The following tables summarise the market making obligations and incentives in futures and options contracts:
Stock Index Futures
|
Assigned Contract |
Not less than 2 contract months
[i.e. Spot month and the next calendar month]
|
|
Trading Requirement |
Provision of CQ for not less than
70% of the trading hours in each calendar month
|
Response to not less than 70%
of the QR in each calendar month
|
|
Maximum Time Limit for Responding to QR |
N/A |
Response to a QR within 20 seconds of the QR
|
|
Minimum Display Time |
Not fewer than 10 seconds, unless a change in the level of the underlying index occurs during the 10 seconds display period, in which case, market makers may change their quotes
|
|
Maximum Bid/Offer Spread |
Not greater than 15 minimum fluctuations
|
|
Minimum Quote Size |
Not fewer than 5 contracts |
Stock Index Options
|
Assigned Series * |
Not less than 24 option series
(except that, not less than 12 option series for Mini-Hang Seng Index Options)
|
All QR issued (except for QR in long dated index options) |
|
Trading Requirement |
Provision of CQ not less than 70%
of the trading hours in each calendar month |
Response to not less than 70%
of the QR in each calendar month
|
|
Maximum Time Limit for
Responding to QR |
N/A |
Response to a QR within 20
seconds of the QR
|
|
Minimum Display Time |
Not less than 20 seconds, unless a change in the level of the underlying index occurs during the 20 seconds display period, in which case, market makers may change their quotes
|
|
Maximum bid/offer spread
(Except for Long Dated Index Options) |
Contract
Month Option Price Maximum Bid/Offer Spread
1st to 3rd 1 - 750 points 30 points or 10% of bid price,
whichever is higher
751 points or more 75 points
4th to 6th 1 - 750 points 30 points or 20% of bid price,
whichever is higher
751 points or more 150 points
|
|
Minimum Quote Size |
Not fewer than 5 contracts
|
* Stock Index Options
Market makers which are responsible to provide continuous quotes should provide bid / offer quotes in at least 24 option series (12 option series in case of Mini Hang Seng Index options) chosen from the following 40 option series:
|
Spot month |
Out-of-the-Money |
5 |
5 |
|
In-the-Money |
3 |
3 |
|
Second Calendar month |
Out-of-the-Money |
6 |
6 |
|
In-the-Money |
2 |
2 |
|
Third Calendar month |
Out-of-the-Money |
3 |
3 |
|
In-the-Money |
1 |
1 |
|
Sub-total |
20 |
20 |
|
Total |
40 |
Market Maker (MM) Incentives for Stock Index Futures and Options
|
Hang Seng Index Futures (HSIF) |
n.a. |
3.50 (MM in HSIO, MHIF or MHIO) |
10 |
|
Hang Seng Index Options (HSIO) |
2.00 |
3.50 (MM in MHIF or MHIO) |
10 |
|
Mini Hang Seng Index Futures (MHIF) |
0.50 |
1.00 (MM in HSIO or MHIO) |
3.50 |
|
Mini Hang Seng Index Options (MHIO) |
0.40 |
0.70 (MM in HSIO or MHIF) |
2.00 |
|
H-shares Index Futures (HHIF) |
0.50 |
1.00 (MM in HHIO) |
3.50 |
|
H-shares Index Options (HHIO) |
0.50 |
1.00 (MM in HHIF) |
3.50 |
| Mini H-shares Index Futures (MCHF) |
n.a. |
0.70 (MM in HHIF or HHIO) |
2.00 |
*The number of contracts that are eligible for a reduced Exchange Fee may be limited as specified in the Trading Procedures relating to Stock Index Futures and Stock Index Options contained in the HKFE Rules
Stock Futures
|
Assigned Contract |
At least the first 2 contract months
[i.e. Spot Month and the next calendar month]
|
|
Trading Requirement |
Provision of CQ for not less than 70% of thetrading hours in each calendar month |
Response to not less than 70% of the QR in each calendar month
|
|
Maximum Time Limit for Responding to QR |
N/A |
Response to a QR within 10 seconds
|
|
Minimum Display Time
|
Not less than 20 seconds, unless a change in the nominal price of the underlying stock occurs during that period, in which case, the MM may change its Quote provided |
|
Maximum Bid/Offer Spread |
4 times the best bid / offer spread of the underlying stock or HK$0.15, whichever is greater |
|
Minimum Quote Size |
A minimum of 10 contracts
|
Market Maker Incentives for Stock Futures
Stock Options
|
Assigned Series #
|
Not less than 18 option series in an option class |
QR issued in options series in an option class |
|
Trading Requirement |
Provision of CQ for the assigned option series in an option class for 50% or more of thetrading hours in a month |
Response to 50% or more QR in an option class in a month
|
|
Maximum Time Limit for Responding to QR |
N/A |
Response within 20 seconds on receipt of a QR
|
|
Minimum Display Time (QR) |
N/A |
At least 20 seconds, unless a change in the underlying stock price occurs during the 20 seconds display period
|
|
Maximum Bid/Offer Spread |
| Spot month with 3 days or less to expiry |
20% of the bid price of the quote or 3 times the best bid/offer spread of the underlying securities, whichever is the lower. |
20% of the bid price of the quote or 4 times the best bid/offer spread of the underlying securities, whichever is the lower.
