Index Methodology Book. HSI Volatility Index
|
|
- Godfrey Thompson
- 6 years ago
- Views:
Transcription
1 Index Methodolog Book HSI Volatilit Index Version 1. March 011
2 able of Contents 1. Overview 3. Options Selection 4 - Determining At-the-mone Strike Price - Options Selected for Inclusion 3. Index Calculation 5 - Formula to Calculate Implied Volatilities - Deriving VHSI from ear-term & ext-term Implied Volatilities - olling Convention 4. Index Maintenance & Dissemination 7 5. Appendix 8 - Calculating ime to Expiration - Interpolating isk-free ates Page 6. Disclaimer 10
3 1 Overview 1.1 he HSI Volatilit Index ( VHSI ) aims to measure the 30-calendar-da expected volatilit of the Hang Seng Index ( HSI ). he expected volatilit calculated is derived from the HSI option prices traded on Hong Kong Exchanges and Clearing Limited. 1. he methodolog of the VHSI is based on the CBOE Volatilit Index ( VIX ) in the US market. Modifications have been made to take into account trading characteristics of HSI options in the Hong Kong market. 1.3 he VHSI is derived from HSI put options and HSI call options in the two nearest-term expiration months in order to bracket a 30-calendar-da period. 1.4 In order to minimise pricing anomalies of expiring options, options are rolled from the 1 st and nd contract months to the nd and 3 rd contract months on the 5 th trading da prior to the expiration of the near-term options. 1.5 A flowchart illustrating the calculation of the VHSI is given below: ear-term ext-term Determine At-the-mone Strike Price Determine At-the-mone Strike Price Select elevant Options for Inclusion in the Calculation Calculate the ear-term Implied Volatilit Calculate ime to Expiration Interpolate isk-free ate Select elevant Options for Inclusion in the Calculation Calculate the ext-term Implied Volatilit Interpolate 30-calendar-da Implied Volatilit VHSI 3
4 Options Selection Determining At-the-mone Strike Price.1 First, for both near-term and next-term, the forward index level, F, is calculated: F K e * (C K P K ) Where F = forward index level K = the strike price at which the absolute difference between mid- prices 1 of the call and put options is the smallest = time to expiration (see Appendix - 5.1) = risk-free interest rate to expiration (see Appendix - 5.) C k = mid-price of the call option at strike K P k = mid-price of the put option at strike K. ext, the at-the-mone strike price, K 0, is determined, which is the strike immediatel below the forward index level, F. Options Selected for Inclusion.3 For each of the near-term and next-term options, both call and put options with at-the-mone strike price, K 0, are selected..4 Out-of-mone call options with strike prices higher than K 0 but lower than or equal to 10% of K 0 are selected..5 Out-of-mone put options with strike prices lower than K 0 but higher than or equal to 80% of K 0 are selected..6 Options which are not good quotes will be excluded. A good quote is a quote with a bid price and an ask price available: Where 0 < bid price ask price. 1 Mid-price is an average of bid and ask prices 4
5 3 Index Calculation Formula to Calculate Implied Volatilities 3.1 he selected near-term and next-term options are used in the following generalised formula to calculate near-term implied volatilit, σ 1, and next-term implied volatilit, σ, respectivel. i K K i i e Q(K ) i 1 F K 0 1 Where σ = implied volatilit = time to expiration (see Appendix - 5.1) F = forward index level K i = strike price of the i th out-of-the-mone option; a call if K i > K 0 and a put if K i < K 0 ; both put and call if K i = K 0 ΔK i = interval between strike prices (see 3.) K 0 = first strike below the forward index level, F = risk-free interest rate to expiration (see Appendix - 5.) Q(K i ) = mid-price of each option with strike K i and an average midprice of the put and call options if K i = K 0 3. Generall, ΔK i is half the distance between the strike on either side of K i and is calculated as: K i K i1 K i1 ΔK for the lowest strike is the difference between the lowest strike and the next higher strike. ΔK for the highest strike is the difference between the highest strike and the next lower strike. 5
6 Deriving VHSI from ear-term & ext-term Implied Volatilities 3.3 he near-term implied volatilit, σ 1, and the next-term implied volatilit, σ, are interpolated to derive a single value σ with a constant maturit of 30 calendar das to expiration. he VHSI is obtained b taking the square root of σ and multipling it b 100: Where VHSI * σ = 30-calendar-da expected volatilit σ 1 = implied volatilit derived from the near-term options σ = implied volatilit derived from the next-term options = # of das in one ear 30 = 30 das 1 = time to expiration (in ears) of the near-term options = time to expiration (in ears) of the next-term options = # of das to expiration of the near-term options = # of das to expiration of the next-term options olling Convention 3.4 In order to minimise pricing anomalies of expiring options, options are rolled from the 1 st and nd contract months to the nd and 3 rd contract months on the 5 th trading da prior to the expiration of the 1 st contract month options for calculating the VHSI. 6
