update on hkex equity derivatives market - hkex.com.hk ef2015 pc wong... · overview of hkex equity...
TRANSCRIPT
Update on HKEx Equity Derivatives Market
Derivatives Trading
Global Markets Division
24 April 2015
Source: HKFE: Hong Kong Futures Exchange, a wholly-owned subsidiary of HKEx
Asia
Hong Kong : 91
Mainland China : 34
Taiwan : 8
Japan : 4
Australia : 3
Malaysia : 3
Singapore : 3
Indonesia : 1
Europe
UK : 9
France : 5
Netherlands : 3
Switzerland : 3
Germany : 1
America
USA : 10
Canada : 1
2
Distribution of the Origins of HKFE Exchange Participants
Exchange Participants and Market Makers (2014/02)
HKFE Exchange Participants 179
Index Futures / Options Market Makers 29
Stock Options Exchange Participants 87
Stock Options Market Makers 33
Exchange Participants’ Global Distribution
Globalized Participation
HKEx’s Equities Derivatives Products
3
Major Equities Derivatives Products
Futures
Hang Seng Index Futures (HSI Futures)
Mini-Hang Seng Index Futures (Mini HSI Futures)
HSI Dividend Point Index Futures
HSI Volatility Index Futures (VHSI Futures)
H-Shares Index Futures (HHI Futures)
Mini H-Shares Index Futures (Mini HHI Futures)
HSCEI Dividend Point Index Futures
Stock Futures
CES 120 Index Futures
Options
Hang Seng Index Options (HSI Options)
Mini-Hang Seng Index Options (MHI Options)
Hang Seng Index Flexible Options
H-Shares Index Options (HHI Options)
H-shares Index Flexible Options
Stock Options
Coverage of China Equities Derivatives
Page 4
A-shares
(71%)
H-shares
(11%)
Red Chips
(10%)
P-chips
(8%)
• Listed A-shares ETF options and ETF futures for trading in 2010
• Accounted for 6% of the stock options market and 18% of the stock futures
market in 2014
• Introduced CES China 120 Index futures for trading in 2013
• Started trading H-shares Index futures and options in 2003 and 2004
• Accounted for 15.4% and 6.3% respectively in 2014
• China equities universe: RMB 41,804 bil (i.e. USD 6,740 bil) by the end of 2014
• The 5-year CAGR was 6.3 per year
• Constituent stocks in Hang Seng Index
• Single stock Options and futures based on Red Chips starting from 1990s
• Constituent stocks in Hang Seng Index
• Single stock Options and futures based on P-Chips starting from 2000s,
such as Tencent
4
0
100,000
200,000
300,000
400,000
500,000
600,000
700,000
2000 2002 2004 2006 2008 2010 2012 2014
HSI Futures Stock Options HHI Futures HSI Options HHI Options Mini HSI Futures Mini HHI Futures Others
Overview of HKEx Equity Derivatives
5
HKEx’s derivatives market hit record high volume in 2014
(Contracts)
* Other products are MHI Options, CES 120 futures, dividend futures, VHSI futures, flexible index options, Hibor futures and stock futures
Average Daily Volume of Equity Derivatives
• Total Trading Volume: 142,439,039 contracts
• Open Interest: 7,960,406 contracts
All Time Record High in 2014:
HSI Futures 12.0%
Stock Options 52.3%
HHI Futures 15.4%
HSI Futures
Stock Options
HHI Futures
HSI Options
HHI Options
Mini HSI Futures
Mini HHI Futures
Others
Overview of HKEx Equity Derivatives
6
Options products accounted for 63.9% of HKEx’s derivatives trading volume
* Other products are MHI Options, CES 120 futures, dividend futures, VHSI futures, flexible index options, Hibor futures and stock futures
Average Daily Volume Distribution in 2014 (Jan – Dec)
