The hedging of stock index futures is generally that traders sell the same amount of stock index futures on the futures exchange (generally using IF, CSI 300 stock index futures) as hedging.

China Ping An closed at 78. 1 on March 26th.

If the stock index futures close at 50 16.4 on March 26th. Each point represents 300 yuan, and the futures leverage is generally 10 times.

Now there is 20 million yuan, which needs hedging to buy China Ping An and sell IF stock index futures. At this time, you can use the formula:

Initial market value of stock ≈ initial value of futures contract (note that the equation is "about equal to", where the initial value of futures contract = margin occupied by futures contract * leverage multiple * quantity).

Assume that the number of shares of China Ping An is A, and note that A is an integer multiple of 100 shares; The number of futures contracts is B, and note that B is an integer multiple of 1, so the margin occupied by each hand of IF is = 5016.4 * 300/10 =150492 yuan. At this time, the sum of the total market value of stocks and the total margin occupied by futures needs to be less than 20 million.

Therefore:

78.6 1 * A≈ 150492 * 10 * B？

And then what?

78.6 1 * A+ 150492 * B≤20000000

Calculated: A≈23 1200, B≈ 12.

So you only need to buy 23 1.200 shares of China Ping An and sell 12 shares of IF stock index futures on March 26th.

At this time, the total market value of China Ping An stock is 18 174632 yuan, and the occupation margin of IF stock index futures is 1805904 yuan.