Settlement price is a proper noun for derivatives, which generally exists in options and ** investment products. Due to the unique margin trading, monthly expiration and price limit system of derivatives, etc., special arrangements need to be made in the rules.
For SSE 50 ETF options, the SSE publishes the settlement price of the option contract to the market after each trading day** as the benchmark for calculating the daily end-of-day maintenance margin, the next trading day's opening margin, and the price limit** of the option contract.
Release**: Option Sauce
The settlement price of the SSE 50 ETF is mainly used to calculate the margin and the price limit, so why not use the ** price directly?
In principle, the settlement of an option contract is the execution of the call auction on the day of the contract.
However, if there is no transaction in the call auction on the same day, or the transaction is obviously unreasonable (such as inverted), then the SSE will consider the multiple influencing factors of the option transaction and calculate the settlement of the contract separately.
That is, the implied volatility of an option contract with the same underlying issue, the same expiration date, and other strike prices of the same type is calculated based on the implied volatility of the contract, and the settlement price of the contract is calculated accordingly.
In summary, the settlement price must be available and must be fair.
In addition, SSE 50 ETF options will also specify a settlement price under special circumstances:
Expiration date. If the last trading day of an option contract is a real-value contract, its settlement price is equal to the intrinsic value, and if the last trading day is an imaginary-value or at-the-money contract, its settlement price is 0.
The first day of listing. On the first day of listing of an option contract, the opening reference price published by the Shanghai Stock Exchange is used as the pre-contract settlement price. If the subject of the contract has ex-rights and ex-dividends, the pre-contract settlement** also needs to be adjusted accordingly.
It turns out that the settlement price still has so much attention, so what is the difference between it and the opening price, the latest price and the ** price?
The main difference is that the time point of formation of each ** is different.
Opening Price: Generated after the last three minutes of the opening call auction of an option contract**, if the call auction does not produce an opening price, the first transaction price of the continuous auction will be the opening price.
Last Price: The most recent or last transaction of the day**.
*Price: The last transaction of the contract on the day**, if there is no transaction on the day, the **price of the previous trading day is the **price of the day**.
If there is no transaction on the first day of listing, the opening reference price announced by the Shanghai Stock Exchange shall be used as the ** price of the day.
There are so many options, and they are so similar, so how do I use them?
Although there are a lot, it is very simple to use, for example, if you look at the transaction, you only need to pay attention to the opening price, the latest price, the highest and lowest price of the day.
The settlement price is mainly used for end-of-day asset liquidation and opening margin trial calculation, which the trading system has already calculated for you, so don't worry.