HKEX DERIVATIVES: TRADING IN THE TIME OF CORONAVIRUS€¦ · to ensure that trading, clearing and...

HKEX DERIVATIVES: TRADING IN THE TIME OF CORONAVIRUS

INTERACTIVE BROKERS WEBINAR

6 MAY 2020

Tae YooManaging Director

Global Client Development Markets Division

2

DISCLAIMER

The information contained in this document is for general informational purposes only and does not constitute an offer, solicitation, invitation or recommendation to buy or sell any futures contracts or other products or to provide any investment advice or service of any kind. This document is not directed at, and is not intended for distribution to or use by, any person or entity in any jurisdiction or country where such distribution or use would be contrary to law or regulation or which would subject Hong Kong Exchanges and Clearing Limited (“HKEX”), Hong Kong Futures Exchange Limited (“HKFE”) (together, the “Entities”, each an “Entity”), or any of their affiliates, or any of the companies that they operate, to any registration requirement within such jurisdiction or country.

No section or clause in this document may be regarded as creating any obligation on the part of any of the Entities. Rights and obligations with regard to the trading, clearing and settlement of any futures contracts effected on HKFE shall depend solely on the applicable rules of HKFE and the relevant clearing house, as well as the applicable laws, rules and regulations of Hong Kong.

Although the information contained in this document is obtained or compiled from sources believed to be reliable, neither of the Entities guarantees the accuracy, validity, timeliness or completeness of the information or data for any particular purpose, and the Entities and the companies that they operate shall not accept any responsibility for, or be liable for, errors, omissions or other inaccuracies in the information or for the consequences thereof. The information set out in this document is provided on an “as is” and “as available” basis and may be amended or changed. It is not a substitute for professional advice which takes account of your specific circumstances and nothing in this document constitutes legal advice. Neither of the Entities shall be responsible or liable for any loss or damage, directly or indirectly, arising from the use of or reliance upon any information provided in this document.

Hong Kong Exchanges and Clearing Limited (“HKEX”) is not affiliated with Interactive Brokers LLC, or any other FINRA broker-dealer.

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Application

MSCI AC Asia ex Japan NTR Index (AxJ) Futures

Equity Futures and Options

Equity Index Futures & Options

What happened during Covid-19 pandemic?

HKEX Group Business Continuity Management Update

Agenda

3

4

5

2

1

4

HKEX Group Business Continuity Management Update

Source: HKEX Website

HKEX Chief Executive, Charles Li

• The COVID-19 outbreak has caused worldwide economic and social disruption, and at times like these it is criticalthat global financial markets operators rise to the challenge and provide stable and transparent access to liquidityfor issuers, market participants and investors. HKEX’s goal, at this time when our community needs us the most, isto ensure that trading, clearing and risk management systems remain fully functional amid heightened volumesand volatility, providing efficiency, reliability, and transparency.

Maintaining Robust Markets in Turbulent Times: (Click Here)

Business Continuity Management : COVID-19 Preparedness (Click Here)

• HKEX has an established and comprehensive business continuity management (BCM) framework that seeks to ensureservice resiliency, availability and stability across our platforms, during and around unforeseen events, crisis, or out-of-the-ordinary operating environments.

• In any company, organisation or infrastructure provider, BCM and response procedures consider various scenarios,seeking to minimise, and where possible, negate any impact on business services. HKEX’s framework has modelledand anticipated a broad range of scenarios, including pandemics.

• With the outbreak of COVID-19 in late 2019 and early 2020, initially in China, then regionally and globally, the Grouphas enacted its BCM pandemic plan to address potential risks.

• The Group places the utmost importance on managing the health and safety of its staff and the wider community.