7 4 Index Maintenance & Dissemination 4.1 Options data are taken b snapshot at 15-second intervals for computation. 4. Please refer to the index dissemination time ( et/static/revamp/contents/en/products/timetable_e.pdf) provided on our website for further details. 4.3 When good quotes are not sufficient due to an illiquid options market, there will be insufficient data to calculate σ 1 or σ. In such circumstances, the VHSI value will remain at the previous index value. his rule applies at all times, including opening, intrada and closing calculations (i.e. if there is insufficient data at 10:00am, the VHSI value will remain at the previous close value until sufficient data to calculate the VHSI value becomes available). 4.4 Occasionall, the VHSI could jump up then down (or vice versa) in subsequent index ticks, due to sudden changes in the set of options selected for index calculation. In case the calculated VHSI shows a tick-b-tick movement (either up or down) of more than 5% from the last disseminated index value, such calculated index value will be regarded as an abnormal index value and will not be disseminated, and the last disseminated index value will be used. If such abnormal index value persists for four consecutive ticks, it will be regarded as normal and will be disseminated. his treatment for abnormal index values will not be applied to the first and last index ticks of each trading session. 7
8 5 Appendix Calculating ime to Expiration 5.1 he time to expiration () is measured in ears. It is composed of three parts: 1 = fractional number of das remaining until midnight of the current da = number of das between current da and expir da 3 = fractional number of das from midnight of da prior to expir date to expiration time # of minutes remaininguntil midnight of the current da 1 4 * 60 3 # of minutes from midnight to the expiration time 4 * Where = # of das in one ear = # of das to expiration of options ote: All the calendar das are counted for calculation. Interpolating isk-free ates 5. he HIBO 3 1-week rate ( ), HIBO 1-month rate ( ), and HIBO - month rate ( m ) are used to interpolate the near-term ( 1 ) and next-term ( ) risk-free rates. 1 m m m m m he expiration time for HSI options is 4:00 pm on the expir da, the market close of expiring contract month 3 he latest HIBO fixing provided b the Hong Kong Association of Banks 8
9 Where 1 = near-term risk-free rate = next-term risk-free rate = HIBO 1-week rate = HIBO 1-month rate m = HIBO -month rate = # of das in a week = # of das in the das between current da and one month later m = # of das in the das between current da and two months later = # of das to expiration of the near-term options = # of das to expiration of the next-term options = # of das in one ear m m ote: he interpolation works when the near-term and next-term expirations are bracketed b the 1 week ~ 1 month and 1 month ~ month maturities of HIBO rates, respectivel. When the option expirations fall outside of the corresponding HIBO rate expirations, most likel in the rolling period (see 3.4), it ma be necessar to choose longer-term HIBO rates to interpolate the risk-free rates. For example, if the near-term expiration is between 1 month and months, the 1-month HIBO and -month HIBO will be used to interpolate the near-term risk-free rate 1 ; if the next-term expiration is between months and 3 months, the -month HIBO and 3-month HIBO will be used to interpolate the next-term risk-free rate. HIBO euters Code 1 Week HIHKD1WD= 1 Month HIHKD1MD= Months HIHKDMD= 3 Months HIHKD3MD= 9
10 6 Disclaimer All information contained herein is provided for reference onl. Hang Seng Indexes Compan Limited ( HSIL ) ensures the accurac and reliabilit of the above information to the best of its endeavours. However, HSIL makes no warrant or representation as to the accurac, completeness or reliabilit of an of the information contained herein and accepts no liabilit (whether in tort or contract or otherwise) whatsoever to an person for an damage or loss of an nature arising from or as a result of reliance on an of the contents of this document, or an errors or omissions in its contents and such contents ma change from time to time without notice. HSI Volatilit Index (the Index ) is published b HSIL, which has contracted with Standard & Poor s Financial Services LLC ( S&P ) to maintain and calculate the Index. Standard & Poor's" and "S&P" are trademarks of S&P and have been licensed for use b HSIL. VIX is a trademark of Chicago Board Options Exchange, Incorporated ( CBOE ) and S&P has granted a license to HSIL, with permission from CBOE, to use such mark for purposes relating to the Index. he Index is not owned, sponsored, endorsed or promoted b S&P or CBOE and neither S&P nor CBOE makes an representation regarding the advisabilit of investing in products that are based on such Index or otherwise reling on such Index for an purpose and neither S&P, CBOE nor HSIL shall have an liabilit for an errors or omissions in the Index or an values thereof. he information contained in this document is not intended to provide professional advice and should not be relied upon in that regard. Persons intending to use an information obtained from this document are advised to obtain appropriate professional advice. Hang Seng Indexes Compan Limited 011. All rights reserved. - End - 10
