Underlying

Harvest CSI 300 Exchange Traded Fund (CSI 300 ETF, 159919)

Contract Types

Call options and put options

Exercise Style

European style

Contract Multiplier

10,000

Expiration Months

4 contract expiration months (spot month, next calendar month, and next two calendar quarter months)

Contract Delivery

Physical delivery (unless otherwise specified)

Strike Prices

At least 9 prices (1 at-the-money, 4 out-of-the-money, 4 in-the-money)

Strike Price Intervals

Expiration Date

The fourth Wednesday of the contract expiration month (if the expiration date is a holiday, it will be put off to the next business day)

Trading Hours

Morning: 9:15–9:25 (for opening auction), 9:30-11:30

Afternoon: 13:00–15:00 (14:57-15:00 for closing auction)

Exercise Date

Same as the expiration date.

Exercise orders should be submitted between 9:15-11:30, 13:00-15:30 on the exercise date and will not be accepted otherwise.

Delivery Date

The day after the exercise date

Tick Size

RMB 0.0001

Order Size

1 contract

Order Types

Ordinary limit order, Fill-or-Kill limit order, Opposite-side Best Price market order, Same-side Best Price market order, Five Best market orders Immediate or Cancel, Immediate or Cancel market order, Fill-or-Kill market order and other types of orders as specified by the SZSE

Trading Types

Buy to open, buy to close, sell to open, sell to close, open covered call, close covered call and other types as specified by the SZSE

Price Limit

Call

Price up limit = max {previous closing price of underlying×0.5%, min [ (2×previous closing price of underlying ­– strike price), previous  closing price of underlying]×10%}

Price down limit = previous closing price of underlying×10%

Put

Price up limit = max{strike price×0.5%, min [(2×strike price­ –previous closing price of underlying), previous closing price of underlying]×10%}

Price down limit = previous closing price of underlying×10%

Circuit Breaker

During continuous auction, if the intraday trading price of a contract moves by 50% or more above or below the latest reference price and the absolute value of such movement reaches or exceeds 10 times the tick size, the contract will enter a 3-minute call auction session

Minimum Initial Margin

Short Call

Initial margin = {previous settlement price + max [12%×previous closing price of underlying – max (strike price – previous closing price of underlying, 0), 7%×previous closing price of underlying]}×contract size

Short Put

Initial margin = min {previous settlement price +max [12%×previous closing price of underlying – max (previous closing price of underlying–strike price, 0), 7%×strike price], strike price}×contract size

Minimum Maintenance Margin

Short Call

Maintenance margin ={settlement price +max [12%×closing price of underlying – max(strike price–closing price of underlying, 0), 7%×closing price of underlying]}×contract size

Short Put

Maintenance margin=min {settlement price +max [12%×closing price of underlying – max (closing price of underlying–strike price, 0), 7%×strike price], strike price}×contract size

Maximum Contracts Per Order

50 contracts maximum for each limit order. 10 contracts maximum for each market order