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The Bear

Hang Seng Index Futures

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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.

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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.

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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.

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Guest cooter

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

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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 ! :)

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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.

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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 ?

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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

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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.

5aa70e40ba65c_HSIfutures2007-02-28_010602.thumb.png.a347ff224757e245a5c0365ebcc937f5.png

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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

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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.

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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.

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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?

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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.

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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.

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...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.

 

 

;-)

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Hi,

 

Do you know of any brokers offering HSI or MHI futures with Ninjatrader platform?

 

 

NT works with IB's TWS. Some FCMs like MF Global, RCG offer Pats to trade HSI, and NT is supposed to work with Pats.

Edited by pipal

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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.

 

Nice to meet a HK HSI fellow trader here :D cheers

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