The Block Trade Facility is an important tool in extending the Exchange's services. A block trade comprises large buy and sell orders privately negotiated apart from the public auction market. Benefits to the market place include:
-
Price and execution certainty for large sized deals; and
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Clearing House* guarantees for transactions that may otherwise have been executed over-the-counter (OTC); and
-
Added liquidity
Criteria for Block Trade
Each Block Trade must be executed in the manner and must satisfy the criteria set forth below:
- Eligible Users
Block trades may be executed between the client accounts, house accounts and/or
market maker accounts
of an Exchange Participant*
- Applicable Markets
The Block Trade Facility will be applicable to all products (except listed combination orders), contract months and strike series listed on the HKATS, except the Mini-HSI futures and options and Mini-HSCEI futures and options contracts.
-
Permissible Price Range & Minimum Volume Threshold (MVT)
Execution price
The price at which a block trade is executed must be fair and reasonable, and the permissible price range is determined in the following manners:
(a) When the executed price is at or within the range of highest traded price, lowest traded price, bid and ask price of the contract; or
(b) When the executed price is within the following price range to both sides of a reference price obtained through prevailing market prices, or if necessary, determined as the theoretical values based on the prevailing underlying values:
The price range and minimum volume threshold of each product eligible for block trading is set forth below
| |
Minimum Volume Threshold (MVT) |
Permissible Price Range |
Stock Index Futures
- Short-dated Futures
- Long-dated Futures |
100 contracts
100 contracts |
1%
3% |
Hang Seng Index (HSI) Futures
- first 4 Contract Months
- after the first 4 Contract Months
- Short-dated Futures
- Long-dated Futures
|
100 contracts
50 contracts
50 contracts |
1%
1%
3% |
Hang Seng China Enterprises Index (HSCEI) Futures
- first 4 Contract Months
- after the first 4 Contract Months
- Short-dated Futures
- Long-dated Futures
|
100 contracts
50 contracts
50 contracts |
1%
1%
3% |
HSI Total Return Index Futures
- Short-dated Futures
- Long-dated Futures |
10 contracts
10 contracts |
1%
3% |
HSCEI Total Return Index Futures
- Short-dated Futures
- Long-dated Futures |
30 contracts
30 contracts |
1%
3% |
Hang Seng TECH Index Futures - Short-dated Futures
- Long-dated Futures |
50 contracts
50 contracts |
3%
9% |
Stock Index Options
Hang Seng Index (HSI) Options
- first 4 Contract Months
- if price > 300 index points
- if price =< 300 index points
- after the first 4 Contract Months
• Short-dated Options
- if price > 300 index points
- if price =< 300 index points
• Long-dated Options
- if price > 300 index points
- if price =< 300 index points
|
100 contracts
100 contracts
50 contracts
50 contracts
50 contracts
50 contracts
|
10%
30 index points
10%
30 index points
30%
90 index points
|
Hang Seng China Enterprises Index (HSCEI) Options
- first 4 Contract Months
- if price > 300 index points
- if price =< 300 index points
- after the first 4 Contract Months
• Short-dated Options
- if price > 300 index points
- if price =< 300 index points
• Long-dated Options
- if price > 300 index points
- if price =< 300 index points
|
100 contracts
100 contracts
50 contracts
50 contracts
50 contracts
50 contracts
|
10%
30 index points
10%
30 index points
30%
90 index points
|
| Hang Seng TECH Index Options
• Short-dated Options
- if price > 300 index points
- if price =< 300 index points
• Long-dated Options
- if price > 300 index points
- if price =< 300 index points
|
50 contracts
50 contracts
50 contracts
50 contracts |
10%
30 index points
30%
90 index points
|
Hang Seng Index Futures (HSIF) Options
- first 4 Contract Months
- if price > 300 index points
- if price =< 300 index points
- after the first 4 Contract Months
• Short-dated Options
- if price > 300 index points
- if price =< 300 index points
• Long-dated Options
- if price > 300 index points
- if price =< 300 index points
|
100 contracts
100 contracts
50 contracts
50 contracts
