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CBOT期权交易规则
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31章
Ch 31交易规则………………………………………………3102
3101.00 权限………………………………………………3102
3101.01 规则的实施………………………………………3102
3102.01 小麦看跌期权的定义……………………………3102
3102.02 小麦看涨期权的定义……………………………3102
3103.01 交易单位…………………………………………3102
3104.01 敲定价格…………………………………………3102
3105.01 期权权利金的支付………………………………3103
3106.01 期权权利金的定价………………………………3103
3107.01 期权的履约………………………………………3103
3107.02 自动履约…………………………………………3103
3108.01 期权到期…………………………………………3103
3109.01 交易月份…………………………………………3103
3110.01 交易时间…………………………………………3104
3111.01 关寸限制…………………………………………3104
3112.01 保证金需求………………………………………3104
3113.01 最后交易日………………………………………3104
3114.01 期权权利金波动限制…………………………3104.3102
31章
ch 交易规则
3101.0 权限——（见规则2801.00）
3101.0 规则的实施——进行小麦期货合约看跌与看涨期权的交易必须遵守协会的总则，必须遵守本章专门为进行小麦期货合约看跌与看涨期权交易而制定的规则（见规则490.00）.
3102.01 小麦期货看跌期权——小麦期货看跌期权的买方可以在到期日之前的任何时候履行期权合约（依照规则3107.01），以期权购买时确定的敲定价格承担某一具体合约月份小麦期货合约的空头部位。一旦看跌期权的买方履约，小麦期货看跌期权的卖方有义务以卖出期权时确定的敲定价格承担某一具体合约月份小麦期货合约的多头部位。
3102.02 小麦期货看涨期权——小麦期货看涨期权的买方可以在到期日之前的任何时候履行期权合约（依照规则3107.01），以期权购买时确定的敲定价格承担某一合约月份小麦期货合约的多头部位。一旦看涨期权的买方履约，小麦期货看涨期权的卖方有义务以卖出期权时确定的敲定价格承担某一具体合约月份小麦期货合约的空头部位。
3103.01 交易单位——一手芝加哥期货交易所某一具体合约月份小麦期货合约5000蒲式耳。
3104.01 敲定价格——看跌和看涨期权将以小麦期货合约每蒲式耳5美分的整倍数（也就是3.70，3.75，3.80等等），以小麦期货合约每蒲式耳10美分的整倍数（也就是3.70，3.80，3.90等等），以小麦期货合约每蒲式耳20美分的整倍数（也就是4.00，4.20，4.40等等）的敲定价格进行交易如下：
1.a. 在期权合约交易开始时，将以10美分的整倍数列出以下 敲定价格：最接近相关小麦期货合约前一天结算价的敲定价格，以及高于此敲定价格的5个连续的敲定价格和低于此敲定价格的5个连续的敲定价格。如果前一天的结算价位于两个敲定价格之间，最接近的价格应是两者中较大的一个。（最初的一组）
b. 在期权合约开始交易时，将以20美分的整数列出以下敲定价格：高于最初的一组列出的敲定价格的4个连续的敲定价格。
c. 随着时间的推移，将以10美分的整倍数增加敲定价格，因为有必要确保列出相关期货合约前一天交易幅度的55美分以内的所有敲定价格。（最小的一组）
d. 随着时间的推移，将以20美分的整数增加敲定价格，因为有必要确保列出高于最小的一组的4个连续的敲定价格。
e. 期权到期合约月份将不通过以上这些步骤增加新的敲定价格。
2.a 开始进行不是小麦期货合约月份，而是期权合约月份的交易时，对于标准的期权月份，在第二个延期月份的营业日，将以5美分的整倍数列出以下敲定价格：最接近相关小麦期货合约前一天结算价的敲定价格，以及高于此敲定价格的5个连续的敲定价格和低于此敲定价格的5个连续的敲定价格。例如，将在6月26日给2000年9月合约加上5美分间隔敲定价格，6月26日是七月合约到期后的那个营业日。
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合约月份
b. 随着时间的推移，将增加新的5美分间隔的敲定价格以确保至少存在5个敲定价格高于或低于相关期货前一天交易幅度。
3.a 以20美分的整倍数列出连续两个营业日看跌或看涨期权的前一天的Delta系数（由交易所决定）是0.10或更大的所有敲定价格。然而，不可以通过这个步骤给期权月份增加新的敲定价格，除非那个合约月份有空盘量。
b. 在期权到期月份，以10美分的整倍数列出连续两个营业日看跌或看涨期权的前一天的Delta系数（由交易所决定）是0.10或更大的所有敲定价格。
4．在第二个营业日交易开始前，列出所有的敲定价格。根据市场状况，在交易所认为需要的时候，可以修改所采用的敲定价格的步骤。
3105.01 期权权利金的支付——在购买期权时，或在期权购买之后的一个合理时间内，每一结算会员必须全额支付期权权利金，每一期权客户必须支付全额权利金给佣金商。
3106.01 期权权利金的定价——小麦期货期权权利金应是一手5000蒲式耳小麦期货合约每蒲式耳1/8美分的倍数，一手合计＄6.25。然而，当交易双方将结束交易时，每手期权合约的期权权利金可以以＄1.00的变动价位增加，从＄1.00至＄6.00。
3107.01 小麦期货期权的买方可以在到期日之前的任何一个营业日下午6∶00点以前通知结算公司履约，或理事会指定的最后交易日的其他时间，尽管如此，但下面几种情况买方可以在到期日上午10∶00点以前履约：
Ⅰ）真诚地改错；
Ⅱ）由于与交易所期权交易不一致而采取合适的行为；
Ⅲ）客户未能将履约指令通知到会员公司或会员公司在最后交易日下午6∶00点以前没有收到此类指令等特殊情况。
3107.02 自动履约——虽然规则3107.01条款规定，在最后交易日结束后，所有的实值期权自动履约，除非通知结算公司取消自动履约。
在最后交易日下午6∶00点以前通知结算公司取消自动履约，或理事会指定的最后交易日的其他时间，但可以在下面几种情况在到期日上午10∶00点以前通知结算公司：
Ⅰ）真诚地改错；
Ⅱ）由于与交易所期权交易不一致而采取合适的行为；
Ⅲ）客户未能将履约指令通知到会员公司或会员公司在最后交易日下午6∶00点以前没有收到此类指令等特殊情况。
3108.01 到期期权——未履约的小麦期货期权将于最后交易日后的第一个星期六上午10∶00点到期。
3109.01 交易月份——进行接近小麦期货合约月份的小麦期货期权交易。
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交易所可以决定上市合约月份。对于小麦期货不交易而期权交易的期权交易月份，相关的期货合约是最接近期权到期日的期货合约月份。例如，二月期权合约的相关期货合约是三月期货合约。
3110.01 交易时间——由交易所决定小麦期货合约的交易时间。在到期期权的最后交易日，期权的收市时间与相关小麦期货合约通常的白天公开喊价交易节结束时间一致，与规则1007.00第二段的条款一致。在到期期权的最后交易日，到期小麦期货期权将以交易所管理委员会控制的敲定价格结束交易。在所有其他的交易日，将同时开、闭市所有小麦期货期权合约月份和敲定价格的交易。
3111.01 头寸限制——（见规则425.01）
3112.01 保证金需求——（见规则431.05）
3113.01 最后交易日——本月到期的小麦期货期权在至少两个营业日之前的最后一个星期五相关小麦期货合约通常的白天公开喊价交易节交易结束后不能再进行交易，也就是期权合约月份之前月份的最后一个营业日，最后交易日也就是这个星期五之前的那个营业日。
3114.01 期权权利金波动限制——除了结算公司规定的在最后交易日超过小麦期货合约价幅，权利金高于和低于前一天期权结算权利金的小麦期货期权交易，禁止任何超过权利金波动限制的交易。在第一个交易日，权利金限制从开盘开始的最低权利金开始。
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Chapter 31
