China's Listed Options
Products and Rules Across SSE, SZSE, and CFFEX
1. The landscape: three exchanges, two worlds
Mainland China’s exchange-traded options split by settlement type:
- ETF options (physical settlement): Shanghai (SSE) and Shenzhen (SZSE). The underlyings are ETFs; exercise delivers fund shares. The two exchanges share essentially the same rulebook, so one mental model covers both.
- Index options (cash settlement): CFFEX. The underlyings are stock indices; expiry settles in cash against the delivery settlement price, and neither side touches the underlying.
| Exchange | Class | Main products (underlying) | Settlement |
|---|---|---|---|
| SSE | ETF options | SSE 50 ETF, CSI 300 ETF, CSI 500 ETF, STAR 50 ETF | Physical |
| SZSE | ETF options | CSI 300 ETF, CSI 500 ETF, ChiNext ETF, SZSE 100 ETF | Physical |
| CFFEX | Index options | CSI 300 (IO), CSI 1000 (MO), SSE 50 (HO) | Cash |
The product list keeps expanding — always cross-check the exchanges’ official product directories; parameters below (strike intervals, margin ratios, position limits) also shift with rule revisions.
2. Contract specifications side by side
| Item | SSE ETF options | SZSE ETF options | CFFEX index options |
|---|---|---|---|
| Style | European calls/puts | European calls/puts | European calls/puts |
| Contract size | 10,000 ETF shares | 10,000 ETF shares | RMB 100 per index point |
| Listed months | Spot, next month + next two quarterly months | Same as SSE | Spot, next two months + next three quarterly months |
| Expiry | 4th Wednesday of the expiry month | Same as SSE | 3rd Friday of the expiry month |
| Strike intervals | Tiered by underlying price | Same as SSE | Tiered by index level |
| Tick size | RMB 0.0001 | RMB 0.0001 | 0.2 index points |
| Price limits | Formula-based, roughly ±10% near ATM | Same as SSE | ±10% of prior settlement |
| Hours | 9:15–9:25 auction; 9:30–11:30, 13:00–15:00 | Same as SSE | 9:30–11:30, 13:00–15:00 |
| Exercise & settlement | Exercise on expiry, ETF shares delivered next day | Same as SSE | Cash-settled same day on expiry |
Two high-frequency distinctions are all you need to memorize: ETF options expire on the 4th Wednesday and settle physically; index options expire on the 3rd Friday and settle in cash. The rest of the terms are near mirror images between the two stock exchanges.
3. SSE: ETF options
| Code | Underlying | Listed |
|---|---|---|
| 510050 | SSE 50 ETF | 2015-02-09 (mainland China’s first listed option) |
| 510300 | CSI 300 ETF | 2019-12-23 |
| 510500 | CSI 500 ETF | 2022-09-19 |
| 588000 | STAR 50 ETF | 2023-06-05 |
Rule highlights:
- Tiered trading permissions: Level 1 (covered calls, protective puts), Level 2 (adds long calls/puts), Level 3 (adds margin selling). Individual investors face asset, experience, and knowledge-test thresholds.
- Covered calls: sell calls against locked fund shares with no margin required — the most conservative short-volatility form.
- Combined-strategy margin: spreads, calendars, and other combos can be margined as portfolios, releasing capital.
- Contract adjustments: on dividend ex-dates, existing contracts are formula-adjusted into non-standard contracts (strike and contract size rescaled together) while fresh standard contracts take over liquidity — during dividend season, know which type you hold.
4. SZSE: ETF options
| Code | Underlying | Listed |
|---|---|---|
| 159919 | CSI 300 ETF | 2019-12-23 |
| 159922 | CSI 500 ETF | 2022-09-19 |
| 159915 | ChiNext ETF | 2022-09-19 |
| 159901 | SZSE 100 ETF | 2022-12-12 |
SZSE shares the stock-option rulebook framework with SSE; differences live in microstructure details (closing-auction arrangements among them). The one thing a trader genuinely must track: the same index can underlie one ETF on each exchange (e.g. CSI 300), both with options — liquidity and the active months differ, so compare across both, never one side only.
