contract of SSE 50 stock index futures on a certain trading day.

On another trading day, the June contract did not open to the daily limit for most of the afternoon, but it opened in the last five minutes and was not saved. Therefore, according to the definition of CICC, today's contract cannot be defined as a unilateral market (see Figure 3).

Fig. 3 Time-sharing chart of June contract of SSE 50 stock index futures on another trading day.

In the futures market, affected by various factors, under the system of price limit, there will be a continuous daily limit or a unilateral market where the daily limit cannot be opened. Once there are continuous daily limit and daily limit, the other party has no chance to stop loss, which will not only lead to short position risk, but also bring great and even fatal risks to futures companies, leading to joint risks of the whole futures market system.

For this reason, once there is a unilateral market situation, CICC will have the right to take one or more risk control measures according to the specific circumstances, including: raising the trading margin standard, limiting the opening of positions, limiting the withdrawal of funds, closing positions within a time limit, forcibly closing positions, suspending trading, adjusting the price limit, forcibly reducing positions or others. Among them, improving the trading margin standard and limiting the withdrawal of funds are to ensure the performance of warehouse receipts from the perspective of funds; Restricting the opening of positions, forcibly closing positions and forcibly reducing positions are to control the overall market risk from the perspective of limiting positions; Suspending trading and adjusting the range of price limit are the functions of warning and stabilizing the market. It is particularly important to note that the above measures are taken for the ownership of the transaction, but not necessarily, the exchange may take multiple measures at the same time.

2. In case of national legal holidays

situation

On September 23rd, a certain year, considering that the National Day holiday (closed for 9 days) is coming, CICC issued a notice to all futures companies, and the trading margin standard of 10 and1futures contracts was adjusted from 12% to/kloc-from Thursday, September 25th. The trading margin standard of 65438+February and March next year is adjusted from 15% to 20%, in order to avoid the risk that the domestic stock market will be closed during the long holiday, the overseas stock market will continue to open, and once a major fundamental event occurs, it will lead to unilateral opening after the holiday. This kind of risk has been common in the commodity futures market, and it is extremely risky. For example, after the National Day holiday in a certain year, the K-line trend of Shanghai Copper's 65438+February contract day (see Figure 4).

Fig. 4 K-line chart of Shanghai Copper 65438+February futures contract after the National Day holiday in a certain year.

3. When the exchange thinks that the market risk has obviously increased,

situation

On March 1 day of a certain year, CICC issued a notice to all futures companies, saying that due to the increase of market price fluctuation, in order to prevent market risks, CICC decided to raise the margin standard for April contract trading of Shanghai and Shenzhen 300 stock index futures from 12% to 15% from March 2 (see Figure 5).

Figure 5 K-line chart of April contract date of Shanghai and Shenzhen 300 stock index futures on March 2 of a certain year

4. Other circumstances deemed necessary by the Exchange.

When some major political events happen, CICC will temporarily increase the trading margin. However, this situation is rare.

The advantages of raising margin under the above circumstances are as follows: first, raising the capital threshold of futures trading under the condition of high market risk can greatly improve the overall anti-risk ability of futures market and reduce the probability of forced liquidation. This is not only conducive to the risk monitoring of futures exchanges and futures companies, but also conducive to the self-risk prevention of futures investors. At the same time, it will effectively curb excessive speculation. Second, cool the market. In a certain period of time, the amount of funds entering the futures market is certain, and the margin rate of the whole market is also greatly improved, which means that the futures contracts bought and sold suddenly become "expensive", and the number of contracts that can be held by the same amount of funds is greatly reduced. Therefore, the margin system not only embodies the unique "leverage effect" of futures trading, but also becomes an important means for exchanges to control the risks of futures trading.