• The Group continues to monitor the evolving situation, including Government guidance and measures initiated, aspart of the Preparedness and Response Plan. We also continue to liaise with industry bodies, regulators andexperienced business continuity professionals.

https://www.hkexgroup.com/Media-Centre/Charles-Li-Direct/2020/Maintaining-Robust-Markets-in-Turbulent-Times?sc_lang=en

https://www.hkexgroup.com/about-hkex/company-information/bcp/corporate-bcp-update-2019/business-continuity-management-covid-19-preparedness?sc_lang=en

5

What happened during Covid-19 pandemic?: Global Equity Indices

Source: Bloomberg, HKEX Website

Data as of 8 April 2020

8 Apr closing Δ% 1W Δ% 1M Δ% YTD 20D volatility 52W High 52W Low

HSI 23,970 +3.8% -8.3% -15.4% 46.31 30,157 21,696

HSCEI 9,682 +2.9% -7.4% -13.7% 48.86 11,849 8,560

HSI - Finance 32,517 +1.8% -8.9% -17.2% 41.52 41,998 30,638

HSI - Utilities 51,582 +9.7% -8.4% -9.5% 54.82 62,861 43,267

HSI - Properties 33,066 +4.3% -8.0% -17.4% 53.00 45,822 28,712

HSI - Commerce & Industry 14,236 +5.8% -7.6% -13.0% 55.76 17,444 12,189

CSI 300 3,780 +2.9% -8.7% -7.4% 31.27 4,207 2,965

SSE 50 2,744 +2.3% -7.5% -10.4% 29.64 3,091 2,263

Shanghai Composite 2,815 +3.0% -7.2% -7.4% 26.96 3,271 2,464

SZSE 100 4,534 +3.4% -10.3% -2.0% 37.81 5,131 2,936

CES 120 6,435 +2.2% -6.8% -10.5% 35.72 7,312 5,524

S&P 500 2,750 +11.3% -7.5% -14.6% 89.62 3,386 2,237

Nasdaq 100 8,091 +9.9% -5.7% -9.6% 87.25 9,817 6,193

DJIA 23,434 +11.9% -9.4% -17.7% 97.05 29,551 18,592

CBOE VIX 43.35 -24.0% +3.4% +192.5% 197.34 82.69 11.54

Nikkei 225 (Japan) 19,353.2 +7.1% -6.7% -18.2% 62.3 24,083.5 16,552.8

KOSPI (Korea) 1,807.1 +7.2% -11.4% -17.8% 72.3 2,267.3 1,457.6

TAIEX (Taiwan) 10,137.5 +4.9% -10.5% -15.9% 52.2 12,179.8 8,681.3

STI (Singapore) 2,539 +4.1% -14.2% -21.2% 62.47 3,407 2,233

DAX (Germany) 10,333 +8.3% -10.5% -22.0% 62.44 13,789 8,442

FTSE 100 (UK) 5,678 +4.1% -12.1% -25.2% 57.01 7,687 4,994

CAC 40 (France) 4,443 +5.6% -13.6% -25.7% 63.30 6,111 3,755

FTSE MIB (Italy) 17,381 +5.1% -16.4% -26.1% 56.07 25,478 14,894

As

iaE

uro

pe

IndicesH

on

g K

on

gM

ain

lan

d C

hin

aU

SA

6

604

435

352

512

428 435 413 431

567 561615

407

774

600

466

690

571 575 562 554

722 721

811

546

May-19 Jun-19 Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 (1-8 Apr)

Stock Options Mini H-shares index Options H-shares index Options Mini Hang Seng Index Options Hang Seng Index Options

What happened during Covid-19 pandemic?: HKEX Equity Derivatives

Futures Average Daily Volume

527 537

695 686

2020 YTD 2019 YTD

‘000 contracts

246 221 190 232 183 185 188 163 186 207 235158

11192

74113

81 85 83 73 87114

200

143

167142

110

157

124 123 134125

145162

237

107

1815

12

18

13 13 1212

1318

37

21

541

470

386

519

401 406 417374

431

501

709

429

May-19 Jun-19 Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 (1-8 Apr)

Mini H-shares index Futures H-shares index Futures Mini Hang Seng Index Futures Hang Seng Index Futures

