[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

[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.