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Market Making/Liquidity Providing 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
HSI Volatility Index Futures
MSCI Asia ex Japan Index Futures
Hang Seng Total Return Index Futures
HSCEI Total Return Index Futures
Sector Index Futures

Stock Futures Single Stock Futures Single Stock Futures
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

USD Gold Futures
CNH Gold Futures  
Iron Ore Futures         
Option Contracts

Stock Index Options Hang Seng Index (HSI) Options
Weekly Hang Seng Index (WHSI) Options
Mini-Hang Seng Index (Mini-HSI)Options
Hang Seng China Enterprises Index (HSCEI) Options
Weekly Hang Seng China Enterprises Index (WHSCEI) Options
Mini-Hang Seng China Enterprises Index (Mini-HSCEI)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 Memorandum 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

LP and market making obligations and incentives

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

Stock Index Futures (Except Sector Index Futures, Dividend Point Index Futures and Volatility Index Futures, please refer the tables below for the requirements)

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 Not greater than 15 minimum fluctuations

Minimum Quote Size
 
  Not fewer than 5 contracts

Sector Index Futures 

Market Maker Obligations

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 4 Index 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 7 Index points or 0.2% of bid price, whichever is higher
Hang Seng Mainland Healthcare Index Futures 8 Index 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 Index Futures 11 Index points or 0.2% of bid price, whichever is higher
CES Gaming Top 10 Index Futures  13 Index points or 0.2% of bid price, whichever is higher
Minimum Quote Size
 
  Not fewer than 5 contracts
 

Dividend Index Point Futures  

Market Making
Obligation
Provision of
Continuous Quotes (CQ)
Response to
Quote Requests (QR)
Assigned Contract All five yearly contracts  
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 30.00 points or 10% of bid price, whichever is higher
Minimum Quote Size 50 contracts

 HSI Volatility Index Futures

Market Making
Obligation
Provision of
Continuous Quotes (CQ)
Response to
Quote Requests (QR)
Assigned Contract All contract months
(Spot month and the next two calendar 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
 
0.50 points or 5% of bid price,  whichever is higher 
Minimum Quote Size
 
Not fewer than 5 contracts

Stock Index Options (Excluding Weekly Index Options)

There are three types of market makers in HKEX’s stock index options market:
- Primary Market Maker (PMM);
- Market maker providing continuous quotes (CQMM); and
- Market maker responding to quote request (QRMM). 

For details of PMM Program, please refer to the hyperlink below:

http://www.hkex.com.hk/eng/market/dv_tradfinfo/pmm.htm

Below is a summary of the CQMM and QRMM program (T Session):
Market Making
Obligation
Provision of
Continuous Quotes (CQ)
Response to
Quote Requests (QR)
Assigned Series Not less than 50 option series* (except that, not less than 25 option series for Mini-Hang Seng Index Options and Mini-HSCEI Index Options**) All QR issued (except for QR in long dated index options)
Trading Requirement Provision of CQ 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 less than 20 seconds, unless a change in the price level of the Spot Month Futures Contracts of the underlying index occurs during the 20 seconds display period, in which case, market makers may change their quotes
 
Maximum bid/offer spread
(Except for Long Dated Index Options)
For HSI Options and HSCEI  Options: 
Month Price Max. bid/offer spread
1st, 2nd, 3rd, 4th calendar  1-750 points Max (30 points, 10% of bid)
> 750 points 75 points
1st , 2nd quarter  1-750 points Max (40 points, 20% of bid)
> 750 points 150 points
3rd quarter  1-750 points Max (50 points, 25% of bid)
> 750 points 200 points
 
For Mini-HSI Options and Mini-HSCEI Options: 
Month Price Max. bid/offer spread
1st, 2nd calendar  1-750 points Max (30 points, 10% of bid)
> 750 points 75 points
1st quarter  1-750 points Max (40 points, 20% of bid)
> 750 points 150 points
2nd quarter  1-750 points Max (40 points, 20% of bid)
> 750 points 150 points
Minimum Quote Size
 
For HSI Options and HSCEI Options 
Month Min. Quote Size
1st, 2nd, 3rd, 4th calendar 5 contracts
1st , 2nd, 3rd quarter 3 contracts
For Mini-HSI Options and Mini-HSCEI Options 
Month Min. Quote Size
1st , 2nd calendar 5 contracts
1st , 2nd quarter 3 contracts

* For HSI Options and HSCEI Options, CQMM should provide bid/offer quotes in at least 50 option series chosen from the following selection pool:  

Contract Month Option Series Series For Selection
Call Put
Spot month  Out-of-the-Money 15 15
 In-the-Money 2 2
2nd Calendar Month  Out-of-the-Money 15 15
 In-the-Money 2 2
3rd Calendar Month  Out-of-the-Money 15 15
 In-the-Money 2 2
4th Calendar Month  Out-of-the-Money 10 10
 In-the-Money 2 2
1st Quarter Month  Out-of-the-Money 10 10
 In-the-Money 2 2
2nd Quarter Month  Out-of-the-Money 10 10
 In-the-Money 2 2
3rd Quarter Month  Out-of-the-Money 10 10
 In-the-Money 2 2
Total 198

   ** For Mini-HSI Options and Mini-HSCEI Options, CQMM should provide bid / offer quotes in at least 25 option series chosen from the following selection pool:

