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Sector Index Futures

Introduction

Sector index futures are low cost and capital efficient products for investors to capture sector specific trading opportunities and manage their investment risk exposure more precisely.

 

What are Sector Index Futures

 

HKEX’s sector index futures market covers three major business sectors listed on the SEHK, including:

 

  • Hang Seng Mainland Oil & Gas Index (HSMOGI)
  • Hang Seng Mainland Banks Index (HSMBI)
  • Hang Seng Mainland Properties Index (HSMPI)

Key Features of Sector Indices

  • Constituents are selected from pure business segment to reflect their particular business and regulatory environments
  • Constituents are industry leaders limited to the top 10 and subject to liquidity screening
  • Weighting of each constituent is limited to 15 percent to avoid over-concentration

Why Sector Index Futures

  • Responsive to sectorial news and policy changes
  • Diversify firm-specific risks
  • High leverage and capital efficient
  • No stamp duty and other financing costs
  • Short sellable without stock borrowing
  • Long / short strategies made possible: market vs sector, sector vs sector and sector vs single stock futures
Sector Index Futures
Hang Seng Mainland Oil & Gas Index (HSMOGI)
Hang Seng Mainland Banks Index (HSMBI)
Hang Seng Mainland Properties Index (HSMPI)

Updated 04 Jul 2019

Contract Summary

Item Contract Terms
Underlying Index Hang Seng Mainland Oil & Gas Index
Hang Seng Mainland Banks Index
Hang Seng Mainland Properties Index
       
HKATS Code Hang Seng Mainland Oil & Gas Index         MOI
Hang Seng Mainland Banks Index               MBI
Hang Seng Mainland Properties Index         MPI
Contract Multiplier HK$50
Minimum Fluctuation 0.5 Index Point
Contract Months Spot, next calendar month & next two calendar quarter months
Trading Hours 9:15 am - 12:00 noon, 1:00 pm - 4:30 pm
(Expiring contract month closes at 4:00 pm on the Last Trading Day)
Last Trading Day The Business Day immediately preceding the last Business Day of the Contract Month
Final Settlement Price The average value of the sector index taken at (i) five (5) minute intervals from five (5) minutes after the start of the trading session on the Last Trading Day up to five (5) minutes before the end of the Continuous Trading Session of SEHK; and (ii) the close of trading on SEHK on the Last Trading Day.
Transaction Costs Exchange Fee                  HK$2.00
Commission Levy            HK$0.54
Commission Rate            Negotiable

List of Market Makers or 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). 

 

Below is the list of Liquidity Provider, PMM, CQMM and QRMM:

 
Market Makers / Liquidity Providers
 AKN BNP CCL CTD FLW  IBG IMC ISS JPM  LQC MLF  MPF MVN  NHT OPT SGS  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 #  * P
Mini-Hang Seng China Enterprises Index Options     * *     *         * * *   *
Hang Seng Index (Gross Total Return Index) Futures (“HSIGTRI Futures”)                         * L         
Hang Seng Index (Net Total Return Index) Futures (“HSINTRI Futures”)         L                 * L        
Hang Seng China Enterprises Index (Gross Total Return Index) Futures (“HSCEIGTRI Futures”)                         * L        
Hang Seng China Enterprises Index (Net Total Return Index) Futures (“HSCEINTRI Futures”)         L                 * L        
HSI Dividend Point Index Futures   *                                
HSCEI Dividend Point Index Futures   *                                  
HSI Volatility Index Futures                            *        
CES China 120 Index Futures        L                        
Sector Index Futures - CES Gaming Top 10 Index Futures                                    
Sector Index Futures - Hang Seng  IT Hardware Index Futures 
                                   
Sector Index Futures - Hang Seng Mainland Banks Index Futures          L                          
Sector Index Futures - Hang Seng Mainland Healthcare Index Futures                                    
Sector Index Futures - Hang Seng Mainland Oil & Gas Index Futures                                  
Sector Index Futures - Hang Seng Mainland Properties Index Futures         L                             
Sector Index Futures - Hang Seng Software & Service Index Futures                                    
MSCI AC Asia ex Japan Net Total Return Index (USD)          L                          

L - Denotes Liquidity Provider
P - Denotes PMM
* - Denotes CQMM (T Session)
# - Denotes CQMM (T and T+1 Sessions)
√ - Denotes QRMM (T Session)
@ - Denotes QRMM (T and T+1 Sessions)

Liquidity Providers Incentives

 

Market Making Obligation                    
Provision of
Continuous Quotes (CQ)
Response to
Quote Requests (QR)
Assigned Contract
Not less than 2 contract months
[i.e. Spot month and the next calendar month] 
All contract months
Trading Requirement
Provision of CQ for not less than
70% of the trading hours in each calendar month
Response to not less than 70%
of the QR in each calendar month
Maximum Time Limit for Responding to QR
N/A
Response to a QR within 20 seconds of the QR
Minimum Display Time  Not fewer than 10 seconds, unless a change in the level of the underlying index occurs during the 10 seconds display period, in which case, market makers may change their quotes
 Maximum Bid/Offer Spread   
Hang Seng Mainland Oil & Gas Index Futures 4Index points or 0.2% of bid price, whichever is higher
Hang Seng Mainland Banks Index Futures 6 Index points or 0.2% of bid price, whichever is higher
Hang Seng Mainland Properties Index Futures 7Index points or 0.2% of bid price, whichever is higher
Hang Seng Mainland Healthcare Index Futures 8Index points or 0.2% of bid price, whichever is higher
Hang Seng IT Hardware Index Futures 6 Index points or 0.2% of bid price, whichever is higher
Hang Seng Software & Services IndexFutures 11Index points or 0.2% of bid price, whichever is higher
CES Gaming Top 10 Index Futures 13Index points or 0.2% of bid price, whichever is higher
 Minimum Quote Size  Not fewer than 5 contracts

Market Maker Incentives for Sector Index Futures

Product
Market Maker
Fee (HK$)
Market Maker in Other Stock Index
Products with same underlying Index
Fee (HK$)
Standard
Exchange
Fee (HK$)
Sector Index Futures
0.40
n.a.
2.00

 

Liquidity Provider Obligations
Provision of Continuous Quotes (CQ)
Assigned Contract
Spot month and next month
Maximum Bid/ Offer Spread
  • CES Gaming Top 10 Index Futures
    13 index points or 0.15% of bid price, whichever is higher (Type A)
  • Hang Seng Mainland Banks Index Futures
    6 Index points or 0.20% of bid price, whichever is higher (Type A)
    4 Index points or 0.15% of bid price, whichever is higher (Type B)
  • Hang Seng Mainland Properties Index Futures
    7 Index points or 0.20% of bid price, whichever is higher (Type A)
    3 Index points or 0.15% of bid price, whichever is higher (Type B)
  • Hang Seng Mainland Oil & Gas Index Futures 
    4 Index points or 0.20% of bid price, whichever is higher (Type A)
    4 Index points or 0.15% of bid price, whichever is higher (Type B)
  • Hang Seng IT Hardware Index Futures
    6 Index points or 0.20% of bid price, whichever is higher (Type A)
  • Hang Seng Software & Service Index Futures
    11 Index points or 0.20% of bid price, whichever is higher (Type A)
Hang Seng Mainland Healthcare Index Futures
8 Index points or 0.20% of bid price, whichever is higher (Type A)
Minimum Quote Size
5 Contracts
 
Minimum % of Trading Hours Coverage
 
70% of trading hours in a month (Type A)
80% of trading hours in a month (Type B)

Liquidity Providers Incentives

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

 

 

Updated 21 Sep 2017

Updated 04 Jul 2019

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