50 contracts
50 contracts
|
10%
30 index points
10%
30 index points
30%
90 index points
|
Hang Seng China Enterprises Index Futures (HSCEIF) Options
- first 4 Contract Months
- if price > 300 index points
- if price =< 300 index points
- after the first 4 Contract Months
• Short-dated Options
- if price > 300 index points
- if price =< 300 index points
• Long-dated Options
- if price > 300 index points
- if price =< 300 index points
|
100 contracts
100 contracts
50 contracts
50 contracts
50 contracts
50 contracts
|
10%
30 index points
10%
30 index points
30%
90 index points
|
Hang Seng TECH Index Futures (HTIF) Options
• Short-dated Options
- if price > 300 index points
- if price =< 300 index points
• Long-dated Options
- if price > 300 index points
- if price =< 300 index points
|
50 contracts
50 contracts
50 contracts
50 contracts
|
10%
30 index points
30%
90 index points
|
Weekly Hang Seng Index Options
- if price > 300 index points
- if price =< 300 index points
|
100 contracts
100 contracts |
10%
30 index points |
Weekly Hang Seng China Enterprises Index Options
- if price > 300 index points
- if price =< 300 index points
|
100 contracts
100 contracts |
10%
30 index points |
| Stock Futures |
100 contracts |
3% |
| Stock Options |
500 contracts |
Whichever is narrower :
- The difference between the trade price and reference price is at or within 3% of the nominal price of the underlying security at the time the trade occurred; or
- The difference between the trade price and the reference price is such that it is at or within 2 times the maximum spread permitted under Market Maker Obligations and the difference represents not more than 30% of the reference price |
MSCI Index Futures
|
|
|
| - Net Total Return Index Futures |
25 contracts |
3% |
| (Except for MSCI AC Asia ex Japan Net |
|
| Total Return Index Futures) |
|
| - MSCI AC Asia ex Japan Net Total |
50 contracts |
| Return Index Futures |
|
| - Price Return Index Futures |
50 contracts |
| (Except for MSCI China A 50 |
|
| Connect (USD) Index Futures & |
|
| MSCI India (USD) Index Futures) |
|
| - MSCI China A 50 Connect (USD) |
25 contracts |
| Index Futures & MSCI India |
|
|
| (USD) Index Futures |
|
|
MSCI Index Options
- if price > 300 index points
- if price =< 300 index points |
50 contracts
50 contracts |
10%
30 index points |
| HIBOR Futures |
80 contracts# |
25 basis points |
| HIBOR Strips |
20 contracts |
No permissible price range for
HIBOR Strips |
| Dividend Futures |
100 contracts |
1% |
| HSI Volatility Index Futures |
100 contracts |
1% |
| Currency Futures |
50 contracts |
3% |
| Mini Currency Futures |
100 contracts |
3% |
Currency Options
- if price >= 0.4000
- if price < 0.4000 |
50 contracts
50 contracts |
10%
0.040 |
| USD & CNH London Metal Mini Futures |
50 contracts |
No permissible price range for
USD & CNH London Metal Mini Futures |
| USD Gold Futures |
30 contracts |
3% |
| CNH Gold Futures |
30 contracts |
3% |
| USD Silver Futures |
30 contracts |
3% |
| CNH Silver Futures |
30 contracts |
3% |
| Iron Ore Futures |
50 contracts |
4% |
*At all times, the Exchange has the absolute discretion to make a final decision in determining whether an executed price is fair and reasonable taking into consideration factors such as the traded prices on previous days, traded prices and prevailing bid and ask prices of other futures contract months or option series of the Block Trade Contract, the volatility and liquidity of the relevant Market, the size of the Block Trade order and general market conditions.
# For a single order involving a spread or a strategy combination except HIBOR strips, at least one of the legs of the spread or combination must meet the Minimum Volume Threshold.
## Notwithstanding the provisions of Rule 815A(2A), for the purposes of determining whether the Minimum Volume Threshold is satisfied, two separate orders belonging to the Exchange Participant or the same Client relating to the same contract month or option series that are executed at two different prices via two separate legs under a strategy combination Block Trade will be considered as having satisfied the Minimum Volume Threshold if the aggregate of the two orders meets the Minimum Volume Threshold.