Contract Month Option Series Series For Selection
Call Put
Spot month  Out-of-the-Money 15 15
 In-the-Money 2 2
2nd Calendar Month  Out-of-the-Money 15 15
 In-the-Money 2 2
1st Quarter Month  Out-of-the-Money 10 10
 In-the-Money 2 2
2nd Quarter Month  Out-of-the-Money 10 10
 In-the-Money 2 2
Total 116

Below is a summary of the CQMM and QRMM program (T +1 Session):

Market Making
Obligation

Provision of
Continuous Quotes (CQ)

Response to
Quote Requests (QR)

Assigned Series

Not less than 50 option series* (except that, not less than 25 option series for Mini-Hang Seng Index Options **)

All QR issued (except for QR in long dated index options)

Trading Requirement

Provision of CQ not less than 35%
of the trading hours in each calendar month

Response to not less than 35%
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 less than 20 seconds, unless a change in the price level of the Spot Month Futures Contracts of the underlying index occurs during the 20 seconds display period, in which case, market makers may change their quotes

Maximum bid/offer spread
(Except for Long Dated Index Options)

For HSI Options and HSCEI Options:

Month

Price

Max. bid/offer spread

1st, 2nd, 3rd, 4th calendar

1-750 points

Max (40 points, 20% of bid)

> 750 points

150 points

1st ,2nd quarter

1-750 points

Max (60 points, 30% of bid)

> 750 points

225 points

3rd quarter

1-750 points

Max (80 points, 40% of bid)

> 750 points

300 points


For Mini-HSI Options:

Month

Price

Max. bid/offer spread

1st, 2nd calendar

1-750 points

Max (40 points, 20% of bid)

> 750 points

150 points

1st quarter

1-750 points

Max (60 points, 30% of bid)

> 750 points

225 points

2nd quarter

1-750 points

Max (60 points, 30% of bid)

> 750 points

225 points

Minimum Quote Size

For HSI Options and HSCEI Options

Month

Min. Quote Size

1st, 2nd, 3rd, 4th calendar

3 contracts

1st ,2nd, 3rd quarter

2 contracts

For Mini-HSI Options

Month

Min. Quote Size

1st, 2nd calendar

3 contracts

1st ,2ndquarter

2 contracts

* For HSI Options and HSCEI Options, CQMM in the T+1 Session should provide bid/offer quotes in at least 50 option series chosen from the following selection pool:  

Contract Month

Option Series

Series For Selection

Call

Put

Spot month

Out-of-the-Money

15

15

In-the-Money

2

2

2ndCalendar Month

Out-of-the-Money

15

15

In-the-Money

2

2

3rdCalendar Month

Out-of-the-Money

15

15

In-the-Money

2

2

4th Calendar Month

Out-of-the-Money

10

10

In-the-Money

2

2

1st Quarter Month

Out-of-the-Money

10

10

In-the-Money

2

2

2nd Quarter Month

Out-of-the-Money

10

10

In-the-Money

2

2

3rd Quarter Month

Out-of-the-Money

10

10

In-the-Money

2

2

Total

198

** For Mini-HSI Options, CQMM in the T+1 Session should provide bid / offer quotes in at least 25 option series chosen from the following selection pool:

Contract Month

Option Series

Series For Selection

Call

Put

Spot month

Out-of-the-Money

15

15

In-the-Money

2

2

2nd Calendar Month

Out-of-the-Money

15

15

In-the-Money

2

2

1st Quarter Month

Out-of-the-Money

10

10

In-the-Money

2

2

2nd Quarter Month

Out-of-the-Money

10

10

In-the-Money

2

2

Total

116

Weekly Stock Index Options

MM for T Session

MM for T+1 Session

For MM that provides continuous quote (CQ):

Min. % of trading hours coverage

70% of T Session

70% of T+1 Session

Min. Quote series

(selected from the pool*)

30 series in total for spot week and next week contracts (or 15 series if only one contract is available.**)

30 series in total for spot week and next week contracts (or 15 series if only one contract is available.**)

Min. Quote Size

5 contracts

5 contracts

Max. bid/offer spread

Price

1-750 points

>750 points

Max. bid/offer spread

Max (30 points, 10% of bid)

75 points

Max. bid/offer spread

Max (40 points, 20% of bid)

150 points

For MM that responds to quote request (QR):

Min. % of QR responses

70% of QR issued in T Session

70% of QR issued in T+1 Session

Max. Time to respond to QR and Min. Display time

20 sec

20 sec

Min. Quote Size

5 contracts

5 contracts

Max. bid/offer spread

Price

1-750 points

>750 points

Max. bid/offer spread

Max (30 points, 10% of bid)

75 points

Max. bid/offer spread

Max (40 points, 20% of bid)

150 points

*CQMM can select options series from the following CQ series selection pool:

