mobile search

Determination Of Final Settlement Price

Volume weighted average price (VWAP) of all trades other than Block Trades in the expiring Contract Month that result from the matching on HKATS of (i) two orders in the individual market series; or (ii) a standard combination order and an order in the individual market series, and executed during the last thirty minutes of trading on the Last Trading Day, rounded to the nearest tick.

If there is no valid traded price during the last thirty minutes of trading on the Last Trading Day, the Final Settlement Price shall be determined, rounded to the nearest tick, with reference to the following in the order as they appear:

  1. the Final Settlement Price of the CNH Gold Futures Contract, converted to USD at such conversion rate as the Exchange may in its absolute discretion determine to be fair and reasonable, taking into account all relevant circumstances as it may consider appropriate;
  2. the mid point of the best bid and corresponding offer prices of the Spot Month Contract during the last thirty minutes of trading on the Last Trading Day; or
  3. any such relevant market indicators quoted or published at or immediately before the close of trading on the Last Trading Day, as the Exchange considers appropriate.

In addition, the Chief Executive of the Exchange has the power under the Regulations for trading Metal Futures Contracts to determine the Final Settlement Price under certain circumstances.

For example:

Steps

FSP Determination Procedures

Convert the CNH Gold Futures Contract FSP from the VWAP calculation by using the midpoint of best bid and best offer of USD/CNH rate at 16:29:59 (last quote if more than one) on LTD, rounded to the nearest tick. FSP is determined.

 

Assuming CNH Gold FSP = 259.20 and USD/CNH rate = 6.5123, then:

FSP1 = 259.20 / 6.5123

= 39.80

 

2.(a)

If the above is not achievable, then take the midpoint between the best bid price amongst the last bid price(s) that had any corresponding offer price(s) during the final thirty (30)-minute period and the best corresponding offer price of the expiring month, rounded to the nearest tick, subject to the consistency check as described in Steps 2(b) and 2(c) below.

 

Assuming Best Bid/Ask was 39.32/39.53, i.e. Spread1 = 21 ticks, then:

FSP2 = (39.32 + 39.53) / 2

= 39.43

 

(b)

Determine whether the bid-offer spread is consistent with those of other months or not:

 

If spread is 10 times1 wider than that of the most liquid month (i.e. contract month with highest volume on LTD), go to Step 3. Otherwise go to Step 2(c).

 

Assuming Best Bid/Ask of most liquid month at close was 40.05/40.10, i.e. Spread2 = 5 ticks, then:

Spread1 = 21 < (5 * 10), go to Step 2(c) to determine if FSP2 is valid as FSP.

If Spread1 = 21 > (Spread2 * 10), FSP2 is NOT valid as FSP, and then proceed to Step 3.

 

(c)

Determine whether the resultant FSP reflects the true market conditions or not:

 

If FSP is within 5% price tolerance2 of other available market indicators of a similar underlying that the Exchange considers appropriate around Market Close (last mid quote if more than one), the resultant FSP is determined. Otherwise go to Step 3.

 

Assuming market indicator A = USD1225.3/troy ounce, i.e. USD39.39/gram3, then:

ABSOLUTE VALUE of (FSP2 – A) = |39.43 – 39.39| = 0.04

Since 0.04 < 1.97 (5% of 39.39), FSP2 will be considered as valid FSP;

If NOT, then proceed to Step 3.

3.

If FSP cannot be determined from the above procedures, it will be determined based on any such relevant market indicators, e.g. relevant gold prices or fixings and the prices of such similar overseas instruments, in each case quoted or published at or immediately before the close of trading on the LTD, as the Exchange considers appropriate, rounded to the nearest tick.

 

FSP = An available market indicator + HK Premium/Discount

 

Assuming the Exchange selected market indicator determines at USD1226.1/troy ounce as the available market indicator, and USD0.5/troy ounce as the HK Premium over the selected market indicator, then:

 

FSP3 = [1226.1 + 0.5] / 31.1035
= 39.44

 

4.

If FSP cannot be determined from above procedures, then the Chief Executive of the Exchange, after consultation with the Commission, may either on his own or in conjunction with the Clearing House take such steps as he deems appropriate to enable the FSP to be determined.

 

 

Note: The above example adopts theoretical values and is for illustration only.

1. The acceptable range of spread indicated above is subject to change upon notification by the Exchange.

2. The percentage of price tolerance indicated above is subject to change upon notification by the Exchange.

3. 1 troy ounce = 31.1035 grams

 


Updated 16 Jul 2019

Loading