For Managing the. HSI Volatility Index. Dec 2017 Version 3.0
For Managing the HSI Volatilit Index Dec 017 Version 3.0 Amendment Histor Date Description 1.0 Januar 011 First Issue 1.1 Februar 011 Adding the treatment of handling abnormal index value 1. March 011
More informationHSI Volatility Index ( VHSI )
HSI Volatility Index ( VHSI ) Daniel Wong Senior Vice President, Research & Development 24 March 2011 Contents Background of VHSI What is VHSI Measuring? Index Methodology Back History of VHSI Background
More informationS&P/TSX 60 VIX Methodology
S&P/TSX 60 VIX Methodology July 014 S&P Dow Jones Indices: Index Methodology Table of Contents Introduction 3 Highlights 3 Index Construction 4 Approaches 4 Deriving VIX from ear-term and ext-term Options
More informationS&P/TSX 60 VIX Methodology
S&P/SX 60 VIX Methodology S&P Dow Jones Indices: Index Methodology ovember 017 able of Contents Introduction Highlights Index Construction 3 Approaches 3 Deriving VIX from ear-term and ext-term Options
More informationA VIX for Canada. October 14, 2010
A VIX for Canada October 4, 00 PROPRIEARY. Permission to reprint or distribute any content from this presentation requires the written approval of Standard & Poor s. Copyright 00 Standard & Poor s Financial
More informationFor Managing the. Hang Seng REIT Index. Jun 2016 Version 1.2
For Managing the Hang Seng REIT Index Jun 2016 Version 1.2 Amendment History Date Description 1.0 September 2011 First Issue 1.1 April 2016 Updated treatment to trading suspension in Section 4 Index Review
More informationFor Managing the. Hang Seng SCHK Mainland China Banks Index
For Managing the Hang Seng SCHK Mainland China Banks Index Table of Contents Page 1. Overview 3 2. Management Responsibility 4 3. Constituent Eligibility 5 4. Index Review and Constituent Changes 6 5.
More informationHang Seng Consumer Goods & Services Index
For Managing the Hang Seng Consumer Goods & Services Index Apr 2016 Version 1.1 1 Overview 1.1 Hang Seng Consumer Goods & Services Index ( HSCGSI ) aims to reflect the overall performance of stocks listed
More informationGround Rules. FTSE Implied Volatility Index Series v1.3
Ground Rules FTSE Implied Volatility Index Series v1.3 ftserussell.com August 017 Contents 1.0 Introduction... 3.0 Management Responsibilities... 5 3.0 FTSE Russell Index Policies... 6 4.0 Eligible Securities...
More informationHang Seng Stock Connect Hong Kong Index Hang Seng Stock Connect Hong Kong MidCap & SmallCap Index Hang Seng Stock Connect Hong Kong SmallCap Index
For Managing the Hang Seng Stock Connect Hong Kong Index Hang Seng Stock Connect Hong Kong MidCap & SmallCap Index Hang Seng Stock Connect Hong Kong SmallCap Index Table of Content Page 1. Overview 2 2.
More informationHang Seng Short and Leveraged Index Series
For Managing the Hang Seng Short and Leveraged Index Series Jan 2016 Version 1.0 Table of Contents Page 1. Overview 2 2. Management Responsibility 3 3. Index Calculation 4 4. Dissemination 7 5. Contact
More informationRegulatory Circular RG14-040
Regulatory Circular RG14-040 Date: November 10, 2014 To: Trading Privilege Holders From: CBOE Research and Product Development Department CFE Business Development RE: CBOE/CBOT 10 Year Treasury-Note Volatility
More informationRegulatory Circular RG15-006
Regulatory Circular RG15-006 Date: January 27, 2015 To: Trading Privilege Holders From: CBOE Research and Product Development Department CFE Business Development RE: CBOE/CBOT 10 Year Treasury-Note Volatility
More informationDB US Variance Risk Premium Tactical Index INDEX DESCRIPTION
DB US Variance Risk Premium Tactical Index INDEX DESCRIPTION DISCLAIMER In the event of any inconsistency between the text below and any version which is translated into any other language, the text below
More informationDividend Point Index Series
For Managing the Dividend Point Index Series Jun 2015 Version 1.1 Amendment History Date Description 1.0 Jan 2015 First Issue 1.1 Jun 2015 Updated description of cash dividends in Section 3 - Index Calculation
More informationS&P/ASX 200 VIX Methodology
S&P/ASX 00 VIX Methodolog S&P Dow Jes Indices: Index Methodolog Februar 018 Table of Ctents Introducti Index Objective Highlights Supporting Documents Index Cstructi 3 Approaches 3 Deriving VIX from ear-term
More informationIndex Operation Guide
Index Operation Guide For Managing the Hang Seng Family of Indexes Jul 2017 Version 3.9 Amendment History Effective Date Description 1.0 September 2011 First issue 2.0 June 2012 Addition of index treatment
More informationSage Secure FIA. Fixed Indexed Single Premium Deferred Annuity CONSUMER BROCHURE. Wise Financial Thinking for Life
Sage Secure FIA Fixed Indexed Single Premium Deferred Annuity CONSUMER BROCHURE Wise Financial Thinking for Life Sage Secure FIA Consumer Brochure Wise Financial Thinking for Life Sagicor Life Insurance
More informationS&P 500 Variance Futures: Exchange-Traded/OTC Conventions
S&P 500 Variance Futures: Exchange-Traded/OTC Conventions 2013 CBOE Risk Management Conference March 4, 2013 Presented by: John Hiatt Director, Research and Product Development Agenda Overview of CFE S&P
