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Notice on Relevant Matters of Listing Cotton Option Contracts

2019-03-20 15:47:43

Notice on Relevant Matters of Listing Cotton Option Contracts

[2019] No. 6

 

Zhengzhou Commodity Exchange (hereinafter referred to as ZCE) has received approval of listing cotton option contracts and is now publishing relevant matters of the listing as follows:

 

1.     Listing time.

Cotton option contracts will list for trading on Jan 28, 2019 with the central auction time starting from 8:55 am to 9:00 am.

 

2.     Listing contract months

Underlying futures contracts of the cotton options contracts that will list on the first trading are: CF1905, CF1907, CF1909 and CF2001.

 

3.     Listing benchmark price

ZCE computes each option contract’s benchmark price based on option pricing model. In the model, the volatility parameter is determined by cotton futures’ historical volatility and other factors; interest rate adopts the 1-year lending benchmark rate. Listing benchmark price will be published in the “Trading Date” column on ZCE website after the settlement of Jan 25.

 

4.     Night trading session

Cotton option contract will start night trading on Jan 28. Cotton option contract’s night trading session is the same as that of cotton futures contract.

 

5.     Maximum order size

The maximum size of a limit order is 100 lots and the maximum size of a market order is 2 lots.

 

6.     Position limit

Speculative position limit of any cotton option contract month counted on a single side for Non-futures-firm members and clients is 6,000 lots. The sum of speculative, arbitrage and hedging positions shall not exceed 3 times the speculative position of cotton option contract.

Position limit for market makers is 20,000 lots.

 

7.     Inquiry limit

Inquiry time interval for the same option contract shall not be less than 60 seconds.

If the spread between cotton option contract’s best bid and ask prices is less than or equal to the spreads listed in the following table, no inquiry is permitted.

Bid Price Declaration (yuan/ton)

Spreads (yuan/ton)

less than 150

12

150 and above, less than 300

24

300 and above, less than 600

48

600 and above, less than 1,000

80

1,000 and above, less than 1,500

120

1,500 and above

160

 

It is hereby noticed.

 

Zhengzhou Commodity Exchange

Jan 21, 2019

 

For more details please refer to the link:

http://www.czce.com.cn/cn/rootfiles/2019/01/21/1545635253482663-1545635253506773.pdf