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CES China 120 Index Futures

Overview

The CES China 120 Index, or CES 120, is the first index in the Cross Border Index Series introduced by China Exchanges Services Company Limited. The index covers a wide spectrum of China exposure by combining stocks listed in Hong Kong, Shanghai and Shenzhen in a single index. With broad coverage to capture the investment opportunities created by exposure to a comprehensive China investment universe, the CES 120 is an ideal benchmark and basis for futures, ETFs and other products.

The latest list of constituent stocks and compilation methodology are available on the website of  China Exchanges Services Company Limited  at  http://www.cesc.com

Only futures contract with comprehensive China stock exposure

The CES China 120 index futures contract is the only futures contract based on an underlying index that tracks both China’s A-shares and China stocks listed in Hong Kong. It is designed to provide investors with a convenient and cost efficient tool to simultaneously gain exposure to the China and Hong Kong stock markets. It also can serve as an effective risk management tool for institutions to hedge their China stock positions and as the primary tool by Exchange Traded Fund (ETF) market makers seeking to hedge their positions in China-related ETFs.

High correlation with onshore CSI 300 futures as well as FTSE China A50 futures and China A-share ETFs listed offshore

Market makers, Commodity Trading Advisors, relative value managers and other market participants can actively manage multiple arbitrage opportunities between A-share baskets, ETFs, futures listed in Mainland China and offshore and other instruments.

HKD denominated

CES 120 futures are traded in Hong Kong dollars (HKD) for easy access by a broad spectrum of retail and institutional investors globally.

Liquidity Provider programme

Liquidity Providers will provide continuous two way prices to facilitate trading and price discovery.

 


Updated 17 Aug 2017


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Contract Summary

CES China 120 Index Futures 

Item Contract Terms
Underlying Index CES China 120 Index  (CES 120)
HKATS Code CHH
Contract Multiplier HK$50 per index point
Minimum Fluctuation 0.5 index point
Contract Months Spot month, the next calendar month and the next two calendar quarter months
Trading Hours 9:15 a.m. - 12:00 noon & 1:00 p.m. - 4:30 p.m.
 (Expiring contract month closes at 3:00 p.m. on the Last Trading Day)
Last Trading Day Business Day immediately preceding the last Business Day of the Contract Month

If it falls on a Mainland China public holiday, the Last Trading Day will be the previous Hong Kong and Mainland China Business Day.
Final Settlement Price The average of the values of the CES China 120 Index compiled, computed and disseminated by China Exchanges Services Company Limited, rounded up to the nearest 1 decimal place, taken at five (5) minute intervals from 1:00 p.m. up to 3:00 p.m. on the Last Trading Day.
Minimum Volume Threshold for Block Trading 100 contracts
Position Limit 30,000 contracts
Transaction Costs Exchange Fee        HK$10.00^
Commission Levy   HK$0.54
Commission Rate   Negotiable

^ Exchange fee will be discounted to HK$5.00 till 31 December 2017


Margin Table

Trading Fees and Commission

Exchange Fee
HK$10.00^ per contract per side
Commission Levy
HK$0.54 per contract per side
Investor Compensation Levy*
HK$0.00 per contract per side
Total
HK$10.54 per contract per side
Commission
Negotiable
* The amount indicated above is subject to change from time to time.
^ Exchange fee will be discounted to HK$5.00 till 31 December 2017

List of Market Makers Liquidity Providers

Equity Index Products

There are liquidity provider and 3 types of market makers in the equity index products market:

- Primary Market Maker (PMM); and

- Market maker providing continuous quotes (CQMM); and

- Market maker responding to quote request (QRMM). 

 
Market Makers / Liquidity Providers
BNP CFT CTD HKF HUA IBG IMC ISS LQC MPF NHT NRA OPT SGS SPN  TBR YKR

Hang Seng Index Options

*

 

P

*

*

*

*

*

*

P

P

P

*

*

*

*

Mini-Hang Seng Index Options

 

 

*

*

*

*

*

*

*

*

*

*

*

*

 

*

Hang Seng China Enterprises Index Options 

*

 

P

*

*

*

*

 

*

P

P

P

*

*

*

*

Mini-Hang Seng China Enterprises shares Index Options 

 

 

*

 

 

*

*

*

 

 

*

*

 

*

*

   

*

HSI Dividend Point Index Futures

*

 

 

   