|
| Spot month with 4 days or more to expiry and the two next calendar expiry months |
10% of the bid price of the quote or 3 times the best bid/offer spread of the underlying securities, whichever is the lower. |
10% of the bid price of the quote or 4 times the best bid/offer spread of the underlying securities, whichever is the lower.
|
|
The next 2 calendar quarter expiry months |
20% of the bid price of the quote or 4 times the best bid/offer spread of the underlying securities, whichever is the lower.
|
20% of the bid price of the quote or 6 times the best bid/offer spread of the underlying securities, whichever is the lower. |
|
The 3rd calendar quarter expiry month and any other longer-dated expiry month as the Exchange deems necessary |
20% of the bid price of the quote or 8 times the best bid/offer spread of the underlying securities, whichever is the lower.
|
20% of the bid price of the quote or 12 times the best bid/offer spread of the underlying securities, whichever is the lower. |
|
Minimum Quote Size |
Liquidity Level 1 - 30 contracts
Liquidity Level 2 - 15 contracts |
* Liquidity Level Classification
Liquidity levels of option classes are determined by the Exchange from time to time based on the trading liquidity in the underlying stocks
|
|
Liquidity Level |
Minimum Quote Size |
Liquidity Level |
Minimum Quote Size |
| Aluminum Corporation of China Limited |
ALC |
2 |
15 lots |
2 |
15 lots |
| Bank of China Limited |
BCL |
1 |
30 lots |
1 |
30 lots |
| Bank of Communications Co., Limited |
BCM |
1 |
30 lots |
1 |
30 lots |
| The Bank of East Asia, Limited |
BEA |
1 |
30 lots |
| BOC Hong Kong (Holdings) Limited |
BOC |
1 |
30 lots |
| China Construction Bank Corporation |
CCB |
1 |
30 lots |
1 |
30 lots |
| China Communications Construction Company Limited |
CCC |
2 |
15 lots |
2 |
15 lots |
| China Coal Energy Company Limited |
CCE |
2 |
15 lots |
2 |
15 lots |
| China Mobile Limited |
CHT |
2 |
15 lots |
2 |
15 lots |
| China Unicom (Hong Kong) Limited |
CHU |
2 |
15 lots |
2 |
15 lots |
| CITIC Pacific Limited |
CIT |
2 |
15 lots |
2 |
15 lots |
| Cheung Kong (Holdings) Limited |
CKH |
2 |
15 lots |
2 |
15 lots |
| Cheung Kong Infrastructure Holdings Limited |
CKI |
2 |
15 lots |
2 |
15 lots |
| China Life Insurance Company Limited |
CLI |
1 |
30 lots |
1 |
30 lots |
| CLP Holdings Limited |
CLP |
2 |
15 lots |
2 |
15 lots |
| China Merchants Bank Co., Limited |
CMB |
1 |
30 lots |
1 |
30 lots |
| CNOOC Limited |
CNC |
1 |
30 lots |
1 |
30 lots |
| Cathay Pacific Airways Limited |
CPA |
2 |
15 lots |
2 |
15 lots |
| China Petroleum & Chemical Corporation |
CPC |
1 |
30 lots |
1 |
30 lots |
|
China Railway Construction Corporation Limited |
CRC |
2 |
15 lots |
2 |
15 lots |
| China Railway Group Limited |
CRG |
2 |
15 lots |
2 |
15 lots |
| China Shenhua Energy Company Limited |
CSE |
2 |
15 lots |
2 |
15 lots |
| China CITIC Bank Corporation Limited |
CTB |
1 |
30 lots |
1 |
30 lots |
| China Telecom Corporation Limited |
CTC |
2 |
15 lots |
| Denway Motors Limited |
DWM |
2 |
15 lots |
2 |
15 lots |
| Esprit Holdings Limited |
ESP |
2 |
15 lots |
2 |
15 lots |
| Foxconn International Holdings Limited |
FIH |
2 |
15 lots |
2 |
15 lots |
| Hongkong Electric Holdings Limited |
HEH |
2 |
15 lots |
2 |
15 lots |
| Hong Kong Exchanges and Clearing Limited |
HEX |
2 |
15 lots |
2 |
15 lots |
| HSBC Holdings Plc. |
HKB |
2 |
15 lots |
2 |
15 lots |