More informationNon-Collateralised Structured Products Launch Announcement for Callable Bull/Bear Contracts over Index. Issuer: CREDIT SUISSE AG
This announcement appears for information purposes only and does not constitute an invitation or offer to acquire, purchase or subscribe for the CBBCs described below. Hong Kong Exchanges and Clearing
More informationIntroduction to Currency Options
Disclaimer The views and opinions expressed in this presentation reflect those of the individual authors/presenters only and do not represent in any way Bourse de Montréal Inc. s (the Bourse ) opinion
More informationChapter 359 E-mini NASDAQ 100 Index Futures
35900. SCOPE OF CHAPTER Chapter 359 E-mini NASDAQ 100 Index Futures This chapter is limited in application to E-mini NASDAQ 100 Index futures ( futures ). In addition to this chapter, futures shall be
More informationLaunch Announcement for Warrants to be issued by
This announcement appears for information purposes only and does not constitute an invitation or offer to acquire, purchase or subscribe for the Warrants described below. Hong Kong Exchanges and Clearing
More informationINVESTMENT HIGHLIGHTS
1 HSBC BANK CANADA ISSUE OF HANG SENG CHINA ENTERPRISES INDEX LINKED DEPOSIT NOTE DUE APRIL 13, 2009 SETTLEMENT DATE: APRIL 13, 2004 STRIKE SETTING: APRIL 6, 2004 TRADE DATE: APRIL 5, 2004 INVESTMENT HIGHLIGHTS
More informationThe power of a global strategy. Voya Indexed Universal Life-Global Choice Issued by Security Life of Denver Insurance Company
The power of a global strategy Voya Indexed Universal Life-Global Choice Issued by Security Life of Denver Insurance Company Global exposure with the advantage of hindsight Voya Indexed Universal Life-Global
More informationChapter 360 E-mini Nasdaq Biotechnology Index Futures
36000. SCOPE OF CHAPTER Chapter 360 E-mini Nasdaq Biotechnology Index Futures This chapter is limited in application to E-mini Nasdaq Biotechnology Index futures ( futures ). In addition to this chapter,
More informationVolatility By A.V. Vedpuriswar
Volatility By A.V. Vedpuriswar June 21, 2018 Basics of volatility Volatility is the key parameter in modeling market risk. Volatility is the standard deviation of daily portfolio returns. 1 Estimating
More informationGuide to the CBOE / CBOT 10 Year Treasury Note Volatility Index (TYVIX SM Index) Part I: Introduction to the TYVIX Index
Guide to the CBOE / CBOT 1 Year Treasury Note Volatility Index ( SM Index) Part I: Introduction to the Index 1 Table of Contents I. Introduction to the Index II. III. IV. Index Calculation Conversion to
More informationGLOBAL MULTI-INDEX STRATEGY AMENDMENT GLOBAL MULTI-INDEX STRATEGY
GLOBAL MULTI-INDEX STRATEGY AMENDMENT This Amendment is part of the Fixed Indexed Annuity Contract to which it is attached. All capitalized terms used in this Amendment that are not otherwise defined shall
More informationHang Seng Corporate Sustainability Index Series
Hang Seng Corporate Sustainability Index Series Description International focus on corporate sustainability encompassing environmental, social and corporate governance has risen dramatically in recent
More informationShort-Term Trading with SPX Options
Short-Term Trading with SPX Options Interactive Brokers Webcast Russell Rhoads, CFA Disclosure Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person
More informationNumber: 196/2017 Relates to: Equity Market Equity Derivatives Commodity Derivatives Interest Rate and Currency Derivatives Date: 19 May 2017 SUBJECT:
Number: 196/2017 Relates to: Equity Market Equity Derivatives Commodity Derivatives Interest Rate and Currency Derivatives Date: 19 May 2017 SUBJECT: MARK-TO-MARKET METHODOLOGY FOR THE COMMODITY DERIVATIVES
More information50 million European Style Cash Settled Index Put warrants expiring on 29 November 2018 relating to the Hang Seng Index (the "Warrants")
CH0436968363 1/5 Investment Banking / Key Terms Sheet 50 million European Style Cash Settled Index Put warrants expiring on 29 November 2018 relating to the Hang Seng Index (the "Warrants") The terms set
More information50 million European Style Cash Settled Index Call warrants expiring on 29 November 2018 relating to the Hang Seng Index (the "Warrants")
CH0436968355 1/5 Investment Banking / Key Terms Sheet 50 million European Style Cash Settled Index Call warrants expiring on 29 November 2018 relating to the Hang Seng Index (the "Warrants") The terms
More informationHit the Target with SG Digital Warrants! Key Features of Digital Warrants:
1 Hit the Target with SG Digital Warrants! Hong Kong, 19 March, 2003 Leading warrants issuer SG Securities introduces a new type of exotic warrant designed for Hong Kong s savvy retail investors: Digital
More informationRegulatory Circular RG15-022
Regulatory Circular RG15-022 Date: July 22, 2015 To: All Volatility Index Derivatives Market Participants From: Research and Product Development Department CFE Regulation Re: Modified HOSS Opening Procedures
More informationCboe S&P 500 3x Up, 1x Down Enhanced Growth Index Series. Cboe S&P 500 3x Up, 1x Down Enhanced Growth Index Series
Cboe S&P 500 3x Up, 1x Down Enhanced Growth Index Series As of December 2017 Table of Contents Introduction... 1 Highlights... 1 Index Series Value and Return... 2 First Roll Date and Starting Values...