Wheat Futures Options
Ch31 Trading Conditions .......................................................................................................... 3102
3101.00 Authority.......................................................................................................... 3102
3101.01 Application of Regulations.............................................................................. 3102
3102.01 Nature of Wheat Futures Put Options ........................................................... 3102
3102.02 Nature of Wheat Futures Call Options .......................................................... 3102
3103.01 Trading Unit.................................................................................................... 3102
3104.01 Striking Prices ................................................................................................ 3102
3105.01 Payment of Option Premium.......................................................................... 3103
3106.01 Option Premium Basis ................................................................................... 3103
3107.01 Exercise of Option.......................................................................................... 3103
3107.02 Automatic Exercise ........................................................................................ 3103
3108.01 Expiration of Option........................................................................................ 3103
3109.01 Months Traded ............................................................................................... 3103
3110.01 Trading Hours................................................................................................. 3104
3111.01 Position Limits ................................................................................................ 3104
3112.01 Margin Requirements..................................................................................... 3104
3113.01 Last Day of Trading........................................................................................ 3104
3114.01 Option Premium Fluctuation Limits................................................................ 3104.3102
Chapter 31
Wheat Futures Options
Ch31 Trading Conditions
3101.00 Authority - (See Rule 2801.00). (10/01/94)
3101.01 Application of Regulations - Transactions in put and call options on Wheat futures contracts shall be subject to the general rules of the Association as far as applicable and shall also be subject to the regulations contained in this chapter which are exclusively applicable to trading in put and call options on Wheat futures contracts. (See Rule 490.00). (10/01/94)
3102.01 Nature of Wheat Futures Put Options - The buyer of one (1) Wheat futures put option may exercise his option at any time prior to expiration, (subject to Regulation 3107.01), to assume a short position in one (1) Wheat futures contract of a specified contract month at a striking price set at the time the option was purchased. The seller of one (1) Wheat futures put option incurs the obligation of assuming a long position in one (1) Wheat futures contract of a specified contract month at a striking price set at the time the option was sold, upon exercise by a put option buyer. (10/01/94)
3102.02 Nature of Wheat Futures Call Options - The buyer of one (1) Wheat futures call option may exercise his option at any time prior to expiration, (subject to Regulation 3107.01), to assume a long position in one (1) Wheat futures contract of a specified contract month at a striking price set at the time the option was purchased. The seller of one (1) Wheat futures call option incurs the obligation of assuming a short position in one (1) Wheat futures contract of a specified contract month at a striking price set at the time the option was sold, upon exercise by a call option buyer. (10/01/94)
