Hang Seng Index Futures

[The Bear]

Hey Soultrader - have you ever looked at trading the Hang Seng futures?

I see you are in Japan - and wonder if there are many speculators you know of in Japan that trade this. Curious if you have any experience.

[Soultrader]

Hi The Bear,

Im not too sure as day traders are a rare breed here in Japan. The ones I know trade mainly equities. I personally do not trade it but have gained interest in the mini Nikkei recently. I think Kiwi may be familiar with it.

[wsam29]

I've traded the SGX Nikkei way back when.

If not much has changed, that contract is fairly thin compared to US index futures and it may be electronically traded only, before it was side-by-side with the pit contract.

For one thing, Asian markets have way more 100-200 range days then US markets.

If you can stomach those swings, its a good market to trade.

This is the famous market in which Nick Leeson bankrupted Bearings Bank. I think thats how you spell his name.

[cooter]

Does anyone know the futures symbol for the Hang Seng (HSI), Shanghai and Nikkei indices on Tradestation or e-Signal?

[boony]

Hi all, at last somewhere I can find some info. My managers have no idea and Ive had so many different replies and Im really really hoping to get to the bottom of this as its driving me nuts.....

Got a few questions regarding the Hang Seng Option or Futures contracts. I know the difference between the two but its the actual determination of the final price which I dont get (and can't find).

1) can these two contracts expire on the same day ?
2) if they expire on the same day will they have the same final price ?
3) will the actual closing price of the exchange be the same as either (or both) of the above ?

If you are unaware of the Hang seng then another market would so for an example.

Cheers all !

[SunTrader]

Options and futures based on the same underlying market are never the same price. And depending on which market some options and futures expire at the same time while others have different expirations.

[boony]

Cheers for the reply.

For the Hang Seng and Nikkei 225 Indices the 3 month Options and Futures contracts expire at the same time ; end of month, so I would expect their final levels to mimic the actual underlying at expiry. Is this correct ? However during the life of each contract I would expect their levels to be completely independant of each other and the underlying. Is this also correct ?

[SunTrader]

I am not aware of whether the Hang Seng and Nikkei 225 in particular work the same as other index futures but believe they do in so far as they trade above or below fair value to their indexes and then converge upon expiration.

You might be able to find more info by checking their respective exchange websites:

http://www.hkex.com.hk/index.htm

http://www.ose.or.jp/e/index.html

[thrunner]

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

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

In the sample IB chart of HSI below, the option pricing is not to scale to the underlying futures.

[boony]

Hey thanks guys for the information, both have been very useful.

Ive realised that Ive indicated some incorrection information in my initial post by confusing price with index level. Maybe if I explain further it will help you understand the reason of my question.

I work in the back office documenting OTC deals. When we document a deal based on the HSI (for example) we need to specify whether we are refering to either the Options or Futures contract. In the case of the HSI F&O contracts the final level for these contracts are calculated at the same time using the same method on the expiry date (a system of averaging over the last day). This will thus give a slightly different level to the actual Index which is based on the closing price of each share. Pay out is then always based on the difference between the respective futures or options contract on trade date versus expiry date. Contract size is the same for both. As these are

To me it seems clear that the final level at expiry will be the same irrespective of contract type ; so why is there a need to specify and differentiate? As OTC deals we are only using these contracts as a reference.

The only conclusion that Ive come up with so far is that if a client wishes to unwind or increase a deal during that particular contract month then the trader will base himself on the current level of the respective contract to work out a cost to the client. Hence the need to specify options or futures.

Well hope that was clear.
Cheers