Contract Month

Moneyness

Call

Put

Spot Week

Nearest OTM

14

14

Nearest ITM

2

2

Next Week

Nearest OTM

14

14

Nearest ITM

2

2

Total

64

Market Maker (MM) Incentives for Stock Index Futures and Options

Product Market Maker
Fee (HK$)
Market Maker in Other Stock Index
Products with same underlying Index
Fee (HK$)*
Standard
Exchange
Fee (HK$)
Hang Seng Index Futures (HSIF) n.a. 3.50 (MM in HSIO, MHIF or MHIO) 10.00
Hang Seng Index Options (HSIO) 2.00** 3.50 (MM in MHIF or MHIO) 10.00
Weekly Hang Seng Index Options (WHSI) 2.00**  3.50 (MM in HSIO, MHIF or MHIO)  10.00
Mini Hang Seng Index Futures (MHIF) n.a. 1.00 (MM in HSIO, WHSIO or MHIO) 3.50
Mini Hang Seng Index Options (MHIO) 0.40** 0.70 (MM in HSIO, WHSIO or MHIF) 2.00
Hang Seng China Enterprises Index Futures (HHIF) n.a. 1.00 (MM in HHIO or MCHO) 3.50
Hang Seng China Enterprises Index Options (HHIO) 0.50** 1.00 (MM in HHIFor MCHO) 3.50
Weekly Hang Seng China Enterprises Index Options (WHHIO)  0.50**  1.00 (MM in HHIO or MCHO)  3.50
Mini-Hang Seng China Enterprises Index Futures (MCHF) n.a. 0.70 (MM in HHIO, WHHIO or MCHO) 2.00
Mini-Hang Seng China Enterprises Index Options (MCHO) 0.20 0.35 (MM in HHIO) 1.00
HSI Dividend Futures 0.60 n.a. 3.00
HSCEI Dividend Futures 0.30 n.a. 1.50
HSI Volatility Index Futures 2.00 n.a. 10.00
Sector Index Futures 0.40 n.a. 2.00

* The number of contracts that are eligible for a reduced Exchange Fee may be limited as specified in the Trading Procedures relating to Stock Index Futures and Stock Index Options contained in the HKFE Rules
**
If the MM performance in T+1 Session is better than the MM Obligation in
T+1 Session, trading fees for the products which the MM make market in the T+1 Session may be waived.  Please refer to the circular (ref: MO/DT/026/18) http://www.hkex.com.hk/-/media/HKEX-Market/Services/Circulars-and-Notices/Participant-and-Members-Circulars/HKFE/2018/MO_DT_026_18_e.pdf for details.

Additional Waiver of Monthly Sub-licence fee for OAPI (CQMM of Weekly Stock Index Options)

No. of OAPI

MM for T Session

MM for T+1 Session

Weekly HSI Options

1 OAPI (HK$2,600 per month)

4 OAPIs (HK$10,400 per month)

Weekly HSCEI Options

1 OAPI (HK$2,600 per month)

4 OAPIs (HK$10,400 per month)


Liquidity Providers Obligations and Incentives of Stock Index Futures
Obligations 

The minimum CQ obligations for each product and applicable LP types are as follows:

 

CQ Obligations

LP Quota

Products

LP Type

Assigned Contract Months

Minimum Quote Quantity

(contracts)

Minimum % Trading Hours Coverage

in T or T+1 Session

Maximum Bid/Offer Spread

i.e. Higher of (a) and (b):

(a) No. of index points

(b) Percentage of bid price

MBI

Type 2

Spot and next calendar month

 

5

70% (T)

3

0.10%

3

MOI

Type 2

5

70% (T)

3

0.10%

3

MPI

Type 2

5

70% (T)

9

0.15%

3

C120

Type 2

5

70% (T)

9

0.20%

1

VHS

Type 2

Spot and next 2 calendar months

5

70% (T)

0.5

5%

3

MXJ

Type 1

Nearest 5 calendar quarter months

5

70% (T)

n/a

1st quarter: 0.25%; others: 2%

1

Type 1

Nearest 5 calendar quarter months

5

50% (T+1)

n/a

1st quarter: 0.25%; others: 2%

1

TRI Basket

Type 1

Spot and next calendar month

5

70% per contract (T)

n/a

HST / HSN: 0.25%;

HHT / HHN: 0.40%

2

Type 1

Spot and next calendar month

5

70% per contract (T+1)

n/a

HST / HSN: 0.25%;

HHT / HHN: 0.40%

1

Incentives

- Trading fee discount, cross-product trading fee rebate, market date fee rebate, hosting services fee rebate and OAPI sub- license fee wavier

 
Stock Futures

Market Maker Scheme

Market Making Obligation

Market Making
Obligation
Provision of
Continuous Quotes (CQ)
Response to
Quote Requests (QR)
Assigned Contract At least the first 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 10 seconds
Minimum Display Time Not less than 20 seconds, unless a change in the nominal price of the underlying stock occurs during that period, in which case, the MM may change its Quote provided
 
Maximum Bid/Offer Spread
 
4 times the best bid / offer spread of the underlying stock or HK$0.15, whichever is greater
Minimum Quote Size
 
A minimum of 10 contracts

 

Market Maker Incentives for Stock Futures

Product Market Maker Fee
(HK$)
Standard Exchange Fee
(HK$)
Stock Futures Subject to fulfilment the obligations,  Market Maker in HK Stock Futures will be entitled to trading fee waiver (except for stock futures on Tracker Fund of Hong Kong and Hang Seng China Enterprises Index ETF)
 Tier 1: HK$3.0;  Tier 2: HK$1.0; Tier 3: HK$0.5

Liquidity Provider Program

Liquidity Provider be required to provide continuous quotes in any of the stock futures contracts below:

Stock Code

Underlying Stock

Minimum Quote Quantity (contracts)

Assigned Contract Months

Minimum % Trading Hours Coverage

Max Bid/Ask Spread

5

HSBC Holdings Plc.