206 220

136 93

176145

2317

541475

2020 YTD 2019 YTD

‘000 contracts

Options Average Daily Volume

Source: Bloomberg, HKEX Website

Data as of 8 April 2020

77Data Source: HKEX

* OI compared to previous year-end

Information for reference only

As at 31 March 2020

Equity Index Futures & Options Hang Seng Index (HSI) and Hang Seng China Enterprise Index (HSCEI) Products

HSCEI Products

(2020 vs 2019)ADV OI*

HSCEI Futures 182,562 (+32%) 344,099 (+6%)

Mini HSCEI

Futures23,051 (+54%) 5,937 (+41%)

HSCEI Options 106,636 (+22%) 2,697,572 (+29%)

Mini HSCEI

Options2,626 (+11%) 17,184 (+34%)

HSCEI Dividend

Point Index

Futures

3,723 (+72%) 106,017 (-9%)

HSI Products

(2020 vs 2019)ADV OI*

HSI Futures 210,477 (+1%) 117,709 (-3%)

Mini-HSI Futures 135,776 (+51%) 10,373 (-2%)

HSI Options 54,632 (+8%) 289,561 (+38%)

Mini-HSI Options 16,421 (+21%) 19,401 (+8%)

HSI Volatility

Index Futures3 (+200%) 1 (-80%)

HSI Dividend

Point Index

Futures

141 (+152%) 7,630 (+302%)

88

As at 31 March 2020

Data Source: HKEX




Hang Seng Index (HSI) Futures

HSI Futures (YoY)

0

50,000

100,000

150,000

200,000

0

40,000

80,000

120,000

160,000

200,000

240,000

280,000 ADV (L-Axis)

Open Interest (R-Axis)

(No. of Contracts) (No. of Contracts)

Open InterestAv erage Daily Volume

HSI Futures (MoM)

0

50,000

100,000

150,000

200,000

0

50,000

100,000

150,000

200,000

250,000

300,000

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Jan

Feb

Mar

2019 2020

ADV (L-Axis)




99

As at 31 March 2020

Data Source: HKEX




Hang Seng Index (HSI) Options

HSI Options (MoM)

0

200,000

400,000

600,000

0

15,000

30,000

45,000

60,000

75,000

90,000

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Jan

Feb

Mar

2019 2020

ADV (L-Axis)


(No. of Contracts)

Open Interest

(No. of Contracts)

Av erage Daily Volume

HSI Options (YoY)

0

100,000

200,000

300,000

400,000

0

15,000

30,000

45,000

60,000 ADV (L-Axis)



Av erage Daily Volume Open Interest

1010

As at 31 March 2020

Data Source: HKEX, Bloomberg

* All calculations are in HKD and exclude commission fees


Equity Index Futures & OptionsHSI vs Volatility Hang Send Index (VHSI), Top 5 Constituents and Index Options Open Interest

HSI & Top 5 Constituents

Distribution of HSI Index Options OI in Month-end

Hang Seng Index

Includes the largest and most

liquid stocks listed in Hong Kong

Index Level 23,603.48 (As at 31 Mar 2020)

Index Volatility (30-Day Historical) 20.5

Index Avg. Day High-Low Range 517.63 (Mar 2020)

HSCEI Correlation (2019) 0.985

Contract Multiplier HK$50

Notional Value (1 Contract) HK$1.18Mn (As at 31 Mar 2020)

Transaction Cost*

Stamp Duty N/A

Trading Fee HK$10 / contract

SFC Levy HK$0.54 / contract

Commission Rate Negotiable

Margin as of 27 Mar 2020 HK$116,200

Hang Seng Index Futures

Index Description

10

20

30

40

50

60

70

20

22

24

26

28

30

Jan-20 Feb-20 Mar-20

('000)

HSI VHSI

70

80

90

100

110

120


HSI Index Tencent

HSBC AIA

CCB China Mobile

0 2 4 6 8 10

10.014.616.617.818.819.821.623.625.627.629.631.633.636.039.2

Open Interest ('000)

Index S

trik

e P

rice (

'000)