- Block Trade Order Aggregation
No aggregating of separate orders or combining of separate orders to generate a spread or strategy combination block trade unless:
a. in the case of a Block Trade which involves Futures Contracts only, each separate order comprising the Block Trade satisfies the applicable Minimum Volume Threshold; and
b. in the case of a spread or strategy combination which involves Futures Contracts and/or Option Contracts, at least one of the separate orders comprising an option leg satisfies the applicable Minimum Volume Threshold; and
c. in the case of Stock Index Options Contracts, all legs of a spread or a strategy combination that relate to Flexible Options must meet the Minimum Volume Threshold and
d. authorizations have been received from Clients whose orders are being aggregated or combined
- Block Trade Order Entry
Block Trades must be entered into HKATS in accordance with the HKATS User’s Guide.
A Block Trade must be negotiated during the trading hours of the Block Trade Contract concerned and be executed immediately on HKATS via the Block Trade Facility or within such period from the end of the relevant trading session as prescribed by the Exchange or during such other time as may be prescribed by the Exchange from time to time:
a) Block Trade Order Entry Period from the end of the relevant trading session for Stock Index Futures, Stock Index Options, Stock Futures and Stock Options
|
|
Regular Session for Normal Trading Day |
Regular Session for Eves of Christmas, New Year and Lunar New Year |
T+1 Session
|
|
Market |
End of Regular Session |
Block Trade Order Entry Period |
End of Regular Session |
Block Trade Order Entry Period |
End of T+1 Session |
Block Trade Order Entry Period
|
- Stock Futures
- Stock Options
|
4:00 pm
|
4:00 pm to 4:25 pm
|
12:00 noon
|
12:00 noon to 12:25 pm
|
Not applicable for After-Hours Trading
|
[Nil]
|
|
For Non-Holiday Trading products below:
- Stock Index Futures
- Stock Index Options
|
4:30 pm
|
4:30 pm to 4:45 pm
|
12:30 pm
|
12:30 pm to 12:45 pm
|
3:00 am if applicable for After-Hours Trading
|
[Nil]
|
|
For Holiday Trading products below:
- Stock Index Futures
- Stock Index Options
|
4:30 pm
|
4:30 pm to 4:45 pm
|
4:30 pm
|
4:30 pm to 4:45 pm
|
3:00 am if applicable for After-Hours Trading
|
[Nil]
|
|
For Early Close products below:
- MSCI Taiwan (USD) Index Futures and Options
- MSCI Taiwan 25/50 (USD) Index Futures
|
1:45 pm
|
1:45 pm to 2:00 pm
|
1:45 pm
|
1:45 pm to 2:00 pm
|
3:00 am if applicable for After-Hours Trading
|
[Nil]
|
|
For Late Close products below:
- Selected MSCI Price Return Products
- Selected MSCI NTR Products
|
6:30 pm
|
6:30 pm to 6:45 pm
|
6:30 pm
|
6:30 pm to 6:45 pm
|
3:00 am if applicable for After-Hours Trading
|
[Nil]
|
No such periods are prescribed in respect of HIBOR Futures, Metals Futures, Currency Futures and Currency Options.
Notwithstanding the foregoing, the Exchange shall have absolute discretion in prescribing the above time period.
b) Block Trade Order Entry period for MSCI Futures referencing to the Official Closing Value of the Underlying MSCI Index and the relevant Permissible Price Range
Block Trade Order Entry for MSCI Futures negotiated at a price referencing to the official closing value of the underlying MSCI Index may be executed within 30 minutes of the commencement of the next available trading session.
|
MSCI Futures Product Group
|
Commencement of the next available trading session that is a morning trading session
|
Period for Execution
|
Reference Price
|
Permissible Price Range
|
|
MSCI Taiwan (USD) Index Futures, MSCI Taiwan Net Total Return (USD) Futures, MSCI Taiwan 25/50 (USD) Index Futures; MSCI Taiwan 25/50 Net Total Return (USD) Index Futures
|
8:45 am
|
8:45 am to 9:15 am
|
Latest official closing value of the underlying MSCI index
|
+/-3% of the official closing value of the underlying MSCI index
|
|
Other MSCI Futures
|
9:00 am
|
9:00 am to 9:30 am
|
Exchange Participants shall indicate such Block Trades by using a reference free text “PPR2” at the Info Field.