10

Spot and next calendar month

70%

4 times the best bid / offer spread of the underlying stock or HK$0.15, whichever is greater

388

Hong Kong Exchanges and Clearing Limited

10

700

Tencent Holdings Ltd.

10

939

China Construction Bank Corporation

10

941

China Mobile Limited

10

1398

Industrial and Commercial Bank of China Limited

10

2318

Ping An Insurance (Group) Company of China, Ltd.

10

2822

CSOP FTSE China A50 ETF

10

2823

iShares FTSE A50 China Index ETF

10

3188

China AMC CSI300 Index ETF

10

27

Galaxy Entertainment Group Limited

                 5 

Spot and next calendar month

70%

4 times the best bid / offer spread of the underlying stock or 0.5% of Quotation bid, whichever is greater

175

Geely Automobile Holdings Limited

5

386

China Petroleum & Chemical Corporation

20

  788  China Tower Corporation Limited  5

883

CNOOC Limited

20

914

Anhui Conch Cement Company Limited

5

1299

AIA Group Limited

5

1810

XiaoMi Corporation

5

1918

Sunac China Holdings Limited

5

1928

Sands China Ltd

5

2007

Country Garden Holdings Company Limited

5

2018

AAC Technologies Holdings Inc

2

2382

Sunny Optical Technology

2

2628

China Life Insurance Company Limited

20

3333

China Evergrande Group

5

3968

China Merchants Bank Co., Ltd.

10

 Note: LP shall not be required to fulfil liquidity providing requirements during the first five minutes of each morning trading session.

Incentives for Liquidity Providers

a) Subject to fulfilment the obligations, Liquidity Providers will be entitled to trading fee waiver (except for stock futures on Tracker fund oh Hong Kong and Hang Seng Enterprises Index ETF)

b) Waiver of two OMnet Application Programming Interface (OAPI) monthly sub-licence fee (i.e. HK$5,200 per month or equivalent) per selected stock futures contract; and

c) Waiver of one-off fee for applying for an increase in the Central Gateway throughput rate  (Securities Throttle) by one standard Securities Throttle rate (i.e. HK$50,000) per selected stock futures contract.

 

Stock Options

There are three types of market makers in HKEX’s stock options market: 

- Primary Market Maker (PMM);

- Market maker providing continuous quotes (CQMM); and

- Market maker responding to quote request (QRMM). 

For details of PMM Program, please refer to the hyperlink below:

http://www.hkex.com.hk/eng/market/dv_tradfinfo/pmm.htm

 Below is a summary of the CQMM and QRMM program:

Market Making
Obligation
Provision of
Continuous Quotes (CQ)
Response to
Quote Requests (QR)
Assigned Series # Not less than 50 option series in an option class
 
QR issued in options series in an option class
Trading Requirement Provision of CQ for the assigned option series in an option class for 50% or more of the trading hours in a month
 
Response to 50% or more QR in an option class in a month
Maximum Time Limit for Responding to QR
 
N/A Response within 20 seconds on receipt of  a QR
Minimum Display Time (QR) N/A At least 20 seconds, unless a change in the underlying stock price occurs during the 20 seconds display period
 
Maximum Bid/Offer Spread Option Series Liquidity Level 1* Liquidity Level 2*
Spot month with 3 days or less to expiry 20% of the bid price of the quote or 3 times the best bid/offer spread of the underlying securities, whichever is the lower. 20% of the bid price of the quote or 4 times the best bid/offer spread of the underlying securities, whichever is the lower.
 
Spot month with 4 days or more to expiry and the next 3 calendar expiry months 10% of the bid price of the quote or 3 times the best bid/offer spread of the underlying securities, whichever is the lower. 10% of the bid price of the quote or 4 times the best bid/offer spread of the underlying securities, whichever is the lower.
 
The next 2 calendar quarter expiry months 20% of the bid price of the quote or 4 times the best bid/offer spread of the underlying securities, whichever is the lower.
 
20% of the bid price of the quote or 6 times the best bid/offer spread of the underlying securities, whichever is the lower.
The 3rd calendar quarter expiry month and any other longer-dated expiry month as the Exchange deems necessary 20% of the bid price of the quote or 8 times the best bid/offer spread of the underlying securities, whichever is the lower.
 
20% of the bid price of the quote or 12 times the best bid/offer spread of the underlying securities, whichever is the lower.
Minimum Quote Size Liquidity Level  1 -  30 contracts Liquidity Level  2 -  15 contracts
 

  *   Liquidity Level Classification
“Notwithstanding the above, a Market Maker that provides quotes in option classes with a minimum price fluctuation of HK$0.01 or RMB0.01 will not be obliged to quote a spread narrower than the best bid/offer of the underlying security (at the time of issuing the quote) plus 5 minimum price fluctuations (if the numerical value of the nominal price of such underlying security is below 100) or plus 10 minimum price fluctuations (if the numerical value of the nominal price of the underlying security is equal to or above 100), and a Market Maker that provides quotes in option classes with a minimum price fluctuation of HK$0.001 or RMB0.001 will not be obliged to quote a spread narrower than HK$0.03 or RMB0.03.”