5. CFFEX: index options
| Code | Underlying | Listed |
|---|---|---|
| IO | CSI 300 index | 2019-12-23 |
| MO | CSI 1000 index | 2022-07-22 |
| HO | SSE 50 index | 2022-12-19 |
Key differences from ETF options:
- Cash settlement: on expiry, positions settle in cash at the difference between the delivery settlement price and the strike. The whole physical world of share delivery, covered calls, and contract adjustments disappears.
- Delivery settlement price: an average of the underlying index over a window on delivery day (exact convention per CFFEX rules), smoothing end-of-day manipulation room.
- Short margin: structured as “premium + max(a fraction of notional minus OTM decay, a lower fraction of notional)”, marked to market daily; current ratios per the latest rules.
- A shared calendar: IO/MO/HO share expiry dates (3rd Friday) and the risk-control framework with index futures IF/IM/IH — option-futures hedges line up naturally at expiry.
6. The shared institutional skeleton
- Investor suitability: asset thresholds + knowledge tests + trading/simulation experience, with tiered permissions (ETF options run three levels).
- Short margin & daily mark-to-market: daily settlement with no outstanding debt; short-side exposure revalued every day.
- Exercise assignment: buyers request exercise; sellers are passively assigned per exchange rules (ETF options allocate proportionally).
- Position limits & large-trader reporting: separate speculative/hedge limits, tightened near expiry.
- Order types: limit orders as the staple; market and combination orders per each exchange’s rules.
7. Program trading: register first, trade later
The regulatory framework for program trading tightened markedly after 2024; today’s skeleton is “CSRC regulations + exchange implementation rules”:
- Definition: trading via computer programs that automatically generate or submit orders. Clicking by hand is out; algos that slice orders, quant strategies that auto-execute, and high-frequency market making are all in.
- Registration (report first, trade after): program traders must file through their broker/futures firm with the exchange — accounts, capital size and sources, leverage, strategy types, technical systems — and keep filings current.
- Access rules: connect only through broker channels; no unauthorized direct connections, no bypassing risk controls; colocation and market-data usage are regulated.
- High-frequency carve-outs: accounts meeting the thresholds (order/cancel rates in the hundreds per second, or tens of thousands per day — exact values per the rules) face stricter filing — server locations, system test reports, emergency contacts — and possibly differential fees (higher traffic and cancellation fees).
- Options are not the wild west: ETF options have required program-trading registration since 2015; index options likewise file through futures firms to CFFEX.
8. What counts as a violation: two lines
Line 1: procedural compliance (status)
- Running programs unregistered, filing false information, or not updating changes;
- Unauthorized system access, or account-splitting to evade supervision.
Line 2: behavioral surveillance (conduct) — exchanges monitor in real time; typical findings:
| Abnormal behavior | Signature |
|---|---|
| Abnormal order-burst rates | Dense order submission in short windows, stressing system safety |
| Frequent instantaneous cancellations | Order-then-cancel with extreme cancel ratios, insincere size |
| Repeated ramping & slamming | Pushing price with small clips, then trading the other way |
| Large short-window volume moving price | Concentrated trading causing abnormal price moves |
| Self-trades | Own accounts as each other’s counterparty, faking activity |
The manipulation boundary: if the above are found to intend and to actually move prices, they escalate to market manipulation — spoofing, scalping abuses, trading on undisclosed information — under the Securities Law and the Criminal Law.
Consequences ladder: written warnings, trading restrictions, account suspension (self-regulatory) → public censure, disciplinary action → confiscation of gains + fines (administrative) → market manipulation (criminal).
A quant desk’s compliance self-check: filings match live strategies; in-house monitors on your own order rates, cancel ratios, and self-trade rates with safety margins; full-chain audit trails (order flow, timestamps, strategy versions); a kill switch and contingency plan.
9. How to use this map
- Pick a product by liquidity first (active months, ATM spreads), then by familiarity with the underlying; where ETF and index options share an underlying (300/50), spreads and margin conventions compare directly.
- Cash settlement is simpler (no shares, no contract adjustments); physical settlement is more flexible (covered positions roll into delivery naturally).
- Before writing a single strategy line or Greek, keep this terms sheet at hand — get the expiry, multiplier, or interval wrong and everything downstream is wrong.
Next note, back on the main line: assembling single curves into a full surface, and pricing/hedging options at arbitrary strikes and dates.