Notwithstanding the foregoing, the Exchange shall have absolute discretion in prescribing the above time period and in determining the reference price for establishing the Permissible Price Range.
Information Dissemination
The price at which a Block Trade is executed will not be used in establishing the day-high, day-low, last traded price, Closing Quotation, or where applicable, the Final Settlement Price or Official Settlement Price of an Exchange Contract. The quantity of a Block Trade will be taken into account in the updating of the traded volume.
The symbol "EMP 1 BR" or "EMP D BR" will be displayed next to each Block Trade in the Ticker Window of HKATS terminal to differentiate the Block Trades from trades matched by orders entered into the Central Orderbook.
Clearing Arrangements
To protect the Clearing Houses from additional risk arising from Block Trades, the following measures will be implemented:
- Novation of Block Trade
The registration of a Block Trade shall not occur until the Clearing House is satisfied that the Block Trade recorded in the Transaction Register of HKATS is a valid Block Trade and all criteria applicable to the Block Trade, including but not limited to the deposit of any Special Block Trade Margin, have been satisfied. If an Exchange Participant does not receive any oral or written notice from the Exchange or the respective Clearing Houses within 30 minutes of its execution of a Block Trade that the Block Trade is not valid or not registered with or cleared by the respective Clearing Houses for any reason, the Block Trade shall be deemed to be registered with the respective Clearing Houses and subject to the process of novation.
- Special Block Trade Margin
If in the opinion of the Clearing House or the Exchange, the executed price of a Block Trade is not fair and reasonable or a significant deviation exists between the prevailing market price and the executed price, or if a Block Trade is executed at such a price that an intra-day margin call would have been triggered had the trade been executed as a normal trade in the Central Orderbook, the Clearing House may, within 30 minutes after the Block Trade is executed, call for Special Block Trade Margin from the relevant Clearing House Participants.
- HKCC products
Any Special Block Trade Margin payable by an HKFE Clearing Corporation (HKCC) Participant will be debited from its relevant Direct Margin Debiting System (DMDS) bank account. If the amount to be debited from the account of the HKCC Participant cannot be fully covered by the surplus funds present in its account, HKCC will inform the HKCC Participant by phone or by any other means as HKCC may consider appropriate and the HKCC Participant shall forthwith ensure that there are sufficient funds deposited in its relevant DMDS bank account for debiting purpose.
No amount will be credited to HKCC Participants as a result of any Special Block Trade Margin call.
HKCC Participants are advised to arrange additional cover to deal with any potential Special Block Trade Margin.
- SEOCH products
Where Special Block Trade Margin is called for, SEHK Options Clearing House (SEOCH) will fax a Special Block Trade Margin Call Notice to the relevant SEOCH Participant. The SEOCH Participant shall arrange enough funding in its bank accounts in order to cover the Special Block Trade Margin call within one hour after notification or such shorter period as may from time to time be prescribed by SEOCH.
- Deletion of Block Trade
If an Exchange Participant has been notified by the respective Exchanges or the Clearing Houses that a Block Trade executed by the Exchange Participant on HKATS is not valid or has not satisfied all the criteria applicable to the Block Trade, or the Block Trade will not be registered with or cleared by the respective Clearing Houses for any reason, or if the Exchange Participant fails to deposit any Special Block Trade Margin required by the respective Clearing Houses by the stipulated time, the Exchange in conjunction with the Clearing House will, without being required to give further notice to the Exchange Participant, delete the Block Trade as if the Block Trade had never been executed.