Call

0 4 8 12 16 20

10.014.616.617.818.819.821.623.625.627.629.631.633.636.039.2


Index S

trik

e P

rice (

'000)

Put

HSI vs VHSI Price Level

1111

As at 31 March 2020

Data Source: HKEX




Hang Seng China Enterprises Index (HSCEI) Futures

HSCEI Futures (YoY)

0

100,000

200,000

300,000

400,000

500,000

600,000

0

40,000

80,000

120,000

160,000





HSCEI Futures (MoM)

0

100,000

200,000

300,000

400,000

500,000

0

50,000

100,000

150,000

200,000

250,000

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Jan

Feb

Mar

2019 2020

ADV (L-Axis)


(No. of Contracts)

Open Interest(No. of Contracts)


1212

As at 31 March 2020

Data Source: HKEX



Equity Index Futures & OptionsHang Seng China Enterprises Index (HSCEI) Options

HSCEI Options (YoY)

0

400,000

800,000

1,200,000

1,600,000

2,000,000

2,400,000

2,800,000

0

20,000

40,000

60,000

80,000

100,000



(No. of Contracts)(No. of Contracts)


HSCEI Options (MoM)

0

1,000,000

2,000,000

3,000,000

4,000,000

0

50,000

100,000

150,000

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Jan

Feb

Mar

2019 2020

ADV (L-Axis)


(No. of Contracts)Open InterestAv erage Daily Volume

(No. of Contracts)

1313

As at 31 March 2020




Equity Index Futures & OptionsHSCEI vs Volatility Hang Send Index (VHSI), Top 5 Constituents and Index Options Open Interest

HSCEI & Top 5 Constituents

80

84

88

92

96

100

104

02-Mar 15-Mar 28-Mar

HSI HSCEI

50

60

70

80

90

100

110

120


HSCEI Ping AnICBC CCBBOC China Life

0 20 40 60 80 100

2.0

4.0

5.8

7.3

8.3

9.3

10.3

11.3

12.3

13.3

14.8

16.8


Index S

trik

e P

rice (

'000)

Call

0 60 120 180

2.0

4.0

5.8

7.3

8.3

9.3

10.3

11.3

12.3

13.3

14.8

16.8


Index S

trik

e P

rice (

'000)

Put

HSCEI

Comprises the largest and

most liquid H shares

Index Level 9,594.77 (As at 31 Mar 2020)


Index Avg. Day High-Low Range 230.71 (Mar 2020)

Correlation with HSI, CES120 (2019) 0.985,0.898

Correlation with CSI300, FTSE A50

(2019) 0.851,0.886


Notional Value (1 Contract) HK$0.48Mn (As at 31 Mar 2020)

Transaction Cost*

Stamp Duty N/A

Trading Fee HK$3.5 / contract




HSCEI Futures

Index Description

HSI vs HSCEI

Distribution of HSCEI Index Options OI in Month-end

1414

As at 31 March 2020

Data Source: HKEX



An investment tool to manage short term event risk

Weekly HSI & HSCEI Options VolumeContract Multiplier HK$50

Liquidity Providers Akuna, Eclipse, I-Access, IMC, Maven,

Optiver

Transaction Cost*

Stamp Duty N/A





Liquidity Providers Akuna, Eclipse, I-Access, IMC, Maven,

Optiver

Transaction Cost*

Stamp Duty N/A

Trading Fee HK$3.5 / contract



Weekly HSI Options

Weekly HSCEI Options

0

3,000

6,000

9,000

12,000

15,000

2/3

3/3

4/3

5/3

6/3

9/3

10

/3

11

/3

12

/3

13

/3

16

/3

17

/3

18

/3

19

/3

20

/3

23

/3

24

/3

25

/3

26

/3

27

/3

30

/3

31

/3

Weekly HSI Options

Weekly HSCEI Options

Volume(No. of Contracts)