| The Hong Kong and China Gas Company Limited |
HKG |
2 |
15 lots |
2 |
15 lots |
| Henderson Land Development Company Limited |
HLD |
2 |
15 lots |
2 |
15 lots |
| Huaneng Power International, Inc. |
HNP |
2 |
15 lots |
2 |
15 lots |
| Hang Seng Bank Limited |
HSB |
2 |
15 lots |
2 |
15 lots |
| Hutchison Whampoa Limited |
HWL |
2 |
15 lots |
2 |
15 lots |
| Industrial and Commercial Bank of China Limited |
ICB |
1 |
30 lots |
1 |
30 lots |
| Johnson Electric Holdings Limited |
JSE |
2 |
15 lots |
2 |
15 lots |
| Jiangxi Copper Company Limited |
JXC |
2 |
15 lots |
2 |
15 lots |
| Li & Fung Limited |
LIF |
2 |
15 lots |
2 |
15 lots |
| MTR Corporation Limited |
MTR |
1 |
30 lots |
| New World Development Company Limited |
NWD |
2 |
15 lots |
2 |
15 lots |
| Ping An Insurance (Group) Company of China, Limited |
PAI |
2 |
15 lots |
2 |
15 lots |
| PCCW Limited |
PCC |
2 |
15 lots |
2 |
15 lots |
| PetroChina Company Limited |
PEC |
2 |
15 lots |
2 |
15 lots |
| PICC Property and Casualty Company Limited |
PIC |
2 |
15 lots |
2 |
15 lots |
| Sun Hung Kai Properties Limited |
SHK |
2 |
15 lots |
2 |
15 lots |
| Swire Pacific Limited 'A' |
SWA |
2 |
15 lots |
2 |
15 lots |
| Tracker Fund of Hong Kong |
TRF |
2 |
15 lots |
2 |
15 lots |
| The Wharf (Holdings) Limited |
WHL |
2 |
15 lots |
2 |
15 lots |
Changes in liquidity level are highlighted
# Stock Options
Market makers which are responsible to provide continuous quotes should provide bid / offer quotes in at least 18 option series chosen from the following 50 option series:
|
Spot month |
Out-of-the-Money |
3 |
3 |
|
In-the-Money |
2 |
2 |
|
Second Calendar month |
Out-of-the-Money |
3 |
3 |
|
In-the-Money |
2 |
2 |
|
Third Calendar month |
Out-of-the-Money |
3 |
3 |
|
In-the-Money |
2 |
2 |
|
First Quarter month |
Out-of-the-Money |
3 |
3 |
|
In-the-Money |
2 |
2 |
|
Second Quarter month |
Out-of-the-Money |
3 |
3 |
|
In-the-Money |
2 |
2 |
|
Sub-total |
25 |
25 |
|
Total |
50 |
Market Maker Incentives for Stock Options
|
Tier 1
|
Response to Total
Quote Requests in a Month |
70% or more |
1.50 |
3.00 |
|
less than 70% |
3.00 |
3.00 |
|
Provision of Continuous Quotes
in the Trading Hours in a Month |
70% or more |
1.50 |
3.00 |
|
less than 70% |
3.00 |
3.00 |
|
Tier 2
|
Response to Total
Quote Requests in a Month |
70% or more |
0.80 |
1.00 |
|
less than 70% |
1.00 |
1.00 |
|
Provision of Continuous Quotes
in the Trading Hours in a Month |
70% or more |
0.80 |
1.00 |
|
less than 70% |
1.00 |
1.00 |
HIBOR Futures and EFN Futures
One-Month HIBOR Futures (HB1)
|
Assigned Contract
|
Not less than first 3 contract months |
|
Trading Requirement
|
Provision of CQ for not less than 70%
of the trading hours in each calendar month |
Response to not less than 70%
of the QR in each calendar month |
|
Maximum Time Limit for Responding to QR
|
N/A |
Within 30 seconds on receipt of a QR |
|
Minimum Display Time
|
Not less than 15 seconds |
|
Maximum Bid/Offer Spread
|
Not greater 10 Minimum Fluctuations |
Not greater 7 Minimum Fluctuations |
|
Minimum Quote Size
|
Not less than 5 contracts |
Not less than 10 contracts |
|
Non-Market Making Hours |
A market maker shall not be required to meet the trading requirements during the following period:
| 1. The first 5 minutes of each morning trading session; and |
| 2. 11:30 a.m. to 12:00 noon and from 1:30 p.m. to 2:00 p.m. on each Business Day. | |
Three-Month HIBOR Futures (HB3)
|
Assigned Contract
|