- Trade Adjustments
- HKCC products
For Block Trades executed during the T Session on a Trading Day, trade adjustment request may be submitted at any time 30 minutes prior to the System Input Cutoff Time on the same Trading Day or 30 minutes prior to the System Input Cutoff Time on the next Trading Day. For Block Trades executed during the T+1 Session on a Trading Day, trade adjustment requests may be submitted at any time prior to the T+1 Session Cutoff Time on the same Trading Day or 30 minutes prior to the System Input Cutoff Time on the next Trading Day.
Trade adjustment requests in respect of a Block Trade will be rejected by the Clearing House if the Block Trade is determined by the Clearing House to be invalid for any reason. In the event that a trade adjustment request relates to the internal or external transfer of a valid Block Trade, but the trade adjustment request is subsequently determined by the Clearing House or the Exchange to be invalid for any reason (including where the transferring or receiving HKCC Participant fails to pay or otherwise satisfy any Special Block Trade Margin arising from the trade adjustment request by the prescribed time), such trade adjustment request will be rejected by the Clearing House.
- SEOCH products
Any trade adjustment request in respect of a Block Trade shall be submitted by SEOCH Participants at any time 30 minutes prior to the System Input Cutoff Time on the same Business Day or 30 minutes prior to the System Input Cutoff Time on the next Business Day.
A trade adjustment request in respect of a Block Trade will be rejected by SEOCH if the Block Trade is determined by SEOCH to be invalid for any reason. In the event that a trade adjustment request relates to Open/Close or Account Transfer adjustment of a valid Block Trade, but the trade adjustment request is subsequently determined by SEOCH or the Exchange to be invalid for any reason (including where the transferring or receiving SEOCH Participant fails to pay or otherwise satisfy any Special Block Trade Margin arising from the trade adjustment request by the prescribed time), such trade adjustment request will be rejected by SEOCH. Notwithstanding the foregoing, SEOCH has the sole discretion to accept or reject any Block Trade adjustment, in particular but not limited to any trade adjustment request submitted after the prescribed deadline.
- Clearing House's Discretion on Registration of Block Trade
The Clearing House shall have absolute discretion to determine the acceptance or refusal for registering and clearing any Block Trade Contract executed through HKATS. The Clearing House shall give notice to the Exchange and to the relevant Clearing House Participants of any decision to refuse to register and clear any Block Trade Contract.
Market Surveillance
Each Exchange Participant shall have in place a telephone recording system to record all Block Trade orders received from and confirmation of executed Block Trades provided through the telephone. Each Exchange Participant shall ensure that such telephone recordings are maintained as part of its records for at least 3 months. Exchange Participants are reminded to observe Section 3.9 on Order Recording in the Code of Conduct for Persons Registered with the Securities and Futures Commission. Block trade activities between clients and Exchange Participants or two Exchange Participants shall be recorded and made available for checking on request. If necessary, the Exchange will require Participants to submit satisfactory evidence that Block Trades are executed in accordance with the Block Trade rules.
Block Trade Facility Educational Seminar (May 2021)
[Block Trade Facility Educational Seminar Materials]
Briefing Materials for Enhancements to Block Trade Facility in Derivatives Market
Frequently Asked Questions (FAQ)
[Frequently Asked Questions]
Note:
Clearing House refers to the HKFE Clearing Corporation (HKCC) and the SEHK Options Clearing House (SEOCH).
Exchange Participant refers to Futures Exchange Participants, who can use the Block Trade Facility for stock index futures, stock index options, stock futures, HIBOR futures, HIBOR strips, Dividend Futures, HSI Volatility Index Futures, Currency Futures, Currency Options, LME Metal Mini Futures, Gold Futures, Silver Futures and Iron Ore Futures, and Options Trading Exchange Participants, who can use the Block Trade Facility to trade stock options.
Chief Executive refers to the Chief Executive of the Futures Exchange for stock index futures, stock index options, stock futures, HIBOR futures, HIBOR strips, Dividend Futures, HSI Volatility Index Futures, Currency Futures, Currency Options, LME Metal Mini Futures, Gold Futures, Silver Futures and Iron Ore Futures, and the Chief Executive of the Stock Exchange for stock options.