3103.01 Trading Unit - One (1) 5,000 bushel Wheat futures contract of a specified contract month on the Chicago Board of Trade. (10/01/94)
3104.01 Striking Prices - Trading shall be conducted for put and call options with striking prices (the "strikes") in integral multiples of five (5) cents per bushel per Wheat futures contract (i.e. 3.70, 3.75, 3.80, etc.), in integral multiples of ten (10) cents per bushel per Wheat futures contract (i.e., 3.70, 3.80, 3.90, etc.) and in integral multiples of twenty (20) cents per bushel per Wheat futures contract (i.e., 4.00, 4.20, 4.40, etc.) as follows:
1. a. In integral multiples of ten cents, at the commencement of trading for an option contract, the following strikes shall be listed: one with a strike closest to the previous day's settlement price of the underlying Wheat futures contract, the next five consecutive higher and the next five consecutive lower strikes (the "initial band"). If the previous day's settlement price is midway between two strikes, the closest price shall be the larger of the two.
b. In integral multiples of twenty cents, at the commencement of trading for an option contract, the following strikes shall be listed: the next four consecutive strikes above the initial band.
c. In integral multiples of ten cents, over time, strikes shall be added as necessary to ensure that all strikes within 55 cents of the previous day's trading range of the underlying futures contract are listed (the "minimum band").
d. In integral multiples of twenty cents, over time, strikes shall be added as necessary to ensure that the next four consecutive strikes above the minimum band are listed.
e. No new strikes may be added by these procedures in the month in which an option expires.
2. a. In integral multiples of five cents, at the commencement of trading for options that are traded in months in which Wheat futures are not traded, and for standard option months, the business day they become the second deferred month, the following strike prices shall be listed: one with a strike closest to the previous day's settlement price of the underlying
Wheat futures contract and the next five consecutive higher and the next five consecutive lower strikes. For example, five-cent strike price intervals for the September 2000 contract month would be added on June 26, which is the business day after the expiration of the July.Ch31 Trading Conditions
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contract month.
b. Over time, new five-cent strike prices will be added to ensure that at least five strike prices exist above and below the previous day's trading range in the underlying futures.
3. a. In integral multiples of twenty cents, all strikes in which the previous day's delta factors (as determined by the Board of Trade) for both the put and call options are 0.10 or greater for two consecutive business days will be listed for trading. However, no new strikes may be added by this procedure to an option month unless open positions exist in that contract month.
b. In integral multiples of ten cents, during the month in which an option expires, all strikes in which the previous day's delta factors (as determined by the Board of Trade) for both the put and call options are 0.10 or greater for two consecutive business days will be listed for trading.