 

Liquidity levels of option classes are determined by the Exchange from time to time based on the trading liquidity in the underlying stocks  

 

Stock Option Class HKATS Code

From 26 November 2019       
to 28 November 2019   

From 29 November 2019       
to 30 December 2019
           
  Liquidity Level Minimum Quote Size Liquidity Level Minimum Quote Size
iShares FTSE A50 China Index ETF A50 1 30 lots 1 30 lots
AAC Technologies Holdings Inc AAC 2 15 lots 2 15 lots
Anhui Conch Cement Company Limited ACC 2 15 lots 2 15 lots
AIA Group Limited AIA 2 15 lots 2 15 lots
Air China Ltd.   AIR 2 15 lots 2 15 lots
Alibaba Group Holding Limited *  ALB 2 15 lots 2 15 lots 
Aluminum Corporation of China Limited ALC 1 30 lots 1 30 lots
ChinaAMC CSI 300 Index ETF AMC 1 30 lots 1 30 lots
Bank of Communications Company Limited BCM 1 30 lots 1 30 lots
The Bank of East Asia, Limited BEA 1 30 lots 1 30 lots
BOC Hong Kong (Holdings) Limited BOC 1 30 lots 1 30 lots
Budweiser Brewing Company APAC Limited BUD 2 15 lots 2 15 lots 
BYD Company Limited BYD 2 15 lots 2 15 lots
China Communications Construction Company Limited CCC 1 30 lots 1 30 lots
China Coal Energy Company Limited CCE 1 30 lots 1 30 lots
China Cinda Asset Management Company Limited CDA 1 30 lots 1 30 lots
CGN Power Co., Ltd CGN 1 30 lots 1 30 lots
China Mobile Limited CHT 1 30 lots 1 30 lots
China Unicom (Hong Kong) Limited CHU 1 30 lots 1 30 lots
CITIC Limited CIT 1 30 lots 1 30 lots
CK Hutchison Holdings Limited CKH 2 15 lots 2 15 lots
CK Asset Holdings Limited CKP 2 15 lots 2 15 lots
China Life Insurance Company Limited CLI 1 30 lots 1 30 lots
CLP Holdings Limited CLP 2 15 lots 2 15 lots
China Merchants Bank Company Limited CMB 1 30 lots 1 30 lots
CNOOC Limited CNC 1 30 lots 1 30 lots
Country Garden Holdings Co. Ltd COG 2 15 lots 2 15 lots
China Overseas Land & Investment Limited  COL 2 15 lots 2 15 lots
Cathay Pacific Airways Limited CPA 2 15 lots 2 15 lots
China Petroleum & Chemical Corporation CPC 1 30 lots 1 30 lots
China Pacific Insurance (Group) Company Limited CPI 1 30 lots 1 30 lots
China Railway Construction Corporation Limited CRC 1 30 lots 1 30 lots
China Railway Group Limited  CRG 1 30 lots 1 30 lots
China Resources Land Ltd CRL 2 15 lots 2 15 lots
CSOP FTSE China A50 ETF CSA 1 30 lots 1 30 lots
China Shenhua Energy Company Limited CSE 1 30 lots 1 30 lots
CSPC Pharmaceutical Group Ltd.   CSP 2 15 lots 2 15 lots
China CITIC Bank Corporation Limited CTB 1 30 lots 1 30 lots
China Telecom Corporation Limited CTC 1 30 lots 1 30 lots
CITIC Securities Co. Ltd. CTS 2 15 lots 2 15 lots
Dongfeng Motor Group Company Limited DFM 2 15 lots 2 15 lots
China Evergrande Group  EVG 2 15 lots 2 15 lots
Guangzhou Automobile Group Co. Ltd. GAC 2 15 lots 2 15 lots
Geely Automobile Holdings Ltd. GAH 2 15 lots 2 15 lots
Galaxy Entertainment Group Limited GLX 2 15 lots 2 15 lots
Great Wall Motor Company Limited GWM 1 30 lots  1 30 lots
Haitong Securities Co, Ltd HAI 2 15 lots 2 15 lots
Hang Seng H-Share Index ETF HCF 1 30 lots 1 30 lots
Power Assets Holdings Limited HEH 2 15 lots 2 15 lots
Hong Kong Exchanges and Clearing Limited HEX 1 30 lots 1 30 lots
Hengan International Group Co. Limited HGN 2 15 lots 2 15 lots
HSBC Holdings Plc. HKB 1 30 lots 1 30 lots
The Hong Kong and China Gas Company Limited HKG 1 30 lots 1 30 lots
Henderson Land Development Company Limited HLD 2 15 lots 2 15 lots
Huaneng Power International, Inc. HNP 1 30 lots 1 30 lots
Hang Seng Bank Limited  HSB 2 15 lots 2 15 lots
Jiangxi Copper Company Limited JXC 2 15 lots 2 15 lots
Kunlun Energy Company Limited KLE 2 15 lots 2 15 lots
Kingsoft Corporation Limited KSO 1 30 lots 1 30 lots
Lenovo Group Limited LEN 1 30 lots 1 30 lots
Li & Fung Limited LIF 1 30 lots 1 30 lots
Link Real Estate Investment Trust LNK 2 15 lots 2 15 lots
China Mengniu Dairy Co Ltd MEN 2 15 lots 2 15 lots
Meituan Dianping MET 2 15 lots 2 15 lots 
MGM China Holdings Limited MGM 1 30 lots 1 30 lots
XiaoMi Corporation MIU  1 30 lots 1 30 lots
China Minsheng Banking Corporation MSB 1 30 lots 1 30 lots
MTR Corporation Limited MTR 1 30 lots 1 30 lots
China National Building Material Company Limited NBM 1 30 lots 1 30 lots
New China Life Insurance Co. Ltd NCL 2 15 lots 2 15 lots
New World Development Company Limited NWD 1 30 lots 1 30 lots
Ping An Insurance (Group) Company of China, Limited PAI 1 30 lots 1 30 lots
PetroChina Company Limited PEC 1 30 lots 1 30 lots
PICC Property and Casualty Company Limited PIC 2 15 lots 1 30 lots
The People’s Insurance Company (Group) of China Limited PIN 1 30 lots 1 30 lots
Guangzhou R&F Properties Company Limited RFP 1 30 lots 1 30 lots
Sands China Limited SAN 1 30 lots 1 30 lots
Sun Hung Kai Properties Limited SHK 2 15 lots 2 15 lots
Sunny Optical Technology (Group) Co. Ltd. SNO 2 15 lots 2 15 lots
Sinopharm Group Co. Ltd. SNP 2 15 lots 2 15 lots 
Standard Chartered PLC STC 1 30 lots 1 30 lots
Sunac China Holdings Ltd. SUN 2 15 lots 2 15 lots
Swire Pacific Limited 'A' SWA 2 15 lots 2 15 lots
Tencent Holdings Limited  TCH 1 30 lots 1 30 lots
Tracker Fund of Hong Kong TRF 1 30 lots 1 30 lots
China Vanke Co. Ltd.  VNK 2 15 lots 2 15 lots 
The Wharf (Holdings) Limited WHL 2 15 lots 2 15 lots
Want Want China Holdings Limited WWC 1 30 lots 1 30 lots
Agricultural Bank of China Limited XAB 1 30 lots  1 30 lots 
Bank of China Limited  XBC 1 30 lots 1 30 lots 
China Construction Bank Corporation  XCC 1 30 lots  1 30 lots 
Industrial and Commercial Bank of China Limited  XIC 1 30 lots  1 30 lots
Postal Savings Bank of China Co. Ltd.   XPB 1 30 lots 1 30 lots 
China Tower Corporation Limited  XTW 1 30 lots 1 30 lots
Yanzhou Coal Mining Company Limited YZC 2 15 lots 2 15 lots
Zijin Mining Group Company Limited  ZJM 1 30 lots 1 30 lots

