. CSI 1000 stock index futures /options enter the consultation period
On June 22, 2022, the China Securities Futures Exchange announced the "CSI 1000 Stock Index Futures Contract" (Draft for Comments) and the "CSI 1000 Stock Index Option Contract" ( Draft for Comments), "China Financial Futures Exchange CSI 1000 Stock Index Futures Contract Trading Detailed Rules" (Draft for Comments) and "China Financial Futures Exchange Stock Index Options Contract Trading Detailed Rules" (Revised Draft for Comments), the market is about to usher in the mid-term CSI 1000 stock index futures and CSI 1000 stock index options.
CSI 1000 Index selects 1,000 stocks with small scale and good liquidity other than the CSI 800 Index sample as samples, complementing indices such as CSI 300 and CSI 500. The sample space of the CSI 1000 Index is the same as that of the CSI All-Share Index. First, the CSI 800 Index samples and the top 300 securities in the past year's daily average total market capitalization in the sample space are eliminated, and then the securities in the sample space are divided according to the past. Rank the average daily trading amount of one year from high to low, eliminate the bottom 20% of the securities, and finally rank the remaining securities in the sample space according to the average daily total market value of the past year from high to low, and the securities ranked before 1,000 are as Index template.
index calculation formula:
reporting period index = (adjusted market value of the reporting period model/divisor) * 1000
Among them, adjusted market value = ∑ (security price * adjusted number of shares). The
index sample is adjusted every six months, and the sample adjustment is implemented on the next trading day of the second Friday in June and December each year. The proportion of samples adjusted each time generally does not exceed 10%. A buffer zone is set for regular adjustments. Old samples ranking in the top 90% of the sample space by average daily transaction amount can participate in the next step of daily average total market capitalization ranking, and the average daily total market capitalization ranks in the 800th place. New samples from the past will be given priority to enter, and old samples ranked before 1,200 will be retained first.
2. Basic information on the CSI 1000 Index
The CSI 1000 Index is a selection of 1,000 stocks with relatively small scale and relatively good liquidity after excluding the CSI 800 Index (that is, all stocks covered by the CSI 300 and CSI 500 Index ) Stocks, together with the CSI 800 Index, basically cover nearly half.
The CSI 1000 Index comprehensively reflects the stock price performance of a group of small-cap companies in China's A-share market. From the perspective of industry weights, the top seven industries are: chemical industry, pharmaceutical industry, electronics industry, nonferrous metals industry, machinery and equipment industry, electrical equipment industry and computer industry. It can be seen that the subdivided industries with large weights in the CSI 1000 Index are mostly emerging industries with increased policy support and belong to the high-growth and high-growth track. Among them, 187 are only specialized new companies.
The CSI 1000 Index mainly focuses on the operation of small-market stocks. Based on statistics on June 30, 2022, the average market value of the CSI 1000 Index component stocks is 11.718 billion yuan (much lower than the 143.641 billion yuan of the Shanghai and Shenzhen 300, CSI 500 Index’s 24.033 billion yuan); the median of component stock market value is 9.154 billion yuan (much lower than the CSI 300’s 85.913 billion yuan and the CSI 500 Index’s 20.386 billion yuan). Statistics show that the market capitalization of the CSI 1000 Index constituent stocks is mainly below 50 billion (the number of constituent stocks accounts for 99.5%), of which the number of constituent stocks between 5 and 20 billion accounts for 76.7%.
Judging from past index returns, the fluctuations of the CSI 1000 Index are more dramatic than those of the CSI 300 Index and the CSI 500 Index. Since A-share has an obvious style rotation effect, the returns of large and small caps often rotate, so the market has a large differentiation in the returns of large and small caps. The launch of the CSI 1000 Index has made up for the strategy of small cap stocks. insufficient.
3. Overview of CSI 1000 stock index futures strategy
index growth strategy, because CSI includes a basket of policies to support emerging industries, both flexibility and prosperity are better than large-cap stocks, and the CSI 1000 index is more volatile , then the index enhancement strategy that anchors the CSI 1000 Index and uses the CSI 1000 income as the beta income is more attractive.
Neutral strategy. Small and medium-cap stocks are characterized by violent fluctuations and greater elasticity, so the demand for using stock index futures as a hedging tool is even stronger.
ETF arbitrage strategy, and the arbitrage strategy of using the price difference between the ETF spot and futures markets to buy low and sell high (purchasing ETFs is more convenient than purchasing a basket of stocks directly). The high volatility of the CSI 1000 Index may increase the profitability of this strategy .
4. CSI 1000 stock index futures launches a rich variety of instruments
The launch of CSI 1000 stock index futures and options has made up for the shortcomings of insufficient coverage of A shares by stock index futures. After the launch of CSI 1000 stock index futures, stock index futures have The stock coverage reaches 1,800 stocks, nearly half of them, and because the CSI 1000 Index covers more policies to support emerging industries, it has more operability for index growth strategies and timing hedging, and is more attractive to the market.
In terms of specific practice, the launch of CSI 1000 stock index futures can: (1) expand the product scale of Snowball products and enrich Snowball product strategies . Moreover, the volatility of the CSI 1000 index is higher than that of the CSI 500, and the snowball index linked to the index Global products can obtain higher coupons; (2) Due to the large demand for securities lending of CSI 1000ETF, the launch of CSI 1000 stock index futures effectively alleviates the demand for securities lending of CSI 1000ETF; (3) When market styles rotate, Increased the selectivity of arbitrage operations between varieties.
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