The Hang Seng index futures front month is slightly different from US stock index futures in that it is a monthly contract and the front month is the current month and the roll over is Last Trading Day = The Business Day immediately preceding the last Business Day of the Contract Month; Trading Hours on Last Trading Day 9:45 a.m. - 12:30 p.m. and 2:30 p.m. - 4:00 p.m.
They take a 2 hour lunch break, how civilized
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The HSI futures market is based upon the Hang Seng stock index, which is the primary stock index of HKEX (Hong Kong Exchanges and Clearing) in Hong Kong. The Hang Seng index is calculated using prices of the 38 capitalization weighted companies, and the HSI futures market is traded on the HKFE (Hong Kong Futures Exchange) from 9:45 AM to 12:30 AM, and from 2:30 PM to 4:15 PM Hong Kong Time. The HSI futures market has a daily trading volume of approximately 50000 contracts, and a daily price range of approximately 300 points (300 ticks).
Companies
As of March 2007, the Hang Seng stock index includes the following 38 companies :
HSBC Holdings
Hang Seng Bank
Bank of East Asia
HKEX
China Construction Bank
Industrial and Commercial Bank of China
BOC Hong Kong
Bank of China
CLP Holdings
Hong Kong and China Gas Company
Hong Kong Electric Holdings
Cheung Kong
Henderson Land Development Company
Sun Hung Kai Properties
Sino Land Company
Hang Lung Properties
Wharf
Pacific Century CyberWorks
Hutchison Whampoa
New World Development Company
Swire Pacific
MTR Corporation
China Merchants Holdings
CITIC Pacific
China Resources Enterprise
Cathay Pacific Airways
Esprit Holdings
Sinopec
Li & Fung
Yue Yuen Industrial
China Unicom
CNOOC
China Netcom Group
China Mobile
Cheung Kong Infrastructure Holdings
COSCO Pacific
Foxconn International Holdings
China Life Insurance Company
Contract Specifications
The full contract specifications for the HSI futures market are as follows :
Symbol (IB / Sierra Chart Format) : HSI
Expiration date (as of March 2007) : March 29 2007
Exchange : HKFE
Currency : HKD
Multiplier / Contract value : 50 HKD
Tick size / Minimum price change : 1
Tick value / Minimum price value : 50 HKD
Holidays
In 2007, the HSI futures market is open for trading every trading day (Monday to Friday), except for the following holidays :
January 01
February 19
February 20
April 05
April 06
April 09
May 01
May 24
June 19
July 02
September 26
October 01
October 19
December 25
December 26 |
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In the sample IB chart of HSI below, the option pricing is not to scale to the underlying futures.