Changes in liquidity level are in bold
* Trading Commences from 26 November 2019

 

#   Stock Options

CQMM should provide bid / offer quotes in at least 50 option series chosen from the following option series:    
 

Contract Month Option Series Series For Selection
   
Call Series
Put Series
Spot month Nearest Out-of-the-Money 7 7
Nearest In-the-Money 2 2
Second Calendar month Nearest Out-of-the-Money 7 7
Nearest In-the-Money 2 2
Third Calendar month Nearest Out-the-Money 7 7
Nearest In-of-the-Money 2 2
Fourth Calendar month Nearest Out-the-Money 7 7
Nearest In-of-the-Money 2 2
First Quarter month Nearest Out-the-Money 7 7
Nearest In-of-the-Money 2 2
Second Quarter month Nearest Out-the-Money 7 7
Nearest In-of-the-Money 2 2
Third Quarter month Nearest Out-the-Money 7 7
Nearest In-of-the-Money 2 2
Total 126

Market Maker Incentives for Stock Options 

Stock
Options
Tier
Trading Requirement Market
Maker
Fee (HK$)
Standard
Exchange
Fee (HK$)
Tier 1 Response to Total
Quote Requests in a Month
70% or more 1.50 3.00
less than 70% 3.00 3.00
Provision of Continuous Quotes
in the Trading Hours in a Month
70% or more 1.50 3.00
less than 70% 3.00 3.00
Tier 2  Response to Total
Quote Requests in a Month
70% or more 0.80 1.00
less than 70% 1.00 1.00
Provision of Continuous Quotes
in the Trading Hours in a Month
70% or more 0.80 1.00
less than 70% 1.00 1.00
Tier 3^ Response to Total
Quote Requests in a Month
70% or more 0.40 0.50
less than 70% 0.50 0.50
Provision of Continuous Quotes
in the Trading Hours in a Month
70% or more 0.40 0.50
less than 70% 0.50 0.50

RMB Currency Futures 

USD/CNH Futures

Market Making
Obligation
Provision of
Continuous Quotes (CQ)
Response to
Quote Requests (QR)
Assigned Contract 9  contract months
[i.e. Spot month, the next three calendar months and the next five calendar quarter 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 10 seconds
Maximum Bid/Offer Spread
 
20 ticks for spot and next calendar months 
50 ticks for 3rd and 4th calendar months
80 ticks for 1st, 2nd, 3rd and 4th calendar quarter months
100 ticks for 5th calendar quarter month
Minimum Quote Size
 
A minimum of 10 contracts

Market Maker Incentives for RMB Currency Futures

Product Market Maker Fee
(RMB)
Standard Exchange Fee
(RMB)
USD/CNH Futures Nil 8.00

 Liquidity Providers on EUR/CNH, JPY/CNH, AUD/CNH and CNH/USD Futures

Liquidity Provider Obligation Provision of Continuous Quotes (CQ)
Assigned Contract All contract months
Trading Requirement Provision of CQ for not less than 70% of the trading hours in each calendar month
Maximum Bid/Offer Spread
 
