Adjustment of HHI Futures and Options Position Limits and Rollout of HFI Futures
Market Operations
29 Mar 2007
Hong Kong Exchanges and Clearing Limited (HKEx) announced today (Thursday) the following initiatives to further develop its derivatives market.
Adjusted
Position Limits for H-shares Index Futures and Options Contracts
Adjustments to position limits for the H-shares Index (HHI) futures and options contracts traded in the derivatives market (please see table below) will take effect on Friday, 30 March 2007 (tomorrow). The adjustments comply with the provisions of the Securities and Futures (Contracts Limits and Reportable Positions) (Amendment) (Gazette No LN 18 of 2007) Rules 2007, which will also take effect on the same day.
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New Position Limits
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From 30 March 2007
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H-shares Index futures and options contracts 12,000 long or short position limit delta for all contract months combined.
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Key change:
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Limits of 6,000 open futures contracts in any one contract month or 6,000 open option contracts in any one option series will no longer be applicable.
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Please see the attachment for examples.
HKEx suggests interested parties refer to the Guidance Note on Position Limits and Large Open Position Reporting Requirements issued by the Securities and Futures Commission for further information. The document is available on the SFC website (www.sfc.hk).
Rollout of Hang Seng
China
H-Financials Index Futures
HKEx has received regulatory approval to introduce Hang Seng China H-Financials Index (HFI) futures on Monday, 16 April this year. Details on HFI futures are available in the 12 March news release on the HKEx website.
ATTACHMENT
Examples on the adjusted position limits
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If an Exchange Participant or a client is long a total of 5,000 spot month futures contracts and long 5,000 calls in a certain option series (delta +0.7) and short 5,000 puts in another option series (delta –0.8), it has not breached the old limit but has exceeded the new limit as the aggregated delta of all positions is 12,500 [+5,000 + (+5,000 x +0.7) + (-5,000 x -0.8)].
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