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Large Open Positions and Position Limits

1. Index Futures and Options
Index Products Large Open Positions /
Reporting Level
Position Limits
Hang Seng Index

Hang Seng Index Futures (HSIF) 500 open contracts, in any one Contract Month

Position delta for Hang Seng Index Futures, Hang Seng Index Options, Mini-Hang Seng Index Futures, Mini-Hang Seng Index Options, Hang Seng Index (Gross Total Return Index) Futures, Hang Seng Index (Net Total Return Index) Futures combined and Weekly Hang Seng Index Options combined of 10,000 long or short in all Contract Months and Contract Weeks (where applicable) combined, provided the position delta for Mini-Hang Seng Index Futures or Mini-Hang Seng Index Options shall not at any time exceed 2,000 long or short in all Contract Months combined.  For this purpose, (i) the position delta of one Mini-Hang Seng Index Futures Contract will have a value of 0.2 and the position delta of one Mini-Hang Seng Index Option Contract will be one-fifth of the position delta of the corresponding series in the Hang Seng Index Option Contract; and (ii) the position delta of one Hang Seng Index (Gross Total Return Index) Futures Contract and one Hang Seng Index (Net Total Return Index) Futures Contract will be based on their contract value ratios versus Hang Seng Index Futures and will be announced by the Exchange from time to time.

(At initial product launch, position delta of one HSIGTRI Futures or HSINTRI Futures contract will have a value of 3)

 

Hang Seng Index Options (HSIO) 500 open contracts, in any one series
Weekly Hang Seng Index Options (WHSIO) 500 open contracts, in any one series
Mini-Hang Seng Index Futures (MHIF) 2,500 open contracts, in any one Contract Month
Mini-Hang Seng Index Options (MHIO)  2,500 open contracts, in any one series
Hang Seng Index (Gross Total Return Index) Futures (HSIGTRI)  500 open contracts, in any one Contract Month
Hang Seng Index (Net Total Return Index) Futures (HSINTRI)  500 open contracts, in any one Contract Month
       
Hang Seng China Enterprises Index Hang Seng China Enterprises Index Futures (HHIF) 500 open contracts, in any one Contract Month  

Position delta for Mini-Hang Seng China Enterprises Index Futures, Mini-Hang Seng China Enterprises Index Options, Hang Seng China Enterprises Index Futures, Hang Seng China Enterprises Index Options, Hang Seng China Enterprises Index (Gross Total Return Index) Futures, Hang Seng China Enterprises Index (Net Total Return Index) Futures and Weekly Hang Seng China Enterprises Index Options combined of 12,000 long or short in all Contract Months and Contract Weeks (where applicable) combined, provided the position delta for Mini-Hang Seng China Enterprises Index Futures or Mini-Hang Seng China Enterprises Index Options shall not at any time exceed 2,400 long or short in all Contract Months combined. For this purpose, (i) the position delta of one Mini-Hang Seng China Enterprises Index Futures Contract will have a value of 0.2 and the position delta of one Mini-Hang Seng China Enterprises Index Option Contract will be one-fifth of the position delta of the corresponding series in the Hang Seng China Enterprises Index Option Contract; and (ii) the position delta of one Hang Seng China Enterprises Index (Gross Total Return Index) Futures Contract and one Hang Seng China Enterprises Index (Net Total Return Index) Futures Contract will be based on their contract value ratios versus Hang Seng China Enterprises Index Futures and will be announced by the Exchange from time to time.

(At initial product launch, position delta of one HSCEIGTRI Futures or HSCEINTRI Futures contract will have a value of 2)

Hang Seng China Enterprises Index Options (HHIO) 500 open contracts, in any one series
Weekly Hang Seng China Enterprises Index Options (WHHIO) 500 open contracts, in any one series
Mini Hang Seng China Enterprises Index Futures (MCHF) 2,500 open contracts, in any one Contract Month
 Mini Hang Seng China Enterprises Index Options (MCHO) 2,500 open contracts, in any one series            
Hang Seng China Enterprises Index (Gross Total Return Index) Futures (HSCEIGTRI)  500 open contracts, in any one Contract Month

Hang Seng China Enterprises Index (Net Total Return Index) Futures

(HSCEINTRI)

 500 open contracts, in any one Contract Month
       
HSI Dividend Point Index HSI Dividend Futures 1,000 open contracts, in any one Contract Month  Nil
HSCEI Dividend Point Index HSCEI Dividend Futures
       
 HSI Volatility Index HSI Volatility Index Futures 1,000 open contracts, in any one Contract Month  10,000 open contracts, in any one Contract Month
       
CES China 120 Index CES China 120 Index Futures 1,500 open contracts, in any one Contract Month Position delta* for CES China 120 Index Futures and CES China 120 Index Options combined of 30,000 long or short in all Contract Months combined