 

 

 

 

 

 

 

 

 

     

HSCEI Dividend Point Index Futures

*

 

                               
CES China 120 Index Futures

L

       

 

     

L

             
Sector Index Futures - Hang Seng  IT Hardware Index Futures 
                   L              
Sector Index Futures - Hang Seng Mainland Banks Index Futures   

L

     

L

 

   

L

             
Sector Index Futures - Hang Seng Mainland Oil & Gas Index Futures                  

L

             
Sector Index Futures - Hang Seng Mainland Properties Index Futures                  

L

             

L - Denotes Liquidity Provider
P - Denotes PMM
* - Denotes CQMM
√ - Denotes QRMM


Market Maker Obligations and Incentives

Introduction

HKEX’s derivatives market has both Market Maker (MM) Program and / or Liquidity Provider (LP) Program for different derivatives products.  The MM obligations and MM incentives under the MM Program for futures contracts and index options contracts are set out in the HKFE Rules.  The MM obligations and MM incentives under the MM Program for stock options contracts are set out in the Options Trading Rules of the Stock Exchange.  LP Program is a commercial arrangement for the Exchange to appoint LPs to provide liquidity for new products, which require more flexibility in terms of LP obligations and LP incentives and are not stipulated in the exchange rules and procedures. 

The derivatives products with MM Program and / or LP Program are as follows:

Product Type Contract MM Program LP Program
Futures Contracts Stock Index Futures HSI Volatility Index Futures
HSI Dividend Point Index Futures
HSCEI Dividend Point Index Futures
BRICS Futures
Sector Index Futures
CES China 120 Index Futures
Sector Index Futures
Stock Futures Single Stock Futures N/A
Currency Futures USD/CNH Futures EUR/CNH Futures
JPY/CNH Futures
AUD/CNH Futures
CNH/USD Futures
Interest Rate Futures 1-month HIBOR Futures
3-month HIBOR Futures
N/A
Commodity Futures N/A LME Mini Copper Futures
LME Mini Aluminum Futures
LME Mini Zinc Futures
LME Mini Nickel Futures
LME Mini Tin Futures
LME Mini Lead Futures
Option Contracts Stock Index Options Hang Seng Index Options
Mini Hang Seng Index Options
Hang Seng China Enterprises Index Options
Mini-Hang Seng China Enterprises Index Options
N/A
Stock Options Single Stock Options N/A
Currency Options N/A USD/CNH Options

Eligibility

Product Type MM LP
HKFE Futures Contracts and Option Contracts
  • HKFE Exchange Participant (EP), or
  • Corporate entity as client of EP must has an association to the EP and also must meet at least one of the requirements:
    i) be a regulated entity by the Securities and Futures Commission (SFC) to deal in securities or futures contracts, except as an introducing agent ; or licensed for similar activity by an overseas authority having a Memoradum of Understanding with SFC;
    Ii) be a licensed bank;
    Iii) have a credit rating of A- or above (S&P) or A3 or above (Moody’s); or
    iv) have a minimum paid-up capital of HK$50 mil. and minimum shareholder funds of HK$100 mil.
HKFE Exchange Participant or the client of the Exchange Participant
SEHK Stock Options Option Trading Exchange Participant N/A

For more details of the application procedures, please refer to the HKEX website at   http://www.hkex.com.hk/eng/market/hkex_part/criteria/otherapp/Table_Form_5.htm

LP and market making obligations and incentives

The following tables summarise the market making obligations and incentives in futures and options contracts:

CES120 Index Futures

Liquidity Provider Obligation Provision of Continuous Quotes (CQ)
Assign Contract Spot and next month
Minimum Percentage of Liquidity Providing Hours 70% of trading hours in a month (Type A)
80% of trdaing hours in a month (Type B)
Maximum Bid/Offer Spread (Index Points) 0.5% of bid price (Type A)
5 index points or 0.1% of bid price, whichever is higher (Type B)
Minimum Contract Size 5 contracts
Minimum Percentage of Liquidity Providing Hours 70% of trading hours in a month (Type A)
80% of trdaing hours in a month (Type B)

 

CES120 Index Futures

- 100% trading fee rebate and cross-product trading fee rebate (Type A)
- 100% trading fee rebate, cross-product trading fee rebate, market date fee rebate, hosting services fee rebate and OAPI sub- license fee wavier (Type B)

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