Current location - Trademark Inquiry Complete Network - Futures platform - What is the contract unit of Hang Seng Index?
What is the contract unit of Hang Seng Index?
Hong Kong Securities and Futures Commission August 2003

Foreign exchange futures Hong Kong Hang Seng Index contract table

Cross-reference

Constant index number (compiled, calculated and published by Constant Index Service Co., Ltd.) *

Subject matter of contract

Hang Seng Index of foreign exchange futures 100000, 10000, 1000.

Contract multiplier

HK$ 50.000 per finger *

Contract month

The current month, the next month and the next two quarterly months (quarterly months refer to March, June, September,1February).

Quotation unit

Index 1500 points

Lowest lattice wave amplitude

A finger point

Maximum valence lattice wave amplitude

not have

Make a contract a price

The price of the Hang Seng Index futures contract registered with the clearing company (calculated by the complete index point)

Contract value

Multiply the contract, multiply the contract, multiply the number.

Position limit

Regardless of the long position or short position, the monthly positions of Hang Seng Index Futures, Hang Seng Index Options, Small Hang Seng Index Futures and Small Hang Seng Index Options are limited to * * * delta 10000, and under any circumstances, the long position or short position of Small Hang Seng Index Futures and Small Hang Seng Index Options cannot exceed delta 20,000. When calculating the position limit, the position delta of each small Hang Seng Index futures is 0.2, and the position delta of each small Hang Seng Index option is one-fifth of the exercise price of the relevant Hang Seng Index option: Note: The subject matter of the contract will be revised from time to time.

A large number of open contracts were contracted.

In the company account of each exchange participant, 500 open contracts must be reported in any contract month; and

For each customer account of an exchange participant, 500 open contracts must be reported in any contract month:

Pre-listing period

(Xianggang time)

9: 00 pm 15 to 9: 45 pm

From 2 pm to 2: 30 pm the next day.

Commutation time

(Xianggang time)

9: 45 a.m. to p.m. 12: 30 p.m.

2: 30 pm to 4: 00 pm 15 pm.

Trading hours of the last trading day

(Xianggang time)

9: 45 a.m. to p.m. 12: 30 p.m.

2: 30 pm to 4: 00 pm #

# If the closing time of the spot market changes, the closing time of the futures market will be automatically adjusted according to the change of the closing time of the spot market.

Reciprocity method

Automatic exchange of electrons

Final settlement date

Last second working day of each month

Final settlement price

The final settlement price of the Hang Seng Index futures contract shall be determined by the clearing company and based on the average value of the index points quoted by Hang Seng Index Services Limited every five minutes on the last trading day. The final settlement price shall be lowered to the nearest integer index point. In some cases, the chief executive of the exchange has the right to decide the final settlement price according to the laws and regulations governing the trading of stock index futures contracts.

transaction cost

(One-sided meter per contract)

The transaction cost is HK$ 65,438+RMB 05.000.

The above fees will be adjusted from time to time.

levy

(One-sided meter per contract)

The CSRC levies HK$ 65,438 +0.00.

Investor compensation levy of HK$ 0.50.

The proportion or amount of the levy of the SFC and the levy of investor compensation will be determined from time to time according to the Ordinance. The above amount is for reference only and will be adjusted according to the amount stipulated in the then regulations. The investor compensation levy will not be paid within the validity period of the exemption announcement published in accordance with Rule 25 of the Securities and Futures (Investor Compensation-Levy) Rules. Exchange participants will be notified of the waiver announcement (and the termination of the waiver announcement).

commission

(One-sided meter per contract)

Business discussion

Event code

Hang Seng index

Listed exchange

Hong Kong

Calculation formula of Hang Seng Index

The calculation formula of today's Hang Seng Index:

Current index: current index

Yesterday's closing index: yesterday's closing index.

P(t): current share price

P(t- 1): the closing price of the last day.

IS: number of issued shares FAF: circulation coefficient

CF: the upper limit coefficient of specific gravity (for example, the upper limit coefficient of specific gravity is 40%, that is, only 40% of the outstanding shares of constituent stocks are calculated in the index compilation. )

The benchmark date is1July 3, 9641day, and the benchmark index is 1500 points.

The calculation methods and formulas of the four sub-indices are the same as those of Hang Seng Index.

On June 30, 2006, Hang Seng Index Service Co., Ltd. announced that after joining H shares, the calculation method of Hang Seng Index will be changed, as well as the number and impact on existing constituent stocks. (For details, please refer to # External Link | External Link)