*Position delta will be effective when CES 120 Options are introduced
       
Hang Seng Mainland Properties Index Hang Seng Mainland Properties Index Futures 500 open contracts, in any one Contract Month  5,000 net contracts in all Contract Months combined
Hang Seng Software & Services Index Hang Seng Software & Services Index Futures
Hang Seng IT Hardware Index Hang Seng IT Hardware Index Futures
Hang Seng Mainland Healthcare Index Hang Seng Mainland Healthcare Index Futures
CES Gaming Top 10 Index CES Gaming Top 10 Index Futures
Hang Seng Mainland Banks Index Hang Seng Mainland Banks Index Futures  15,000 net contracts in all Contract Months combined
Hang Seng Mainland Oil & Gas Index Hang Seng Mainland Oil & Gas Index Futures
       
 MSCI Asia ex Japan Net Total Return Index  MSCI Asia ex Japan Net Total Return Index Futures  500 open contracts, in any one Contract Month  110,000 net contracts long or short for all contract months combined
       
IBOVESPA Index IBOVESPA Index Futures  2,500 open contracts, in any one Contract Month  
 25,000 open contracts
MICEX Index MICEX Index Futures
FTSE/JSE Top 40 Index FTSE/JSE Top 40 Index Futures

2. Stock Futures & Options

Products Large Open Positions / Reporting Level Position Limits
Stock Futures 1,000 open contracts, in any one Contract Month 5,000 open contracts, in any one Contract Month
Stock Options 1,000 open contracts, per option class per expiry month 50,000, 100,000 or 150,000 open contracts, per option class in any one market direction* for all expiry months combined. For details
please refer to: http://www.hkex.com.hk/eng/prod
/so/classlist_so.htm

* long calls/short puts combined are in one direction and short calls/long puts combined are in another direction.

3. Currency Futures and Options

Products Large Open Positions / Reporting Level Positon Limits
USD/CNH Futures 500 open contracts, in any one Contract Month For the USD/CNH Futures Contract, CNH/USD Futures Contract and USD/CNH Option Contract combined, a position delta of 8,000 long or short in all Contract Months combined provided that: -Position delta for the Spot Month USD/CNH Futures Contract and the Spot Month USD/CNH Option Contract combined during the five Hong Kong Business Days up to and including the Expiry Day shall not exceed 2,000 long or short; and -The position for CNH/USD Futures Contract shall not at any time exceed 16,000 net long or short contracts in all Contract Months combined
CNH/USD Futures 500 open contracts, in any one Contract Month For the USD/CNH Futures Contract, CNH/USD Futures Contract and USD/CNH Option Contract combined, a position delta of 8,000 long or short in all Contract Months combined provided that: -Position delta for the Spot Month USD/CNH Futures Contract and the Spot Month USD/CNH Option Contract combined during the five Hong Kong Business Days up to and including the Expiry Day shall not exceed 2,000 long or short; and -The position for CNH/USD Futures Contract shall not at any time exceed 16,000 net long or short contracts in all Contract Months combined
USD/CNH Options 500 open contracts, in any one series For the USD/CNH Futures Contract, CNH/USD Futures Contract and USD/CNH Option Contract combined, a position delta of 8,000 long or short in all Contract Months combined provided that: -Position delta for the Spot Month USD/CNH Futures Contract and the Spot Month USD/CNH Option Contract combined during the five Hong Kong Business Days up to and including the Expiry Day shall not exceed 2,000 long or short; and -The position for CNH/USD Futures Contract shall not at any time exceed 16,000 net long or short contracts in all Contract Months combined
EUR/CNH Futures 500 open contracts, in any one Contract Month 12,000 net contracts in all Contract Months combined
JPY/CNH Futures
AUD/CNH Futures

4. Interest Rate Futures

Products Large Open Positions / Reporting Level Position Limits
5-year China Ministry of Finance Treasury Bond Futures 1,000 open contracts in any one Contract Month, per Exchange Participant for the Exchange Participant’s own behalf; and 1,000 open contracts in any one Contract Month per Client 20,000 net contracts in all Contract Months combined, per Exchange Participant for the Exchange Participant’s own behalf; and 20,000 net contracts in all Contract Months combined per Client
One-Month HIBOR Futures 1,000 open contracts, in any one Contract Month; or 4,000 open contracts, in all Contract Months Nil
Three-Month HIBOR Futures

5. Commodity Futures

Products Large Open Positions / Reporting Level Position Limits
USD and CNH London Aluminium Mini Futures 500 open contracts, in any one Contract Month

USD London Aluminium Mini Futures and CNH London Aluminium Mini Futures combined of 25,000 net long or short contracts in all Contract Months combined, per Exchange Participant for the Exchange Participant’s own behalf; and
USD London Aluminium Mini Futures and CNH London Aluminium Mini Futures combined of 25,000 net long or short in all Contract Months combined, per Client