Spot contract month plus not less than the first 4 quarter contract months |
|
Trading Requirement
|
Provision of CQ for not less than 70%
of the trading hours in each calendar month |
Response to not less than 70%
of the QR in each calendar month |
|
Maximum Time Limit for Responding to QR
|
N/A |
Response to a QR on an assigned
contract month within 30 seconds of the QR |
|
Minimum Display Time
|
Not less than 15 seconds |
|
Maximum Bid/Offer Spread
|
Not greater than 10 minimum fluctuations |
not greater than 7 minimum fluctuations |
|
Minimum Quote Size
|
not less than 5 contracts |
not less than 10 contracts |
|
Non-Market Making Hours |
A market maker shall not be required to meet the trading requirements during the following period:
| 1. The first 5 minutes of each morning trading session; and |
| 2. 11:30 a.m. to 12:00 noon and from 1:30 p.m. to 2:00 p.m. on each Business Day. | |
Three-Year Exchange Fund Note (EFN) Futures
|
Assigned Contract
|
First 2 calendar quarter contract months and 1 calendar spread for spot/next contract months |
|
Trading Requirement |
Provision of CQ for the assigned contract months for not less than 70% of the trading hours in each calendar month
Provision of CQ for the calendar spread for the spot/next contract months for not less than 70% of the trading hours during the last 11 trading days of the spot month. |
Response to not less than 70% of the QR on the assigned contract months in each calendar month
Response to not less than 70% of the QR for the calendar spread for the spot/next contract months during the last 11 trading days of the spot month.
|
|
Maximum Time Limit for Responding to QR
|
N/A |
Within 30 seconds of the QR |
|
Minimum Display Time
|
Not less than 15 seconds |
|
Maximum Bid/Offer Spread
|
| 1. Not greater than 15 minimum fluctuations in the assigned contract months |
2. Not greater than 25 minimum fluctuations in the calendar spread for the spot/next
contract months | |
|
Minimum Quote Size
|
Not less than 25 contracts |
Not less than 50 contracts |
|
Non-Market Making Hours |
A market maker shall not be required to meet the trading requirements during the following period:
| 1. The first 5 minutes of each morning trading session; and |
| 2. 11:30 a.m. to 12:00 noon and from 1:30 p.m. to 2:00 p.m. on each Business Day. | |
Market Maker Incentives for HIBOR Futures and Three-Year Exchange Fund Note Futures
|
One-Month HIBOR Futures
Three-Month HIBOR Futures |
1.00 |
5.00 |
|
Three-Year Exchange Fund Note Futures |
2.00 |
6.00 |
Gold Futures
|
Assigned Contract |
Spot month
(or other contract months as agreed with LP) |
Spot month |
|
Trading Requirement |
Provision of CQ for not less than 70% of the trading hours in each calendar month |
Response to not less than 50% of the QR in each calendar month |
|
Maximum Time Limit for Responding to QR |
N/A |
Response to a QR within 10 seconds |
|
Minimum Display Time |
N/A |
Not less than 10 seconds |
|
Maximum Bid/Offer Spread |
Not greater than US$0.5 |
Not greater than US$0.7 |
|
Minimum Quote Size |
Not fewer than 10 contracts |
|
Market Making Hours |
Same as trading hours |
The appointments of LPs are subject to commercial agreements between the Exchange and LPs in terms of price quoting services and incentives. The Chief Executive of HKFE may, at his sole discretion, waive parts of the obligations in view of adverse market conditions which may arise from time to time.