On November 8, market maker A purchased one million shares of 

crude oil ETF from a fund manager B (the minimum purchasing 

volume is 500,000 shares). These shares would be eective on 

November 9, and be settled according to the actual buying price 

of from the exchange by fund manager B. On November 8, the 

settlement price of SC 2012 was 462.1 yuan/barrel, and thus the 

price of one share was 0.9242 yuan.

To avoid price uctuations, market maker A shorted two lots of 

crude oil futures at 461.6 yuan/barrel on November 8. On

November 9, the futures price went up by 1% to 466.7 yuan/barrel 

(assume that the secondary market moves simultaneously with 

the futures market). Market maker A sold all the EFT shares and 

closed out the positions on crude oil futures. Suppose that fund 

manager B purchased the shares from the exchange at 465 yuan/

barrel, the overall prot/loss of market maker A was calculated in 

the table below (without considering any transaction fees).

With TAS, market maker A could require that fund manager B 

should trade the SC2012 contract by using TAS orders on

November 9, and market maker A would short the same amount 

of contracts using TAS orders at a price of 0 yuan/barrel too. 

Suppose that the settlement price on that day was 465.9 yuan/

barrel, the overall prot/loss of market maker A is calculated in the 

table below (without considering any transaction fees)

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