More informationRegulatory Circular RG15-133
Regulatory Circular RG15-133 Date: September 29, 2015 To: All Volatility Index Derivatives Market Participants From: Regulatory Services Division Research and Product Development Department Re: Modified
More informationHang Seng Composite Index Series
For Managing the Hang Seng Composite Index Series Jun 2016 Version 1.6 Amendment History Date Description 1.0 November 2011 First Issue 1.1 December 2011 Edited the Fast Entry Rule in section 4.8 1.2 November
More informationDate. Listing. Warrant Agent
17 million European Style Index Call Warrants expiring on 17 March 2017 relating to the S&P 500 Index (the Warrants ) The terms set out in this Term Sheet are a summary of, and are subject to the terms
More informationSilver FLOWS Indices By Credit Suisse and NASDAQ OMX
Silver FLOWS Indices By Credit Suisse and NASDAQ OMX Index Rules Index Sponsors Credit Suisse International One Cabot Square, London, E14 4QJ, United Kingdom The NASDAQ OMX Group, Inc. One Liberty Plaza,
More informationHow it Works: Crediting Methods and Index Options
Annuity How it Works: Crediting Methods and Index Options Fixed Index Annuity 13091Y REV 9-15 FOR AGENT USE ONLY. NOT TO BE USED FOR CONSUMER SOLICITATION PURPOSES. Annuities at their Best Table of Contents
More informationCboe S&P % Buffer Protect Index Series. Cboe S&P % Buffer Protect Index Series
Cboe S&P 500 15% Buffer Protect Index Series As of December 2017 Table of Contents Introduction... 1 Highlights... 1 Index Series Value and Return... 2 First Roll Date and Starting Values... 2 Components...
More informationMarch Construction and Methodology Document. Schwab 1000 Index
March 2018 Construction and Methodology Document Schwab 1000 Index Table of Contents Index Overview...3 Index Tickers...3 Bloomberg...3 Base Universe Eligibility...4 Base Universe...4 Domicile Criteria...4
More informationSelling Call Options
Disclaimer The views and opinions expressed in this presentation reflect those of the individual authors/presenters only and do not represent in any way Bourse de Montréal Inc. s (the Bourse ) opinion
More informationNorth American Charter SM Plus
Annuity Interest Rates Effective May 17, 2016 Summary of Changes: NEW! North American Charter SM Plus II Fixed Index Annuity available in PA No other changes Click here to compare HOT Rates! North American
More informationQuick Links: NEW TPS! North American Rate Report. QUESTIONS? Call Sales Support. Annuity Interest Rates Effective July 19, 2016
Annuity Interest Rates Effective July 19, 2016 Summary of Changes: Most fixed index annuities have rate decreases Multi-Year Guarantee Annuity rates did not change No other changes Click here to compare
More informationNorth American Company for Life and Health Insurance Annuity Interest Rates & Features Effective January 1, 2012
North American Company for Life and Health Insurance Annuity Interest Rates & Features Applications must be received prior to this date to hold previous rates. Rates on 1035 Exchanges/Transfers will be
More informationThe Tradition Coal Index
1 TRCOAL The Tradition Coal Index 2012 Tradition Financial Services, Inc. All Rights Reserved. 1 2 TRCOAL Guide to the Tradition Coal Index This guide contains the rules for calculating the Tradition Coal
More informationHow Volatility Influences your Option Value
Disclaimer The views and opinions expressed in this presentation reflect those of the individual authors/presenters only and do not represent in any way Bourse de Montréal Inc. s (the Bourse ) opinion
More informationRegulatory Circular RG14-015
Regulatory Circular RG14-015 Date: April 15, 2014 To: All Volatility Index Derivatives Market Participants From: Regulatory Services Division Research and Product Development Department RE: Modified HOSS
More informationTRADING MECHANISM OF CLOSING AUCTION SESSION (CAS) IN THE SECURITIES MARKET
TRADING MECHANISM OF CLOSING AUCTION SESSION (CAS) IN THE SECURITIES MARKET NOTE TO THE READER: This paper aims to facilitate understanding of investors and traders who may participate in CAS and is compiled
More informationFISPWL. Fixed Indexed Single Premium Whole Life Insurance CONSUMER BROCHURE. Wise Financial Thinking for Life
FISPWL Fixed Indexed Single Premium Whole Life Insurance CONSUMER BROCHURE Wise Financial Thinking for Life FISPWL Consumer Brochure Wise Financial Thinking for Life Sagicor Life Insurance Company (Sagicor)
More informationCboe S&P 500 2x Up, 1x Down, 10% Buffer Protect Index Series. Cboe S&P 500 2x Up, 1x Down, 10% Buffer Protect Index Series
Cboe S&P 500 2x Up, 1x Down, 10% Buffer Protect Index Series As of December 2017 Table of Contents Introduction... 1 Highlights... 1 Index Series Value and Return... 2 First Roll Date and Starting Values...
