Hang Seng Index Futures

[boony]

Hmmmmmmmmm

[glam_100]

The price of derivatives are supposed to be the same as the underlying on expiration due to arbitrage. However they can still be slightly off because arbitrage is not always efficient. It could be the price difference is so small that it doesn't cover execution cost and interest, or it could be the last second ticks that came in right before end of trading hours that creates the discrepancy. The point is that price between derivatives and underlyings do not have to be the same on expiration. They're very close only because arbitrager "pushes" the two together as they near expiration.

[sneo]

hsi options expires one business day before the futures. settlement price used is the futures expiration settlement price (average of HSI at every 5min interval on the last day). if ITM, options become futures on the last day and then settled as futures, else, it disappears forever.

hence, while the settlement price is the same for the option and futures, the need to specify if it is option or futures affects the actual settlement. The options go worthless if OTM and hence end of story; for futures, we still need to determine who receives or pays because its a obligation.

[RobinHood]

Does HKFE have hidden limit order options? I'm noticing lots of larger orders (30+ ) go through at one price level when there may be only 1 lot sitting in the book/depth.

There is nothing mentioned on the HKFE site regarding hidden liquidity but there is a fill-or-kill type order.

Are block transactions supposed to come through on the Time&Sales a few minutes later?


I find that a huge amount of my time&sales data is coming through above the ask or below the bid. Is anyone else experiencing this?

[Kiwi]

Be aware that rollover orders (which increase in the last few days of the month) don't show in the book but IB does report them in the volume.

[MidKnight]

Originally Posted by RobinHood Does HKFE have hidden limit order options? I'm noticing lots of larger orders (30+ ) go through at one price level when there may be only 1 lot sitting in the book/depth. There is nothing mentioned on the HKFE site regarding hidden liquidity but there is a fill-or-kill type order. Are block transactions supposed to come through on the Time&Sales a few minutes later? I find that a huge amount of my time&sales data is coming through above the ask or below the bid. Is anyone else experiencing this?

My hunch is that it is an artifact of using snapshot data. Perhaps even the same issue would exist with 'true tick' data as the exchange my perform tick aggregation - I don't know if that is true. But it is common across all exchanges globally to not have 100% accurate tick data.

It's a fast market, snapshot data will miss a lot of this micro movement.

[emptyvault]

hi , it is interesting to meet someone who is trading in hang send index futures here . Any day trader about it like to share your experience ?

[Tams]

After you have tried HSI, ES would seem listless in comparison.

[ch33ch]

Me and a fellow trader trade the HSIF pretty much everyday as we reside in Hong Kong. We can safely say that consistently profiting 100+ points per day is attainable. My friend has not had a losing trade since mid-May. Overall, his winning ratio is around 75% which is quite impressive. And this is done from trading from a set of simple moving average crossovers. However, you should note that the HSIF is known to gap, sometimes wildly, between lunch breaks and daily sessions. It is also typical that sellers come in around 3pm (local time) as the Shanghai market close.

[Tams]

Originally Posted by ch33ch ...However, you should note that the HSIF is known to gap, sometimes wildly, between lunch breaks and daily sessions. It is also typical that sellers come in around 3pm (local time) as the Shanghai market close.

... then don't trade the afternoon.
as a matter of fact, don't trader after 11:30am.

enjoy life, which is more important than trading.


;-)