郑商所期权交易规则的创新设计与实现

发布时间：2018-10-21 09:35

【摘要】：作为现代金融市场中的一种重要的金融工具，期权近年来在全球范围内得到了快速的发展。目前，全球发达期货市场已上市的期货品种大部分都有配套的期权交易，期货、期权二者相辅相成已成为国际衍生品市场的共识。但是，我国期货市场尚未推出期权交易。近年来，我国期货市场取得了快速发展，品种结构日趋完善，投资者更加成熟，为开展商品期权交易提供了良好的基础。推出商品期权，，可以不断完善我国期货市场市场结构，更好地发挥期货市场优化资源配置的作用，从而更好地服务于中国实体经济的发展。郑商所于1995年开始了对期权的研究工作，并成立期权推进组进行商品期权研究，为期权上市进行准备。期间，基于国际惯例，并结合中国期货市场实际，在有效控制期权市场风险的条件下，郑商所简化期权规则，通过合理制度安排提高市场流动性。整体而言，期权规则已趋于完备和成熟，具备实用性和可操作性。同时，交易所端系统趋于健全，期权市场培育和投资者教育也正在有序开展。此外，郑商所正研究在期权交易中引入做市商制度，以提高期权市场流动性。在上市期货品种中，遵循市场规模大、流动性好和波动性合理的原则，郑商所选择期货市场功能发挥较好的白糖期货作为上市商品期权的试点品种。于2013年9月至11月，郑商所面向全市场举办白糖期权仿真交易竞赛。仿真交易期间，白糖仿真交易交投活跃，价格运行平稳。交易所端各个模块之间衔接顺畅，会员端系统可以与交易所端系统实现顺利稳定的连通，期权交易、结算及行情系统，能够体现期权交易的特点。通过此次白糖期权仿真交易的开展，郑商所期权规则的适用性和期权系统得到了进一步检验，交易者对期权产品基础知识和风险有了较为全面的认知，达到了此次仿真交易开展的目的。整体而言，郑商所推出期权上市交易的各方面准备工作扎实，推出商品期权交易的条件已经成熟，可以适时选择白糖期权作为试点进行上市交易。在未来一段时间内，郑商所将继续投入资源和人力，早日实现期权规则定稿，推动交易所端系统和会员端系统顺利上线，为商品期权上市做好准备工作。
[Abstract]:As an important financial tool in modern financial market, option has been developed rapidly in the world in recent years. At present, most of the futures that have been listed in the developed futures market in the world have a complete set of options, and the futures and options complement each other, which has become the consensus of the international derivatives market. However, China's futures market has not yet launched option trading. In recent years, China's futures market has made rapid development, the variety structure is becoming more and more perfect, investors are more mature, which provides a good basis for commodity option trading. The introduction of commodity options can constantly improve the structure of China's futures market, better play the role of optimizing the allocation of resources in the futures market, and thus better serve the development of China's real economy. Zheng Shangyang Institute began its research on options in 1995, and set up the options Promotion Group to carry out commodity option research to prepare for the option listing. Under the condition of effectively controlling the risk of option market, Zheng Shang simplified the option rules and improved the market liquidity through reasonable system arrangement, based on the international practice and the reality of Chinese futures market. As a whole, option rules have become more and more mature, practical and operable. At the same time, the end of the exchange system tends to be sound, option market cultivation and investor education are also being carried out in an orderly manner. In addition, Zheng Merchants Institute is studying the introduction of market makers in options trading to improve the liquidity of options markets. According to the principle of large market size, good liquidity and reasonable volatility, Zheng Shang selected the white sugar futures which have better function in the futures market as the pilot varieties of listed commodity options. From September to November 2013, Zheng Shangyang held a White Sugar option Simulation Competition for the whole market. During the simulation trade, sugar simulation trading is active and the price is running smoothly. The connection between the various modules of the exchange end is smooth, the member terminal system can realize the smooth and stable connection with the exchange end system, the option trading, settlement and quotation system, can reflect the characteristics of option trading. Through the development of the white sugar option simulation transaction, the applicability of the options rules and the options system of Zheng Shang Institute have been further tested, and traders have a more comprehensive understanding of the basic knowledge and risks of options products. To achieve the purpose of the simulation transaction. As a whole, the preparation of all aspects of the listed options listed by Zheng Shang is solid, and the conditions for the trading of commodity options are ripe, so we can select the white sugar option as a pilot to trade on the market at the right time. In the future, Zheng will continue to invest resources and manpower to finalize the option rules at an early date, promote the smooth launch of exchange-end and member-side systems, and prepare for the listing of commodity options.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.39

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