: 12.0%
: 52.3%
: 15.4%
: 5.3%
: 6.3%
: 4.9%
: 2.4%
: 1.4%
Trading Volume & Open Interest
7
HSI Options
HHI Options HHI Futures
* as of 31 Dec 2014
HSI Futures
0
20,000
40,000
60,000
80,000
100,000
120,000
140,000
160,000
0
2,000,000
4,000,000
6,000,000
8,000,000
10,000,000
12,000,000
Open Interest Trading Volume
0
50,000
100,000
150,000
200,000
250,000
300,000
0
2,000,000
4,000,000
6,000,000
8,000,000
10,000,000
12,000,000
Open Interest Trading Volume
0
200,000
400,000
600,000
800,000
1,000,000
1,200,000
0
2,000,000
4,000,000
6,000,000
8,000,000
10,000,000
Open Interest Trading Volume
0
50,000
100,000
150,000
200,000
250,000
300,000
0
5,000,000
10,000,000
15,000,000
20,000,000
25,000,000
Open Interest Trading Volume
(No. of Contracts) (Open Interest) (No. of Contracts) (Open Interest)
(No. of Contracts) (Open Interest) (No. of Contracts) (Open Interest)
H-shares index futures and options become the growth leaders
Page 8
Index Futures Exchange ADV
( 2014) Open Interest
year end of 2014 % of O.I to ADV
Nikkei 225 OSE
106,220 439,623 414%
Eurostoxx50 EUREX
1,120,848 3,456,983 308%
H-shares Index HKEx
89,005 259,173 291%
FTSE China A50 SGX
165,691 445,034 269%
Nikkei 225 SGX
111,390 291,718 262%
E-mini S&P 500 CME
1,686,588 2,765,603 164%
Hang Seng Index HKEx
69,098 99,195 144%
DAX EUREX
117,464 129,105 110%
Ratio of Open Interest to Average Daily
Volume of Overseas Equity Index Futures
higher open interest to daily volume ratio in H-shares Index futures:
more hedging activities
8
0
1,000,000
2,000,000
3,000,000
4,000,000
5,000,000
6,000,000
7,000,000
0
10,000,000
20,000,000
30,000,000
40,000,000
50,000,000
60,000,000
70,000,000
80,000,000
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014
Open Interest Trading Volume
Stock Options Trading Volume
9
Stock Option Trading Volume & Open Interest (2004 to 2014)
Stock Option Trading Volume Increased 12 times in 11 years
(No. of Contracts) (Open Interest) CAGR: 27%
* as of 31 Dec 2014
Record high daily volume: 1,221,324 contracts
(13 April 2015)
8 11 13 14
22 25 26
29 33
36 42
45
51
57 60
63
70
80
0
10
20
30
40
50
60
70
80
90
19
95
19
96
19
98
20
00
20
01
20
02
20
03
20
04
20
05
20
06
20
07
20
08
20
09
20
10
20
11
20
12
20
13
20
14
No
. o
f S
toc
k O
pti
on
Cla
ss
es
Stock Options Market Growth
Page 10
No. of Stock Options Class 1995 - 2014
80 stock options classes covering H-Shares, Red Chips, Blue Chips and ETF
Trade Overview & Distribution*
Traded (Avg Daily)
% Chg
MoM % Chg
YoY Notional (HKD) 10,528 mm +35.4% +44.9%
Premium (HKD) 240 mm +7.2% -5.6% Contracts 430,415 +43.1% +67.4%
Current No. of Stock Options Classes: 80
H-shares 28.6%
Blue Chips 35.3%
Red Chips 11.2%
ETF 24.2%
Others 0.7%
* Figures as of Mar in 2015 10
After Hours Futures Trading (AHFT)
Why
Average Daily Volume in AHFT Session was 16,350 contracts in 2015 (as of Mar)
(or 7.5% of Day Session)
9:15
Day Session Open
16:15
Day Session Close
17:00
AHFT Session
Open
1 1 1 1 1 Day Session AHFT Session
Meet current trading and hedging needs from global investors
Business growth driver for Hong Kong futures industry
11
* Figures as of Mar in 2015
01:00
Commodities Futures
- AHFT Session Close
23:45
Equity Index &
Currency Futures
- AHFT Session Close
0
5,000
10,000
15,000
20,000
25,000
Ap