More informationTRADING PROCEDURES FOR STOCK INDEX FUTURES AND STOCK INDEX OPTIONS TRADED ON THE AUTOMATED TRADING SYSTEM OF THE EXCHANGE ( HKATS )
TRADING PROCEDURES FOR STOCK INDEX FUTURES AND STOCK INDEX OPTIONS TRADED ON THE AUTOMATED TRADING SYSTEM OF THE EXCHANGE ( HKATS ) Table of Contents Page CHAPTER 1 METHOD OF TRADING... 1-1 CHAPTER 2 ELIGIBILITY
More informationHang Seng Composite Index Series
For Managing the Hang Seng Composite Index Series Jul 2018 Version 1.7 Amendment History Date Description 1.0 November 2011 First Issue 1.1 December 2011 Edited the Fast Entry Rule in section 4.8 1.2 November
More informationApplying the Principles of Quantitative Finance to the Construction of Model-Free Volatility Indices
Applying the Principles of Quantitative Finance to the Construction of Model-Free Volatility Indices Christopher Ting http://www.mysmu.edu/faculty/christophert/ Christopher Ting : christopherting@smu.edu.sg
More informationSGX China Equity Index Derivatives Monthly Commentary
5:: PM 5:3: PM 6:: PM 6:3: PM 7:: PM 7:3: PM 8:: PM 8:3: PM 9:: PM 9:3: PM 1:: PM 1:3: PM 11:: PM 11:3: PM 12:: AM 12:3: AM 1:: AM 1:3: AM Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14
More informationNorth American Company for Life and Health Insurance Annuity Interest Rates & Features Effective December 12, 2012
North American Company for Life and Health Insurance Annuity Interest Rates & Features Applications must be received prior to this date to hold previous rates. Rates on 1035 Exchanges/ Transfers will be
More informationRegulatory Circular RG17-002
Regulatory Circular RG17-002 Date: February 6, 2017 To: Volatility Index Derivatives Market Participants From: Regulatory Division Research and Product Development Department Re: Modified HOSS Opening
More informationas Issuer and Product Arranger
Product Booklet dated 4 August 2017 Hang Seng Bank Limited (incorporated in Hong Kong with limited liability, a licensed bank regulated by the Hong Kong Monetary Authority and registered under the Securities
More informationChapter 389 S&P MLP Total Return Index Futures
Chapter 389 S&P MLP Total Return Index Futures 38900. SCOPE OF CHAPTER This chapter is limited in application to Standard & Poor s Master Limited Partnership Total Return Index futures ( futures ). In
More informationShort Volatility Trading with Volatility Derivatives. Russell Rhoads, CFA
Short Volatility Trading with Volatility Derivatives Russell Rhoads, CFA Disclosure Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive
More informationHow it works: Crediting Methods and Index Options
How it works: Crediting Methods and Index Options Fixed Index Annuity 13091Z REV 9-17 Table of Contents Strategy/Feature Fixed Index Annuity 2 Crediting Method Terminology 3 Daily Average 4 Monthly Average
More informationas Issuer The Hongkong and Shanghai Banking Corporation Limited as Product Arranger for the unlisted structured products programme (Programme)
Product Booklet dated 23 July 2018 THE HONGKONG AND SHANGHAI BANKING CORPORATION LIMITED (a company incorporated in Hong Kong with limited liability, a licensed bank regulated by the Hong Kong Monetary
More informationFoundation Series 12 Rate Sheet. Best. Average. Return of. Premium. Premium. Best. Average. Worst Return of Premium 3
BalancedChoice Annuity Foundation Series BROCHURE OVERVIEW RATE SHEET OPTIONAL RIDER Foundation Series 12 Rate Sheet Foundation Series Options: Non-Guaranteed 12-Year Period 1 for Best, Average and Worst
More informationThe Benefits of a. Fixed Index Annuity 10127Z REV 10-15
The Benefits of a Fixed Index Annuity You can have all the Choices with North American Fixed Index Annuities If You re looking for: North American s Fixed Index Annuities Can Provide: Safety and Guarantee
More informationVoya Indexed Universal Life-Global Plus
calculation examples Voya ed Universal Life-Global Plus Values as of Issued by Security Life of Denver Insurance Company Required training! VFA Registered Representatives must review the Required Training
More informationLenwood Volatility Control Index
Lenwood Volatility Control Index Index Highlights The Index Methodologies, LLC Lenwood Volatility Control Index TM (LVCI) is a rules-based index that is comprised of six underlying indices three equity
More informationTrade a directional bias with a limited and identifiable risk exposure. Protect and preserve investment capital.
