Index Futures and Options

 

 

 

 

Index Futures and Options

 

 

The series name standards are illustrated below:

 

Root Symbol

HSI – Hang Seng Index

MHI – Mini-Hang Seng Index

HHI – Hang Seng China Enterprises Index

MCH – Mini-Hang Seng China Enterprises Index

 

For details, refer to the Instrument Explorer window in the CLICK Trade application

or the HKEx website www.hkex.com.hk/prod/equityip/equityindexproducts.htm

 

 

 

Contract Month Code

 

 

Contract Month           Contract Month Code

                         Futures                 Call                       Put

January                  F                       A                          M

February                 G                       B                          N

March                    H                       C                          O

April                    J                       D                          P

May                      K                       E                          Q

June                     M                       F                          R

July                     N                       G                          S

August                   Q                       H                          T

September                U                       I                          U

October                  V                       J                          V

November                 X                       K                          W

December                 Z                       L                          X

 

  

 

Contract Year Code

7 – 2007

8 – 2008

9 – 2009

0 – 2010

  

 

 

 

 

Series Name of Index Futures

The first 3 characters – The Root Symbol

The 4th character – The Contract Month Code

The 5th character – The Contract Year Code

 

Example:

Buy one “HSIU7” contract = Buy one Hang Seng Index Futures expiring in September 2007

 

 

Series Name of Index Options

The first 3 characters – The Root Symbol

The next 5 characters – The Strike Price

The 9th character – The Call/Put Contract Month Code

The 10th character – The Contract Year Code

  

Examples:

Buy one “HSI16000A8” contract = Buy one Hang Seng Index Call Option expiring in January 2008 with Strike Price at 16000

 

Sell one “HHI5800V7” contract = Sell one Hang Seng China Enterprises Index Put Option expiring in October 2007 with Strike Price at 5800

 

 

Series Name of Index Standard Combinations

 

Type 1: Calendar Spreads

The first 3 characters – The Root Symbol

The 4th and 5th characters – The Contract Month Code and Contract Year Code of the Near Month Contract

The 6th character – The “/” symbol

The 7th and 8th characters – The Contract Month Code and Contract Year Code of the Far Month Contract

 

Long a calendar spread of Index Futures at a positive price involves selling the near month contract at a discount price (in comparison with the far month contract) and buying the far month contract at a premium price (in comparison with the near month contract) simultaneously.

 

Long a calendar spread of Index Futures at a negative price involves selling the near month contract at a premium price (in comparison with the far month contract) and buying the far month contract at a discount price (in comparison with the near month contract) simultaneously.

 

While short a calendar spread of Index Futures at a positive/negative price is just doing the opposite.

 

Examples:

Buy one “MHIN8/U8” contract = Buy one Mini-Hang Seng Index Futures expiring in September 2008 and at the same time sell one expiring in July 2008.

 

Sell one “HHIF9/H9” contract = Buy one Hang Seng China Enterprises Index Futures expiring in January 2009 and at the same time sell one expiring in March 2009.

 

Type 2: Straddles

A straddle involves buying both the call option and the put option of the same expiry month at the same Strike Price.

 

The first 3 characters – The Root Symbol

The next 3 characters – The first 3 digits of the Strike Price

The 7th and 8th characters – The Contract Month Code and Contract Year Code of the call option

The 9th character – The “/” symbol

The 10th and 11th characters – The Contract Month Code and Contract Year Code of the put option

 

Long a Straddle of Index Options is buying both the call option and the put option of the same expiry month at the same Strike Price.

 

Short a Straddle of Index Options is selling both the call option and the put option of the same expiry month at the same Strike Price.

 

Example:

Buy one “HSI150K8/W8” contract = Buy one Hang Seng Index call option and put option expiring in November 2008 with the same Strike Price at 15000 at the same time.

 

* Straddles are available in the Hang Seng Index Options market ONLY*

 

 

Type 3: Strangles

A Strangle involves buying a call option at a higher strike price and a put option at a lower strike price of the same expiry month.

 

The first 3 characters – The Root Symbol

The next 3 characters – The first 3 digits of Strike Price of the call option The 7th and 8th characters – The Contract Month Code and Contract Year Code of the call option

The 9th character – The “/” symbol

The next 3 characters – The first 3 digits of Strike Price of the put option

The 13th and 14th characters – The Contract Month Code and Contract Year Code of the put option

 

Long a Strangle of Index Options involves buying a call option at a higher strike price and a put option at a lower strike price of the same expiry month.

Short a Strangle of Index Options involves selling a call option at a higher strike price and a put option at a lower strike price of the same expiry month

 

Example:

Buy one “HSI178J8/174V8” contract = Buy one Hang Seng Index call option with Strike Price at 17800 and put option with Strike Price at 17400 expiring in October 2008 at the same time.

 

* Strangles are available in the Hang Seng Index Options market ONLY*

*For details of the Hang Seng Index, Mini-Hang Seng Index, H-shares Index, FTSE/Xinhua China 25 Index Futures and Options, Hang Seng China H-Financials Index and Mini-H-shares Index Futures, refer to the respective specifications online.