0

2,000

4,000

6,000

8,000

2/3

3/3

4/3

5/3

6/3

9/3

10

/3

11

/3

12

/3

13

/3

16

/3

17

/3

18

/3

19

/3

20

/3

23

/3

24

/3

25

/3

26

/3

27

/3

30

/3

31

/3

Weekly HSI & HSCEI Options Call

Weekly HSI & HSCEI Options Put

(No. of Contracts)Volume

Equity Index Futures & OptionsWeekly HSI & HSCEI Options

15

As at 31 March 2020

Hang Seng Mainland Banks Index Futures Performance

Data Source: HKEX, HSIL, Bloomberg



Index & Constituents 3-Month Performance (Rebased to 100)

HSMBI Futures have relatively tighter Bid-Ask Spreads

HSMBI Futures can be used for hedging3Futures contracts have relatively lower transaction costs

1

2

Hang Seng Mainland Banks Index (HSMBI)

10 largest and most representative

HKEX-listed mainland banks stocks

Index Level 2,772.56 (As at 31 March 2020)


Index Avg. Day High-Low Range 55.54 (March 2020)

HSI Correlation (2019) 0.957



Notional Value (1 Contract) HK$0.14Mn (As at 31 March 2020)

Avg. Quote Size HK$0.69Mn (5 Contracts)

Avg. Bid-Ask Trading Spread 2.2 index points (March 2020)

Liquidity Providers Flow , IMC, Yue Kun

Stamp Duty N/A




Transaction Cost*

Hang Seng Mainland Banks Index Futures

Index Description

0.08%

0.21%

0.23%

0.29%

0.29%

0.30%

0.33%

0.38%

0.43%

0.47%

0.51%

HSMBI Futures

CM Bank 3968.HK

CCB 939.HK

PSBC 1658.HK

ICBC 1398.HK

Minsheng Bank 1988.HK

Bankcomm 3328.HK

CEB Bank 6818.HK

CITIC Bank 998.HK

ABC 1288.HK

Bank of China 3988.HK

75

85

95

105

Jan-2020 Feb-2020 Mar-2020

HSMBI CCB (939.HK)

ICBC (1398.HK) BOC (3988.HK)

ABC (1288.HK)

5-Min Avg. Bid-Ask Spreads (31 March 2020)

16

As at 31 March 2020

Hang Seng Mainland Oil & Gas Index Futures Performance





HSMOGI Futures have relatively tighter Bid-Ask Spreads1

HSMOGI Futures can be used for hedgingFutures contracts have relatively lower transaction costs2 3

Hang Seng Mainland Oil & Gas Index (HSMOGI)


HKEX-listed mainland oil & gas stocks







Notional Value (1 Contract) HK$56K (As at 31 March 2020)




Stamp Duty N/A




Transaction Cost*

Hang Seng Mainland Oil & Gas Index Futures

Index Description

0.17%

0.44%

0.45%

0.65%

0.71%

0.88%

1.17%

CNOOC 883.HK

Sinopec Corp 386.HK

PetroChina 857.HK

China Oilfield 2883.HK

HSMOGI Futures

Kunlun Energy 135.HK

BG Blue Sky 6828.HK

40

60

80

100

120

Jan-2020 Feb-2020 Mar-2020

HSMOGI PetroChina (857.HK)

CNOOC (883.HK) Sinopec Corp (386.HK)

Kunlun Energy (135.HK)


17

As at 31 March 2020

Hang Seng Mainland Properties Index Futures Performance





HSMPI Futures have relatively tighter Bid-Ask Spreads

HSMPI Futures can be used for hedgingFutures contracts have relatively lower transaction costs

1

2 3

Hang Seng Mainland Properties Index (HSMPI)


HKEX-listed mainland properties stocks







Notional Value (1 Contract) HK$0.32Mn (As at 31 March 2020)