Disclaimer The views and opinions expressed in this presentation reflect those of the individual authors/presenters only and do not represent in any way Bourse de Montréal Inc. s (the Bourse ) opinion
More informationQuick Links: North American Rate Report. NAC IncomeChoice SM 7. QUESTIONS? Call Sales Support
Annuity Interest Rates Effective September 1, 2016 Summary of Changes: North American Guarantee Choice SM and North American Guarantee Choice SM II, multi-year guarantee annuity rates decrease No other
More informationas Issuer The Hongkong and Shanghai Banking Corporation Limited
Product Booklet dated 23 July 2018 THE HONGKONG AND SHANGHAI BANKING CORPORATION LIMITED (a company incorporated in Hong Kong with limited liability, a licensed bank regulated by the Hong Kong Monetary
More informationMonthly Report Hang Seng Index Futures
Monthly Report Hang Seng Index Futures March 2016 MONTHLY HIGHLIGHTS Total HKD 2.7 trillion notional value was transacted with average daily notional value of HKD 128billion for Hang Seng Index (HSI) futures.
More informationThe Old VIX vs. New VIX.
The Old VIX vs. New VIX. Mark Ioffe In 1993, the Chicago Board Options Exchange (CBOE ) introduced the CBOE Volatility Index.VIX and it quickly became the benchmark for stock market volatility. The index
More informationMay 22, CBOE Futures Exchange, LLC Rule Certification Submission Number CFE
May 22, 2015 Christopher J. Kirkpatrick Secretary Commodity Futures Trading Commission Three Lafayette Centre 1155 21st Street, N.W. Washington, D.C. 20581 Re: CBOE Futures Exchange, LLC Rule Certification
More informationCapital Protected Notes due June 6, 2014 Based on a Global Basket of Equity Indices
January 2008 Pricing Supplement No. 481 to Registration Statement No. 333-131266 Dated January 31, 2008 Filed pursuant to Rule 424(b)(2) STRUCTURED INVESTMENTS Opportunities in Equities Capital Protected
More informationDaily Leverage Certificates on Index and Single Stocks
JAN 2019 Daily Leverage Certificates on Index and Single Stocks SOLUTIONS IN GLOBAL MARKETS CROSS ASSET INVESTING HEDGING FINANCING Presented by: Keith Chan Head of Cross Asset Listed Distribution Asia
More informationGateway Active Index-Option Overwrite Composite Commentary
Overwrite Composite Commentary EQUITY MARKETS The S&P 500 Index gained 3.09% for the second quarter of, bringing its year-to-date return to 9.34%. The equity market posted positive returns each month of
More informationCboe iboxx ishares Bond Index Futures
Contract Name: Listing Date: Description: Cboe iboxx ishares $ Investment Grade Corporate Bond TBD - Subject to Regulatory Review Cboe iboxx ishares $ Investment Grade Corporate Bond Index futures ( IBIG
More informationDA Index Margin (No Cap) MPP Index Cap Rate APP Index Cap Rate APP Participation Rate (No Cap) APP Index Margin (No Cap)
Annuity Interest Rates Summary of Changes: Interest rates will change on select strategies on these fixed index annuities: - NAC Charter Plus - NAC RetireChoice - Performance Choice And the multi-year
More informationas Issuer and Product Arranger
Product Booklet dated 7 August 2018 Hang Seng Bank Limited (incorporated in Hong Kong with limited liability, a licensed bank regulated by the Hong Kong Monetary Authority and registered under the Securities
More informationPost Launch Review of After-Hours Futures Trading
Post Launch Review of After-Hours Futures Trading November 2013 2 CONTENTS Page No. EXECUTIVE SUMMARY 3 PART A: INTRODUCTION 5 PART B: MARKET PARTICIPATION 6 PART C: TRADING ACTIVITIES 7 PART D: MARKET
More informationChapter 362 E-mini Standard and Poor's Midcap 400 Stock Price Index Futures
36200. SCOPE OF CHAPTER Chapter 362 E-mini Standard and Poor's Midcap 400 Stock Price Index Futures This chapter is limited in application to E-mini S&P Midcap 400 Stock Price Index futures ( futures ).
More informationCESC Index Report for November
CESC Index Report for November China Exchanges Services Co Ltd (CESC) Highlights Mainland A shares outperformed Hong Kong stocks in November. The CES A80 surged 7.4 per cent. The CES 300 surged 3.7 per
More informationProtect your hard-earned money!
