Large Open Positions and Position Limits 
04/08/2017 
 

Large Open Positions (LOP) Reporting Level and Position Limits

1. Index Futures & Options
Index

Products

Large Open Positions /
Reporting Level

Position Limits

Hang Seng Index

Hang Seng Index Futures (HSIF)

500 open contracts, in any one Contract Month

10,000 position delta for HSIF, HSIO (including Flexible Index Options), MHIF and MHIO combined in all Contract Months. The position delta for MHIF or MHIO contracts shall not at any time exceed 2,000 

(The position delta of one MHIF Contract will have a value of 0.2 and the position delta of one MHIO Contract will be one-fifth of the position delta of the corresponding series in the HSIO Contract)

Hang Seng Index Options (HSIO)

500 open contracts, in any one series

Mini-Hang Seng Index Futures (MHIF)

2,500 open contracts, in any one Contract Month

Mini-Hang Seng Index Options (MHIO)

2,500 open contracts, in any one series

  

 

 

Hang Seng China Enterprises Index

Hang Seng China Enterprises Index Futures (HHIF)

500 open contracts, in any one Contract Month

12,000 position delta for HHIF, HHIO (including Flexible Index options), MCHF & MCHO combined in all Contract Months.  The position delta for MCHF or MCHO shall not at any time exceed 2,400

(The position delta of one MCHF or MCHO Contract will have a value of 0.2)

Hang Seng China Enterprises Index Options (HHIO)

500 open contracts, in any one series

Mini Hang Seng China Enterprises Index Futures (MCHF)

2,500 open contracts, in any one Contract Month

Mini Hang Seng China Enterprises Index Options (MCHO)

2,500 open contracts, in any one series

 

 

 

HSI Dividend Point Index

HSI Dividend Futures

 

1,000 open contracts, in any one Contract Month

 

NIL

 

HSCEI Dividend Point Index

HSCEI Dividend Futures

HSI Volatility Index HSI Volatility Index Futures

1,000 open contracts, in any one Contract Month

10,000 open contracts, in any one Contract Month

 
CES China 120 Index CES China 120 Index Futures 1,500 open contracts, in any one Contract Month

Position delta* for CES China 120 Index Futures and CES China 120 Index Options combined of 30,000 long or short in all Contract Months combined

*Position delta will be effective when CES 120 Options are introduced.

Hang Seng Mainland Properties Index Hang Seng Mainland Properties Index Futures 500 open contracts, in any one Contract Month 5,000 net contracts in all Contract Months combined
Hang Seng Software & Services Index Hang Seng Software & Services Index Futures
Hang Seng IT Hardware Index Hang Seng IT Hareware Index Futures
Hang Seng Mainland Healthcare Index Hang Seng Mainland Healthcare Index Futures
CES Gaming Top 10 Index CES Gaming Top 10 Index Futures
Hang Seng Mainland Banks Index Hang Seng Mainland Bank Index Futures 15,000 net contracts in all Contrcat Months combined
Hang Seng Mainland Oil & Gas Index Hang Seng Mainland Oil & Gas Index Futures
  
IBOVESPA Index IBOVESPA Futures
2,500 open contracts, in any one Contract Month 25,000 open contracts
MICEX Index MICEX Index Futures
Sensex Index Sensex Index Futures
FTSE/JSE Top 40 Index FTSE/JSE Top 40 Futures

2. Stock Futures & Options

Products Large Open Positions / Reporting Level Position Limits
Stock Futures

1,000 open contracts, in any one Contract Month

5,000 open contracts, in any one Contract Month

Stock Options

1,000 open contracts, per option class per expiry month

50,000, 100,000 or 150,000  open contracts, per option class in any one market direction* for all expiry months combined. For details
please refer to: http://www.hkex.com.hk/eng/prod
/so/classlist_so.htm

* long calls/short puts combined are in one direction and short calls/long puts combined are in another direction.

3. Currency Futures and Options

Products Large Open Positions / Reporting Level Positon Limits
USD/CNH Futures 500 open contracts, in any one Contract Month

For the USD/CNH Futures Contract, CNH/USD Futures Contract and USD/CNH Option Contract combined, a position delta of 8,000 long or short in all Contract Months combined provided that:

-Position delta for the Spot Month USD/CNH Futures Contract and the Spot Month USD/CNH Option Contract combined during the five Hong Kong Business Days up to and including the Expiry Day shall not exceed 2,000 long or short; and

-The position for CNH/USD Futures Contract shall not at any time exceed 16,000 net long or short contracts in all Contract Months combined

CNH/USD Futures 500 open contracts, in any one Contract Month

For the USD/CNH Futures Contract, CNH/USD Futures Contract and USD/CNH Option Contract combined, a position delta of 8,000 long or short in all Contract Months combined provided that:

