Futures & Index Options
|
Stock Index Futures |
3% |
|
Stock Futures |
5% |
|
HIBOR Futures |
25 basis points |
|
Three-Year Exchange Fund Note Futures |
50 basis points |
|
Stock Index Options
i) if notation price > 300 index points
ii) if notation price < 300 index points |
10%
30 index points
|
Note:
- The notation price for futures contracts shall be obtained in the following order:
i. last traded price within 5 minutes prior to the Error Trade
ii. the mid-point of the best bid/ask price immediately prior to the Error Trade;
iii. last settlement price; or
iv. the difference of notation prices between the related outright contracts (calendar spread only).
- Determination of the notation price of the Stock Index Option Contracts will be based on the followings:
i. The average of the prices of the previous match and the next match in that option series occurring reasonably close to the time of error trade. If this average price fails to reflect a fair price, the notation price will be determined on the basis of item (ii) below.
ii. The reasonable bid and offer prices available around the time of error trade, unless in the sole discretion of the Exchange, this fails to reflect a fair price, in which case the Exchange may consult up to 3 independent market practitioners who have no interest in the trade in order to arrive at a valid notation price.
Notwithstanding the foregoing, the Exchange shall have absolute discretion in determining the notation price.
- Notwithstanding the above, the Chief Executive of HKFE or his designee may adopt such other price to be the notation price as he considers appropriate, taking into account the market conditions prevailing at the time of the Error Trade.
Stock Options
- The difference between the trade price and Reference Price is such that it exceeds 3 percent of the nominal price of the underlying security (as defined in the Exchanges Rules) at the time the trade occurred; or
- The difference between the trade price and the Reference Price is such that it exceeds 2 times the maximum spread permitted under Market Maker Obligations more particularly prescribed in the Second Schedule of the Options Trading Rules for the option series, and the difference represents at least 30 percent of the Reference Price.
Determination of the Reference Price will be based on the average of the prices of the previous match and the next match occurring that trading day in that option series unless in the sole discretion of the Exchange, this fails to reflect a fair price, in which case the Exchange may consult up to 3 independent options market practitioners who have no interest in the trade in order to arrive at a valid Reference Price. Notwithstanding the foregoing, the Exchange shall have absolute discretion in determining the Reference Price.
Gold Futures
Note:
The notation price will be determined as follows:
- The average of the prices of the previous match and the next match in that contract month occurring reasonably close to the time of error trade. If this, in the opinion of the Exchange, fails to reflect a fair price, the notation price will be determined on the basis of item (2) below.
- The reasonable bid and offer prices available around the time of error trade. If this, in the opinion of the Exchange, fails to reflect a fair price, the notation price will be determined on the basis of item (3) below.
- The prices obtained by the Exchange from consulting up to 3 independent market practitioners who have no interest in the trade in order to arrive at a valid notation price.
Notwithstanding the foregoing, the Exchange shall have absolute discretion in determining the notation price.
Bulletin Board
The trade price of the Bulletin Board trade is such that it exceeds whichever is the greater of:
- 30 ticks from the Notation/Reference* Price of the Bulletin Board trade concerned; or
- 10 percent from the Notation/Reference Price of the Bulletin Board trade concerned.
For the purpose of determining a Notation/Reference Price:
i. the Exchange shall base on the average of the prices of the previous match and the next match occurring that trading day in that Bulletin Board strategy trades or if this fails to reflect a fair price or such prices are not available, the Exchange may consult up to 3 independent market practitioners who have no interest in the trade to arrive at a valid Notation/Reference Price; or
ii. if the market practitioners cannot provide a fair price of the Bulletin Board strategy trades concerned, the Exchange shall obtain the Notation/Reference Price of each individual leg consisted of the Bulletin Board strategy trades in accordance with the Error Trades Rules for the respective HKFE product or Stock Options executed through the Central Orderbook, then the Exchange shall calculate the fair price of the Bulletin Board strategy trades concerned.
* Notation Price refers to Futures & Index Options while Reference Price refers to Stock Options.
For details, please refer to HKFE Rule 819B under Rules of the Futures Exchange for Futures & Index Options and Gold Futures and Options Trading Rule 540 under Options Trading Rules of the Stock Exchange for Stock Options.