Monthly Report Hang Seng Index Futures

Transcription

1 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. Open Interest (OI) reached HKD billion notional value at the end of the month. The average HSI volatility index was Block trade volume accounted for 4.0 per cent of all HSI futures trading volume. Futures Volume vs Open Interest In March 2016, a total of HKD 2.7 trillion notional value (2,677,461) contracts) was transacted with average daily notional value of HKD 128 billion (127,498 contracts). Open Interest reached HKD billion notional value (105,887contracts) at the end of the month. Futures Volume vs HSI Price Level HSI rose and closed at 20,776.7 at the end of the month. HSI Price Level vs HSI Volatility Index The average HSI volatility index in March was The highest volatility was 26. Sources: HKEX, Bloomberg For more information please products@hkex.com.hk 1

2 Trading Volume Analytics Hourly Distribution of Volume & Bid-Ask Spread (Day Session) Higher trading volume was witnessed during the early morning session. The average bid-ask spread was around per cent (around 3.2 points) for day time trading in the past 3 months. Hourly Distribution of Volume & Bid-Ask Spread (AHFT) Higher trading volume was witnessed during 22:00-22:59 sessions which are nearly the opening of US market. The average bid-ask spread was around per cent (around 4.5 points) for the AHFT session in the past 3 months. Trading Volume (Day Session) In March the Day Session recorded an average daily volume of 116,031 HSI futures contracts. Trading Volume (AHFT) In March the AHFT session recorded an average daily volume of 11,327 HSI futures contracts, which accounted for 9.7 per cent of the volume in the Day Session. Sources: HKEX, Bloomberg For more information please products@hkex.com.hk 2

3 Rollover Dynamics HSI Futures Pace of Roll As of the Last Trading Day (30 March 2016), about 86 per cent of March contracts have been rolled into far month contracts (vs 12 month historical average of 85 per cent). The pace of roll* in March 2016 was in line with historical average. * Pace of Roll is defined as the progression of roll activity out of expiring contracts into further contract months. It is assumed that all far month contracts are generated from rollovers of front month contracts. HSI Futures Premium/Discount Towards the End of Roll The premium/discount of the front month HSI futures fluctuated and toward discount at the end of the expiration. * The futures premium/discount is defined as the difference between the price level of the front month contract and the index level, divided by the index level. Average Futures Premium/Discount for All Contract Months All contract months traded at discount, ranging from 0.14% to 2.88%. Sources: HKEX, Bloomberg For more information please products@hkex.com.hk 3

4 Block Trade Insights Trend of Block Trade Volume Block trade volume accounted for 4.0 per cent of all HSI futures trading volume in March Block Trade Size Distribution The average number of contracts for each block trade was around 210. Block trade size buckets smaller than 100 contracts were parts of option combo trades*. * The minimum outright block trade size without option combo is 100 contracts under HKFE trading rule. Hourly Distribution of Block Trade Volume Most of the block trades were executed nearly market close at 16:00 16:15 session. No block trades were observed in the AHFT session. Sources: HKEX, Bloomberg For more information please products@hkex.com.hk 4

5 Index Futures Contracts Summary Item Contract Terms Underlying Index HKATS Code Contract Multiplier Minimum Fluctuation Contract Months Pre-Market Opening Period Trading Hours Last Trading Day Final Settlement Price Hang Seng Index HSI $50 per index point One index point Spot, next calendar month & next two calendar quarter months 8:45 am 9:15 am & 12:30 pm 1:00 pm 9:15 am 12:00 noon, 1:00 pm 4:15 pm & 5:00 pm 11:45 pm (Expiring contract month closes at 4:00 pm on the Last Trading Day) The Business Day immediately preceding the last Business Day of the Contract Month The average of quotations taken at (i) five (5) minutes intervals from five (5) minutes after the start of, and up to five (5) minutes before the end of, the Continuous Trading Session of SEHK; and (ii) the close of trading on SEHK on the Last Trading Day. Transaction Costs Exchange Fee Commission Levy Commission Rate $10.00 $0.54 Negotiable Information Vendor Access Codes Information Vendors Access Code AAStocks.com Ltd ACTIV Financial Systems, Inc. HSI/yym.HF AFE ,785 Bartech (Int l) Information Network Ltd Bloomberg ET Net Ltd Finet Holdings Ltd. Infocast Ltd Quick Corp. QuotePower International Limited HSImy HIA Index CT HIS Futures HIS FHSI.yymm/HKF P11000 Realink Paging Ltd 1.Pager FP268 2.Pager FP128 Reuters Ltd, a Thomson Reuters Company Six Telekurs Ltd Star Financial Limited Tai Fook On-line Services Ltd Tele-Trend Limited Telequote Data International Ltd Tenfore Systems Ltd 0#HSI: HSIym,113 HIS Web Futures HIFC HSImy HSIym 上海乾隆高科有限公司 上海萬得資訊科訊技術股份有限公司 浙江核新同花順網絡信息股份有限公司 HSIF HSI AMS Terminal 785 Sources: HKEX, Bloomberg For more information, please products@hkex.com.hk 5

6 DISCLAIMER All information contained herein is provided for reference only. While HKEX endeavours to ensure the accuracy, reliability and completeness of the information, neither it, nor any of its affiliates makes any warranty or representation, express or implied, or accept any responsibility or liability for, the accuracy, completeness, reliability or suitability of the information for any particular purpose. HKEX accepts no liability whatsoever to any person for any loss or damage arising from any inaccuracy or omission in the information or from any decision, action or non-action based on or in reliance upon the information. The information does not, and is not intended to, constitute investment advice or a recommendation to make any kind of investment decision. Any person who intends to use the information or any part thereof should seek independent professional advice. Modification of the information in whole or in part, in any form or by any means are strictly prohibited without the prior written permission of HKEX. Futures involve a high degree of risk. Losses from futures trading can exceed your initial margin funds and you may be required to pay additional margin funds on short notice. Failure to do so may result in your position being liquidated and you being liable for any resulting deficit. You must therefore understand the risks of trading in futures and should assess whether they are right for you. You are encouraged to consult a broker or financial adviser on your suitability for futures trading in light of your financial position and investment objectives before trading. For more information, please products@hkex.com.hk 6