-Position delta for the Spot Month USD/CNH Futures Contract and the Spot Month USD/CNH Option Contract combined during the five Hong Kong Business Days up to and including the Expiry Day shall not exceed 2,000 long or short; and

-The position for CNH/USD Futures Contract shall not at any time exceed 16,000 net long or short contracts in all Contract Months combined

USD/CNH Options 500 open contracts, in any one series For the USD/CNH Futures Contract, CNH/USD Futures Contract and USD/CNH Option Contract combined, a position delta of 8,000 long or short in all Contract Months combined provided that:

-Position delta for the Spot Month USD/CNH Futures Contract and the Spot Month USD/CNH Option Contract combined during the five Hong Kong Business Days up to and including the Expiry Day shall not exceed 2,000 long or short; and

-The position for CNH/USD Futures Contract shall not at any time exceed 16,000 net long or short contracts in all Contract Months combined

EUR/CNH Futures 500 open contracts, in any one Contract Month 12,000 net contracts in all Contract Months combined
JPY/CNH Futures
AUD/CNH Futures

4. Interest Rate Futures

Products Large Open Positions / Reporting Level Position Limits
5-year China Ministry of Finance Treasury Bond Futures

1,000 open contracts in any one Contract Month, per Exchange Participant for the Exchange Participant’s own behalf; and

1,000 open contracts in any one Contract Month per Client

20,000 net contracts in all Contract Months combined, per Exchange Participant for the Exchange Participant’s own behalf; and

20,000 net contracts in all Contract Months combined per Client

One-Month HIBOR Futures

1,000 open contracts, in any one Contract Month; or

4,000 open contracts, in all Contract Months

Nil
Three-Month HIBOR Futures

5. Commodity Futures

Products Large Open Positions / Reporting Level Position Limits

London Aluminium Mini Futures

500 open contracts, in any one Contract Month

25,000 net long or short in all Contract Months combined, per Exchange Participant for the Exchange Participant’s own behalf; and

25,000 net long or short in all Contract Months combined, per Client

London Zinc Mini Futures
London Lead Mini Futures
London Copper Mini Futures 500 open contracts, in any one Contract Month

50,000 net long or short in all Contract Months combined, per Exchange Participant for the Exchange Participant’s own behalf; and

50,000 net long or short in all Contract Months combined, per Client

London Nickel Mini Futures
London Tin Mini Futures 500 open contracts, in any one Contract Month

15,000 net long or short in all Contract Months combined, per Exchange Participant for the Exchange Participant’s own behalf; and

15,000 net long or short in all Contract Months combined, per Client

USD Gold Futures 500 open contracts, in any one Contract Month USD Gold Futures and CNH Gold Futures combined of 10,000 net long or short contracts in the Spot Month and 20,000 net long or short contracts in other months per Exchange Participant for the Exchange Participant's own behalf; and

USD Gold Futures and CNH Gold Futures combined of 10,000 net long or short contracts in the Spot Month and 20,000 net long or short contracts in other months per Client.
CNH Gold Futures

Frequently Asked Questions on Position Limits and Large Open Position Reporting

LOP Reporting Requirements

  1. Any HKFE Participant / Options Exchange Participant holding positions in excess of the Reporting Level for its own account or for any client shall: 
     
      • file a report (i.e. LOP report) with HKFE/SEHK (as the case may be) via ECP no later than 12:00 noon of the next business day after the positions are opened or accumulated, and
      • continue to file a LOP report for as long as the HKFE Participant / Options Exchange Participant holds positions in excess of the Reporting Level.
         
  1. Any HKFE Participant, with open position held for its own account or any client exceeding 60% of the position limit of stock index futures and options products with the same underlying index, is required to: 
     
      • Report all outstanding positions in the products concerned to HKFE, including those positions that are below the LOP Reporting Level.
         
  1. For the requirement on aggregation of positions held or controlled by different persons, positions held or controlled at multiple firms, and reporting for omnibus accounts, please refer to the relevant paragraphs under the
    SFC's Guidance Note on Position Limits and Large Open Position Reporting Requirements.


LOP Report Templates



Electronic Submission of LOP Report



Series Greeks Data Files (for calculation of position delta)



Links to Circulars



Links to Rules

For enquiry, please contact Market Surveillance and Monitoring at (852) 2840-3692/2840-3660 or lophkfe@hkex.com.hk


Excess Position Limit for ETF Market Makers Application and Reporting

  • Application
    • ETF Market Makers of ETFs tracking the Hang Seng Index (“HSI”) and Hang Seng China Enterprises Index (“HHI”) may apply for excess position limit of SEHK or HKFE products with corresponding underlying by filling in the application form.
  • Reporting
    • ETF Market Makers who are granted excess position limit for the purposes of hedging the risks arising from performing market making or liquidity providing activities are required to submit a reporting form on a regular basis via ECP. Please refer to the application form for the reporting obligation details.