Stamp Duty N/A




Transaction Cost*

Hang Seng Mainland Properties Index Futures

Index Description

0.26%

0.26%

0.30%

0.33%

0.37%

0.37%

0.37%

0.37%

0.37%

0.49%

0.98%

China Res Land 1109.HK

Shimao Property 813.HK

Longfor PPT 960.HK

China Overseas 688.HK

HSMPI Futures

Country Garden 2007.HK

China Vanke 2202.HK

Evergrande 3333.HK

Sino-Ocean Gp 3377.HK

Kerry Ppt 683.HK

Fullshare 607.HK

40

50

60

70

80

90

100

110

Jan-2020 Feb-2020 Mar-2020

HSMPI Evergrande (3333.HK)China Overseas (688.HK) Country Garden (2007.HK)China Res Land (1109.HK)


1818

As at 31 March 2020

Data Source: HKEX



Equity Futures & Options

Single Stock Futures & Options

Stock Options (YoY)Stock Futures (YoY)

No. of Single Stock Derivatives

Single Stock Futures 80

Single Stock Options 96

Stock Futures

• Products

3 A-shares ETFs futures contracts

Total 80 stock futures contracts

Latest and Future Developments

Stock Options

• Products

3 A-shares ETFs options contracts

Total 96 stock options contracts

• Market Makers (MMs)

3 types of market makers (PMM/ CQMM/

QRMM)

CQMM to provide 50 series continuous

quotations

Stock Futures (MoM) Stock Options (MoM)

0

5,000

10,000

15,000

20,000

25,000

30,000

0

1,000

2,000

3,000

4,000 ADV (L-Axis)




0

2,000,000

4,000,000

6,000,000

8,000,000

10,000,000

0

200,000

400,000




Av erage Daily Volume Open Interest

0

5,000

10,000

15,000

20,000

25,000

30,000

0

2,000

4,000

6,000

8,000

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Jan

Feb

Mar

2019 2020

ADV (L-Axis)




0

4,000,000

8,000,000

12,000,000

0

200,000

400,000

600,000

800,000

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Jan

Feb

Mar

2019 2020

ADV (L-Axis)


(No. of Contracts)

Open Interest(No. of Contracts)


Single Stock Derivatives ADV (2020 vs 2019) ADV OI*

Stock Futures 5,022 (+35%) 17,964 (-34%)

Stock Options 537,310 (+21%) 8,420,294 (+26%)

1919

As at 31 March 2020

MSCI AC Asia ex Japan NTR Index (AxJ) Futures Performance


* All calculations are in US$ and exclude commission fees


MSCI AxJ Combines Developed and Emerging Markets (Rebased to 100)

Open Interest continues to develop

MSCI AxJ is a well-established benchmark representing Asia

regional (excluding Japan) equity market performanceFutures contracts have relatively lower transaction costs

0

5,000

10,000

15,000

20,000

25,000

Apr

Ma

y

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Jan

Fe

b

Ma

r

2019 2020

(No. of Contracts)

Open Interest

MSCI AxJ

representation 2 DM countries (excl. Japan)

and 9 EM countries in Asia

Index Level 415.78 (As at 31 March 2020)





Contract Multiplier US$100

Notional Value (1 Contract) US$42K (As at 31 March 2020)

Avg. Quote Size US$0.21Mn (5 Contracts)


Liquidity Providers Flow and 11 banks

Stamp Duty N/A

Trading Fee US$0.5 / contract

SFC Levy US$0.07 / contract

Margin as of 26 Mar 2020 US$4,680

Transaction Cost*

MSCI AxJ Futures

Index Description

40

55

70

85

100

115

130

Jan-2020 Feb-2020 Mar-2020

MSCI AxJ MSCI China MSCI HK

MSCI SG MSCI India MSCI Indonesia

MSCI Korea MSCI Malaysia MSCI Pakistan

MSCI Philippines MSCI Taiwan MSCI Thailand

Open Interest (31 March 2020)

Thank you!

www.hkex.com.hk

20

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HKEX DERIVATIVES: TRADING IN THE TIME OF CORONAVIRUS€¦ · to ensure that trading, clearing and...

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Transcript of HKEX DERIVATIVES: TRADING IN THE TIME OF CORONAVIRUS€¦ · to ensure that trading, clearing and...