· EUR/CNH Futures: 50 ticks for spot and next months, 80 ticksfor next two quarter months· JPY/CNH Futures: 50 ticks for spot and next months, 80 ticksfor next two quarter months· AUD/CNH Futures: 50 ticks for spot and next months, 80 ticks for next two quarter months
Minimum Quote Size A minimum of 10 contracts
Liquidity Provider Obligation Provision of Continuous Quotes (CQ)
Assigned Contract All contract months
Trading Requirement Provision of CQ for not less than 50% of the trading hours in each calendar month
Maximum Bid/Offer Spread
 
·  CNH/USD Futures: 5 ticks for spot and next months, 15 ticks for first and second quarter months, 25 ticks for other contract months
Minimum Quote Size A minimum of 10 contracts
 

Liquidity Provider Incentives for EUR/CNH, JPY/CNH, AUD/CNH and CNH/USD Futures

(i)    80% rebate of trading fee; and

(ii)   Certain connection subsidies depending on the number of the Additional RMB Currency Futures products which the Liquidity Providers provide liquidity for.

 

RMB Currency Options – USD/CNH Options

-     - Liquidity Provider Providing Continuous Quotes (CQLP)

-     - Liquidity Provider Responding to Quote Requests (QRLP)   

Liquidity Provider Obligations CQLP QRLP
Assigned Option Series Not less than 50 option series* All QR issued
Quoting Obligation Provision of CQ not less than 50% of the trading hours in each calendar month
 
Response to not less than 50% of the QR in each calendar month
Maximum Time Limit for Responding to QR N/A Response to a QR within 90 seconds of the QR
Minimum Quote Size
 
 Not fewer than 5 contracts
 
Maximum Bid/Offer Spread
Contract Month Max. bid/offer spread
Spot, 1st Calendar Month 70 pips
2nd, 3rd Calendar and 1st Quarter Month 90 pips
2nd Quarter Month 120 pips
3rd Quarter Month 140 pips
4th Quarter Month 160 pips
Minimum Display Time N/A Not less than 20 seconds, unless a change in the price level of the Spot Month USD/CNH Futures Contracts occurs during the 20 seconds display period, in which case, liquidity providers may change their quotes

* Provision of bid / offer quotes chosen from the following option series: 

Contract Month Options Series For Selection
Call Put
Spot Month 5 5
1st Calendar Month 5 5
2nd Calendar Month 7 7
3rd Calendar Month 9 9
1st Quarter Month 9 9
2nd Quarter Month 13 13
3rd Quarter Month 17 17
4th Quarter Month 20 20
Subtotal 85 85
Total 170

Liquidity Provider Incentives for USD/CNH Options

Upon fulfilling the quoting obligations, the CQLP or QRLP can receive 80% trading fee rebate of USD/CNH Options contracts and certain connection depending on the quoting type and the number of assigned option series.

-      HIBOR Futures

One-Month HIBOR Futures (HB1)

Market Making
Obligation
Provision of
Continuous Quotes (CQ)
Response to
Quote Requests (QR)
Assigned Contract
 
Not less than first 3 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 Within 30 seconds on receipt of a QR
Minimum Display Time
 
Not less than 15 seconds
Maximum Bid/Offer Spread
 
Not greater 10 Minimum Fluctuations Not greater 7 Minimum Fluctuations
Minimum Quote Size
 
Not less than 5 contracts Not less than 10 contracts
Non-Market Making Hours A market maker shall not be required to meet the trading requirements during the following period:
1.  The first 5 minutes of each morning trading session; and
2.  11:30 a.m. to 12:00 noon and from 1:30 p.m. to 2:00 p.m. on each Business Day.

 
Three-Month HIBOR Futures (HB3)

Market Making
Obligation
Provision of
Continuous Quotes (CQ)
Response to
Quote Requests (QR)
Assigned Contract
 
Spot contract month plus not less than the first 4 quarter 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 on an assigned
contract month within 30 seconds of the QR
 
Minimum Display Time
 
Not less than 15 seconds
Maximum Bid/Offer Spread Not greater than 10 minimum fluctuations
 
not greater than 7 minimum fluctuations
Minimum Quote Size
   
not less than 5 contracts not less than 10 contracts
Non-Market Making Hours A market maker shall not be required to meet the trading requirements during the following period:
1.  The first 5 minutes of each morning trading session; and
2. 11:30 a.m. to 12:00 noon and from 1:30 p.m. to 2:00 p.m. on each Business Day.

Market Maker Incentives for HIBOR Futures

Product Market Maker Fee
HK$
Standard Fee
HK$
One-Month HIBOR Futures
Three-Month HIBOR Futures
1.00 5.00

The appointments of LPs are subject to commercial agreements between the Exchange and LPs in terms of price quoting services and incentives.  The Chief Executive of HKFE may, at his sole discretion, waive parts of the obligations in view of adverse market conditions which may arise from time to time. 