r
Ma
y
Jun
Jul
Au
g
Se
p
Oct
Nov
Dec
Jan
Fe
b
Ma
r
Ap
r
Ma
y
Jun
Jul
Au
g
Se
p
Oct
Nov
Dec
Jan
Fe
b
Ma
r
2013 2014 2015
Average Daily Volume of AHFT (Contracts)
Commodities futures
RMB Currency futures
Mini H-shares index futures
Mini HSI futures
H-shares index futures
HSI futures
Record High AHFT
Volume (Contracts) 79,586
(17 Apr 2015)
% of Day Session 31.54%
11
0
10
20
30
40
50
Jan2014
Apr Jul Oct Jan2015
Apr
S&P 500 Index Hang Seng Index H-Shares Index Nikkei 225 Index Kospi 200 Indez
TWSE Index Euro Stoxx 50 Inde CSI 300 Index FTSE A50 Index
Trading Opportunities
- Market Volatility
12
The Higher the volatility, the higher the trading opportunities in futures and options
HSI and HHI are more volatile for futures and options trading compared with other indices
HHI: 31.5
FTSE A50: 25.1
CSI 300: 20.1
HSI: 20.0
Stoxx 50: 14.4
* Source: Bloomberg (data up to 15 Apr, 15)
10D Volatility Comparison in 2014 – 2015 Apr
HHI
HSI
CSI 300
FTSE A50
N225: 13.5
TWSE: 11.3
S&P 500: 10.0
KOSPI: 8.8
Trading Opportunities for Day Traders
(Day High – Day Low) / Avg. Spread
in Apr 2014*
(Day High – Day Low) / Closing Price
in Apr 2014
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
1 Apr 8 Apr 15 Apr 22 Apr 29 Apr
HSI Futures HHI Futures
Tick Size / Tick Value 1 pt. / HK$50 1 pt. / HK$50
Round Trip Trading Fee / Tick Value 40% 14%
Avg. (Day High-Day Low) / Avg. Spread 141 108
Avg. (Day High-Day Low) / Day Close 1.4% 1.9%
Great day trading opportunities in HSI futures and HHI futures
0
50
100
150
200
250
1 Apr 8 Apr 15 Apr 24 Apr
13
HSI front month futures HHI front month futures
10
15
20
25
30
35
40
45
50
55
Jan2014
Apr Jul Oct Jan2015
Apr
388 941 700 2823 2318 HSI HSCEI
Trading Opportunities
- Market Volatility
14
Implied Volatility of stock options with top 5 trading volume picks up recently
30D ATM Call Implied Volatility Comparison in 2014 – 2015 Apr
* Source: Bloomberg (data up to 15 Apr, 15)
HKEx (388.HK): 50.1
China Mobile (941.HK): 31.4
Tencent (700.HK): 38.0
FTSE A50 ETF (2823.HK): 34.9
Ping An (2318.HK): 39.7
HHI: 30.8
HSI: 20.8
Risks of Trading Futures and Options
Futures and options involve a high degree of risk. Losses from futures and options trading can exceed your initial margin funds and
you may be required to pay additional margin funds on short notice. Failure to do so may result in your position being liquidated and
you being liable for any resulting deficit. You must therefore understand the risks of trading in futures and options and should assess
whether they are right for you. You are encouraged to consult a broker or financial adviser on your suitability for futures and options
trading in light of your financial position and investment objectives before trading.
©Hong Kong Exchanges and Clearing Limited (HKEx)
All rights reserved. Nothing herein is to be construed as a recommendation to purchase or sell futures and / or options contracts or to
provide investment advice. While efforts are made to ensure the accuracy of information contained in this publication, HKEx and its
subsidiaries do not warrant its accuracy, timeliness, completeness or fitness for a particular purpose and do not assume any liability
for any errors or omissions or any action taken on the basis of such information.
Page 15
Thank You!
15