USD and CNH London Zinc Mini Futures 500 open contracts, in any one Contract Month USD London Zinc Mini Futures and CNH London Zinc Mini Futures combined of 25,000 net long or short in all Contract Months combined, per Exchange Participant for the Exchange Participant’s own behalf; and
USD London Zinc Mini Futures and CNH London Zinc Mini Futures combined of 25,000 net long or short in all Contract Months combined, per Client
USD and CNH London Lead Mini Futures 500 open contracts, in any one Contract Month USD London Lead Mini Futures and CNH London Lead Mini Futures combined of 25,000 net long or short in all Contract Months combined, per Exchange Participant for the Exchange Participant’s own behalf;
and USD London Lead Mini Futures and CNH London Lead Mini Futures combined of 25,000 net long or short in all Contract Months combined, per Client
USD and CNH London Copper Mini Futures 500 open contracts, in any one Contract Month

USD London Copper Mini Futures and CNH London Copper Mini Futures combined of 50,000 net long or short in all Contract Months combined, per Exchange Participant for the Exchange Participant’s own behalf; and
USD London Copper Mini Futures and CNH London Copper Mini Futures combined of 50,000 net long or short in all Contract Months combined, per Client

USD and CNH London Nickel Mini Futures 500 open contracts, in any one Contract Month

USD London Nickel Mini Futures and CNH London Nickel Mini Futures combined of 50,000 net long or short in all Contract Months combined, per Exchange Participant for the Exchange Participant’s own behalf; and
USD London Nickel Mini Futures and CNH London Nickel Mini Futures combined of 50,000 net long or short in all Contract Months combined, per Client 

USD and CNH London Tin Mini Futures 500 open contracts, in any one Contract Month

USD London Tin Mini Futures and CNH London Tin Mini Futures combined of 15,000 net long or short in all Contract Months combined, per Exchange Participant for the Exchange Participant’s own behalf; and
USD London Tin Mini Futures and CNH London Tin Mini Futures combined of 15,000 net long or short in all Contract Months combined, per Client

TSI Iron Ore Fines 62% Fe CFR China Futures 500 open contracts, in any one Contract Month 30,000 net long or short in all Contract Months combined, per Exchange Participant for the Exchange Participant’s own behalf; and 30,000 net long or short in all Contract Months combined, per Client
USD Gold Futures 500 open contracts, in any one Contract Month USD Gold Futures and CNH Gold Futures combined of 10,000 net long or short contracts in the Spot Month and 20,000 net long or short contracts in other months per Exchange Participant for the Exchange Participant's own behalf; and

USD Gold Futures and CNH Gold Futures combined of 10,000 net long or short contracts in the Spot Month and 20,000 net long or short contracts in other months per Client.
CNH Gold Futures

 

Frequently Asked Questions on Position Limits and Large Open Position Reporting

LOP Reporting Requirements

  1. Any HKFE Participant / Options Exchange Participant holding positions in excess of the Reporting Level for its own account or for any client shall:
      • file a report (i.e. LOP report) with HKFE/SEHK (as the case may be) via ECP no later than 12:00 noon of the next business day after the positions are opened or accumulated, and
      • continue to file a LOP report for as long as the HKFE Participant / Options Exchange Participant holds positions in excess of the Reporting Level.
  1. Any HKFE Participant, with open position held for its own account or any client exceeding 60% of the position limit of stock index futures and options products with the same underlying index, is required to:
      • Report all outstanding positions in the products concerned to HKFE, including those positions that are below the LOP Reporting Level.
  1. For the requirement on aggregation of positions held or controlled by different persons, positions held or controlled at multiple firms, and reporting for omnibus accounts, please refer to the relevant paragraphs under the
    SFC's Guidance Note on Position Limits and Large Open Position Reporting Requirements.


LOP Report Templates



Electronic Submission of LOP Report



Series Greeks Data Files (for calculation of position delta)



Links to Circulars



Links to Rules

 

For enquiry, please contact Market Surveillance and Monitoring at (852) 2840-3739/2840-3737 or lophkfe@hkex.com.hk

Excess Position Limit for ETF Market Makers Application and Reporting

  • Application
    • ETF Market Makers of ETFs tracking the Hang Seng Index (“HSI”) and Hang Seng China Enterprises Index (“HHI”) may apply for excess position limit of SEHK or HKFE products with corresponding underlying by filling in the application form.
  • Reporting
    • ETF Market Makers who are granted excess position limit for the purposes of hedging the risks arising from performing market making or liquidity providing activities are required to submit a reporting form on a regular basis via ECP. Please refer to the application form for the reporting obligation details.

    Updated 04 Aug 2017

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