 

Commodities Products 

USD and CNH Gold Futures

Obligations

Gold Futures

(either CNH Gold Futures or USD Gold Futures)

LP Type

1 (Option A)

2

3 (Option A)

4

1 (Option B)

3 (Option B)

Continuous Quotes (CQ) or Quote Requests (QR)

CQ

Contract Months

Any 2 of the Spot, next 2 calendar months, the next Jun and the next Dec contracts

Any 2 of the following contract series:

  • Spot/ Next calendar month
  • Spot/ Next 2 calendar months
  • Spot/ Jun
  • Spot/ Dec
  • Next/ Jun
  • Next/ Dec
  • Next 2/ Jun
  • Next 2/ Dec
  • Jun/ Dec

Max. Bid / Offer Spread

Spot: 3 ticks

Farthest month: 3 ticks

Other months:

2 ticks

Spot: 2 ticks

Farthest month: 2 ticks

Other months: 1 tick

Spot: 3 ticks

Farthest month: 3 ticks

Other months: 2 ticks

Spot: 3 ticks

Farthest month: 3 ticks

Other months: 3 ticks

1 tick of calendar spread between the given contract series

Quote Size (contracts)

12

6

6

6

12

6

% of Trading Hours

70% (T or T+1)

30% (T or T+1)

50% (T or T+1)

50% (T or T+1)

70% (T or T+1)

50% (T or T+1)

Incentives:

Subject to fulfilment of obligations, Liquidity Provider (“LP”) will enjoy cross-product trading fees, market data fee and hosting services fee and OAPI sub-licence fee waivers.   

 

Iron Ore Futures

 

Obligations


Iron Ore Futures

(either Monthly Contracts or Quarterly Contracts)

 LP Type

1 (Option A)

1 (Option B)

 CQ or QR

CQ

 Contract Month

Any 4 of the following:

Monthly Contracts:

the Monthly Contracts for the Spot Month, next 5 contract months, next January, May and September;

Quarterly Contracts:

the Quarterly Contracts for the Spot Quarter and next 3 contract quarters

Any 4 of the following contract series:

- Spot/Next calendar month

- Spot/Next+1 calendar month

- Spot/Next+2 calendar months

- Spot/Next+3 calendar months

- Next/Next+1 calendar month

- Next/Next+2 calendar months

- Next/Next+3 calendar months

- Next+1/Next+2 calendar months

- Next+1/Next+3 calendar months

- Next+2/Next+3 calendar months

- Next+3/Next+4 calendar months

- Spot/Next calendar quarter

- Next/Next+1 calendar quarter

- Next+1/Next+2 calendar quarters

 Max. Bid / Offer Spread Monthly Contracts: 20 ticks
Quarterly Contracts: 30 ticks 
 Monthly Contracts: 10 ticks
Quarterly Contracts: 20 ticks 
 Quote Size  Monthly Contracts: 50 ticks
Quarterly Contracts: 45 ticks 
 Monthly Contracts: 50 ticks
Quarterly Contracts: 45 ticks 
 % of Trading Hours  60% (T Session) or 45% (T+1 Session)

Incentives:

Subject to fulfilment of obligations, Liquidity Provider (“LP”) will enjoy cross-product trading fees, market data fee and hosting services fee and OAPI sub-licence fee waivers.

 

USD London Metal Mini Futures

Obligation

USD London Metal Mini Futures

(Copper, Aluminium, and any 1 of the remaining 4 USD London Metal Mini Futures)

LP Type

6

5

Continuous Quotes (CQ) or Quote Requests (QR)

CQ

Contract Months

Spot Month (M1), the next contract month (M2) and any 1 month out of the next 2 contract months (M3, M4)

Spot Month (M1), the next contract month (M2) and any 1 month out of the next 2 contract months (M3, M4)

Contract

Copper

Aluminium

Lead

Zinc

Nickel

Tin

Copper

Aluminium

Lead

Zinc

Nickel

Tin

Max. Bid / Offer Spread

8 ticks

5 ticks

8 ticks

6 ticks

30 ticks

100 ticks

10 ticks

6 ticks

10 ticks

8 ticks

40 ticks

120 ticks

Quote Size (contracts)

5

10

5

5

6

5

5

10

5

5

6

5

% of Trading Hours

70% (T Session)

50% (T Session)

Incentives:

Upon fulfilment of its obligations, each Liquidity Provider (“LP”) will receive incentives according to its tier type.

 

CNH London Metal Mini Futures

Obligations

CNH London Metal Mini Futures
(Any 4 of the 6 CNH London Metal Mini Futures)

LP Type

5

CQ or QR

CQ

Contract Months

Any 1 of the Spot and next 3 calendar months

Contract

Copper

Aluminium

Lead

Zinc

Nickel

Tin

Max. Bid / Offer Spread

8 ticks

10 ticks

5 ticks

6 ticks

30 ticks

100 ticks

Quote Size (contracts)

5

5

5

5

6

5

% of Trading Hours

50% (T session)

Incentives:

Upon fulfilment of its obligations, each Liquidity Provider (“LP”) will receive incentives according to its tier type.

 

For more details of the Bundled Liquidity Providing Incentive Program for Commodities Products, please refer to the hyperlinks below:

https://www.hkex.com.hk/-/media/HKEX-Market/Services/Circulars-and-Notices/Participant-and-Members-Circulars/HKFE/2019/MKDCMD00219E.pdf

https://www.hkex.com.hk/-/media/HKEX-Market/Services/Circulars-and-Notices/Participant-and-Members-Circulars/HKFE/2019/MKDCMD00319E.pdf

 



Updated 19 Jul 2017

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