4. All strikes will be listed prior to the opening of trading on the following business day. The Exchange may modify the procedures for the introduction of strikes as it deems appropriate in order to respond to market conditions. (09/01/00)
3105.01 Payment of Option Premium - The option premium must be paid in full by each clearing member to the Clearing House and by each option customer to his commission merchant at the time that the option is purchased, or within a reasonable time after the option is purchased. (10/01/94)
3106.01 Option Premium Basis - The premium for Wheat futures options shall be in multiples of one-eighth (1/8) of one cent per bushel of a 5,000 bushel Wheat futures contract which shall equal $6.25 per contract.
However, when both sides of the trade are closing transactions, the option premium may range from $1.00 to $6.00 in $1.00 increments per option contract. (10/01/94)
3107.01 Exercise of Option - The buyer of a Wheat futures option may exercise the option on any business day prior to expiration by giving notice of exercise to the Clearing Corporation by 6:00 p.m., or by such other time designated by the Board of Directors, on such day. Notwithstanding the foregoing, the buyer may exercise the option prior to 10:00 a.m. on expiration date:
i) to correct errors or mistakes made in good faith;
ii) to take appropriate action as the result of unreconciled Exchange option transactions;
iii) in exceptional cases involving a customer's inability to communicate to the member firm exercise instructions or the member firm's inability to receive such instructions prior to 6:00 p.m. on the last day of trading. (12/01/99)
3107.02 Automatic Exercise - Notwithstanding the provisions of Regulation 3107.01, after the close on the last day of trading, all in-the-money options shall be automatically exercised, unless notice to cancel automatic exercise is given to the Clearing Corporation.
Notice to cancel automatic exercise shall be given to the Clearing Corporation by 6:00 p.m., or by such other time designated by the Board of Directors, on the last day of trading, except that such notice may be given to the Clearing Corporation prior to 10:00 a.m. on the expiration date:
i) to correct errors or mistakes made in good faith;
ii) to take appropriate action as the result of unreconciled Exchange option transactions;
iii) in exceptional cases involving a customer's inability to communicate to the member firm exercise instructions or the member firm's inability to receive such instructions prior to 6:00 p.m. on the last day of trading. (12/01/99)
3108.01 Expiration of Option - Unexercised Wheat futures options shall expire at 10:00 a.m. on the first Saturday following the last day of trading. (10/01/94)
3109.01 Months Traded - Trading may be conducted in the nearby Wheat futures options.Ch31 Trading Conditions
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contract month plus any succeeding months, provided however, that the Exchange may determine not to list a contract month. For options that are traded in months in which Wheat futures are not traded, the underlying futures contract is the next futures contract that is nearest to the expiration of the option.
For example, the underlying futures contract for the February option contract is the March futures contract. (09/01/00)
3110.01 Trading Hours - The hours of trading of options on Wheat futures contracts shall be determined by the Board. On the last day of trading in an expiring option, the closing time for such options shall be the same as the close of trading of the Regular Daytime open outcry trading session for the corresponding Wheat futures contract, subject to the provisions of the second paragraph of Rule 1007.00. On the last day of trading in an expiring option, the expiring Wheat futures options shall be closed with a public call made striking price by striking price, conducted by such persons as the Regulatory Compliance Committee shall direct. On all other days, Wheat futures options shall be opened and closed for all months and striking prices simultaneously or in such a manner as the Regulatory Compliance Committee shall direct. (03/01/00)
3111.01 Position Limits - (See Regulation 425.01) (10/01/00)
3112.01 Margin Requirements - (See Regulation 431.05) (10/01/94)
3113.01 Last Day of Trading - No trades in Wheat futures options expiring in the current month shall be made after the close of trading of the Regular Daytime open outcry trading session for the corresponding Wheat futures contract on the last Friday which precedes by at least two business days, the last business day of the month preceding the option month. If such Friday is not a business day, the last day of trading shall be the business day prior to such Friday. (07/01/01)
3114.01 Option Premium Fluctuation Limits - Trading is prohibited during any day except for thelast day of trading in a Wheat futures option at a premium of more than the trading limit for the Wheat futures contract above and below the previous day's settlement premium for that option as determined by the Clearing Corporation. On the first day of trading, limits shall be set from the lowest premium of the opening range. (10/01/94)
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