NWL Protect your hard-earned money! You may choose the advantage of interest accumulation based on a formula linked in part to an index! A Flexible Premium Deferred Fixed Indexed Annuity For Long Term
More information1 Introduction. 2 Old Methodology BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM DIVISION OF RESEARCH AND STATISTICS
BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM DIVISION OF RESEARCH AND STATISTICS Date: October 6, 3 To: From: Distribution Hao Zhou and Matthew Chesnes Subject: VIX Index Becomes Model Free and Based
More informationProtection plus growth opportunity with a global index option. Elite Global Plus II Fixed index interest universal life insurance.
PRODUCT Guide Elite Global Plus II Fixed index interest universal life insurance Protection plus growth opportunity with a global index option Policies issued by: American General Life Insurance Company
More informationAnnuity Interest Rates Effective August 22, NEW! S&P MARC 5% ER Index
Annuity Interest Rates Summary of Changes: Great News! NAC BenefitSolutions 10 fixed index annuity is available nationwide offering nationwide rates NAC BenefitSolutions II is replaced with NAC BenefitSolutions
More informationPerformance Choice 8 Plus
Performance Choice 8 Plus Fixed Index Annuity 25371Z-43 PRT 4-17 Retirement planning starts with the Performance Choice 8 Plus Choosing the right accumulation vehicle for retirement can be difficult, especially
More informationHSBC BANK CANADA GLOBAL OPPORTUNITY DEPOSIT NOTE TERMS AND CONDITIONS SETTLEMENT DATE: SEPTEMBER 30, 2004 STRIKE SETTING: SEPTEMBER 24, 2004
HSBC BANK CANADA GLOBAL OPPORTUNITY DEPOSIT NOTE LINKED TO S&P 500, DJ EURO STOXX 50, AND NIKKEI 225 DUE SEPTEMBER 30, 2009 TERMS AND CONDITIONS SETTLEMENT DATE: SEPTEMBER 30, 2004 STRIKE SETTING: SEPTEMBER
More informationEM Combo 13/08/2014 CROSS-ASSET SOLUTIONS. London Global Markets Cross Asset Solutions
EM Combo 13/08/2014 CROSS-ASSET SOLUTIONS London Global Markets Cross Asset Solutions Indicative Terms and Conditions This product is issued under and is subject to the terms and conditions of the Base
More informationSage IUL. Indexed Universal Life Insurance CONSUMER BROCHURE. Wise Financial Thinking for Life
Indexed Universal Life Insurance Sage IUL Indexed Universal Life Insurance CONSUMER BROCHURE Wise Financial Thinking for Life Sage IUL Page 1 Page 2 Sage IUL Wise Financial Thinking for Life Sagicor Life
More informationDEUTSCHE BANK AG, LONDON BRANCH. Issue of up to 1,000,000 Express Certificates relating to a Basket of Indices and a Fund Share (the "Securities")
Final Terms dated 8 November 2012 DEUTSCHE BANK AG, LONDON BRANCH Issue of up to 1,000,000 Express Certificates relating to a Basket of Indices and a Fund Share (the "Securities") under its Programme for
More informationNon-collateralised Structured Products
4 February 2019 Hong Kong Exchanges and Clearing Limited ( HKEX ), The Stock Exchange of Hong Kong Limited (the Stock Exchange ) and Hong Kong Securities Clearing Company Limited take no responsibility
More informationNorth American Company for Life and Health Insurance Annuity Interest Rates & Features Effective February 27, 2013
North American Company for Life and Health Insurance Annuity Interest s & Features Applications must be received prior to this date to hold previous rates. s on 1035 Exchanges/ Transfers will be held 45
More informationHow it works: Fixed index annuity crediting methods and index options
How it works: Fixed index annuity crediting methods and index options Z 13091Y PRT 8-15 REV 11-18 Table of contents Strategy/feature Page Fixed index annuity 2 Crediting method terminology 3 Daily Average
More informationFINAL TERMS PART A CONTRACTUAL TERMS
FINAL TERMS Draft 2 The Final Terms dated 31 August 2007 UBS AG, acting through its Jersey Branch Issue of EUR [ ] Non Interest Bearing Capital Protected Notes linked to a Basket of 3 Indices due March
More informationIntrinsic and Time Value
Disclaimer The views and opinions expressed in this presentation reflect those of the individual authors/presenters only and do not represent in any way Bourse de Montréal Inc. s (the Bourse ) opinion
More informationNAC VersaChoice SM 10 Fixed Index Annuity NO RATE CHANGE
Annuity Interest Rates Summary of Changes: Most fixed index annuity and traditional fixed annuity rates decrease (margins increase) No change on NAC VersaChoice SM No change to multi-year guarantee annuities
More informationCBOE Equity Market Volatility Indexes
Interactive Brokers Webcast CBOE Equity Market Volatility Indexes March 26, 2014 Presented by Russell Rhoads, CFA Disclosure Options involve risks and are not suitable for all investors. Prior to buying
More information