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Market Making/Liquidity Providing Obligations and Incentives

Introduction

HKEX’s derivatives market has both Market Maker (MM) Program and / or Liquidity Provider (LP) Program for different derivatives products.  The MM obligations and MM incentives under the MM Program for futures contracts and index options contracts are set out in the HKFE Rules.  The MM obligations and MM incentives under the MM Program for stock options contracts are set out in the Options Trading Rules of the Stock Exchange.  LP Program is a commercial arrangement for the Exchange to appoint LPs to provide liquidity for new products, which require more flexibility in terms of LP obligations and LP incentives and are not stipulated in the exchange rules and procedures. 

The derivatives products with MM Program and / or LP Program are as follows:

Product Type Contract MM Program LP Program
Futures Contracts

Stock Index Futures

HSI Volatility Index Futures
HSI Dividend Point Index Futures
HSCEI Dividend Point Index Futures
Hang Seng Mainland Oil & Gas Index Futures 
Hang Seng Mainland Banks Index Futures
Hang Seng Mainland Properties Index Futures
Hang Seng Index (Gross Total Return) Index Futures
Hang Seng Index (Net Total Return) Index Futures
Hang Seng China Enterprises Index (Gross Total Return Index) Futures
Hang Seng China Enterprises Index (Net Total Return Index) Futures

Hang Seng TECH Options
MSCI Asia ex Japan Net Total Return (USD) Index Futures
MSCI Asia ex Japan Net Total Return (USD) Index Futures Calendar Spread
MSCI Taiwan (USD) Index Futures
MSCI Taiwan (USD) Index Futures Calendar Spread
MSCI Taiwan Net Total Return (USD) Index Futures
MSCI Taiwan Net Total Return (USD) Index Futures Calendar Spread
MSCI Japan Net Total Return (USD) Index Futures
MSCI Japan Net Total Return (USD) Index Futures Calendar Spread
MSCI India Net Total Return (USD) Index Futures
MSCI India Net Total Return (USD) Index Futures Calendar Spread
MSCI China Free Net Total Return (USD) Index Futures
MSCI China Free Net Total Return (USD) Index Futures Calendar Spread
MSCI Indonesia Net Total Return (USD) Index Futures
MSCI Indonesia Net Total Return (USD) Index Futures Calendar Spread
MSCI Thailand Net Total Return (USD) Index Futures
MSCI Thailand Net Total Return (USD) Index Futures Calendar Spread
MSCI Malaysia Net Total Return (USD) Index Futures
MSCI EM Asia Net Total Return (USD) Index Futures
MSCI EM Asia Net Total Return (USD) Index Futures Calendar Spread
MSCI Hong Kong Net Total Return (USD) Index Futures
MSCI Philippines Net Total Return (USD) Index Futures
MSCI Emerging Markets Net Total Return (USD) Index Futures
MSCI Emerging Market Net Total Return (USD) Index Futures Calendar Spread
MSCI Emerging Markets (USD) Index Futures
MSCI Emerging Markets (USD) Index Futures Calendar Spread
MSCI Taiwan 25/50 (USD) Index Futures
MSCI Taiwan 25/50 (USD) Index Futures Calendar Spread
MSCI Singapore Free (SGD) Index Futures
MSCI Taiwan (USD) Index Futures Calendar Spread
MSCI Taiwan 25/50 (USD) Index Futures Calendar Spread
MSCI China (USD) Index Futures
MSCI China Net Total Return (USD) Index Futures
MSCI China Net Total Return (USD) Index Futures Calendar Spread 
MSCI China A 50 Connect (USD) Index Futures Calendar Spread
MSCI China A 50 Connect (USD) Index Futures

Stock Futures Single Stock Futures  N/A
Currency Futures USD/CNH Futures
EUR/CNH Futures
JPY/CNH Futures
AUD/CNH Futures
CNH/USD Futures

USD/CNH Futures
EUR/CNH Futures
JPY/CNH Futures
AUD/CNH Futures
CNH/USD Futures
INR/USD Futures
INR/CNH Futures

Interest Rate Futures 1-month HIBOR Futures
3-month HIBOR Futures
N/A
Commodity Futures N/A

USD London Aluminum Mini Futures
USD London  Zinc Mini  Futures
USD London Copper Mini Futures

USD Gold Futures

USD Silver Futures

 

Option Contracts

Stock Index Options Hang Seng Index (HSI) Options
Hang Seng Index Futures Options
Weekly Hang Seng Index (WHSI) Options
Mini-Hang Seng Index (Mini-HSI) Options
Hang Seng China Enterprises Index (HSCEI) Options
Hang Seng China Enterprises Index Futures Options
Weekly Hang Seng China Enterprises Index (WHSCEI) Options
Mini-Hang Seng China Enterprises Index (Mini-HSCEI) Options
Hang Seng TECH Index (HTI) Options
Hang Seng TECH Index Futures Options
N/A
Stock Options Single Stock Options N/A
Currency Options N/A USD/CNH Options

 

Quota for Liquidity Providers on HKFE products

Contracts

Tier

Session

Total Quota

Remaining Quota

 

Basket of MSCI Index Futures:

T Session: 17 MSCI Index Futures
T+1 Session: 11 MSCI Index Futures
Calendar Spread: 11 MSCI Index Futures

1

T , T+1 & Calendar Spread

1

0

MSCI Taiwan (USD) Index Futures

2

T

5

0

3

T+1

3

0

MSCI Taiwan (USD) Index Futures - Calendar Spread

2

T

3

0

HS TECH Index Options

2

T

Nil

N/A

Eligibility

Product Type MM LP
HKFE Futures Contracts and Option Contracts
  •    HKFE Exchange Participant (EP), or
  •    Corporate entity as client of EP must  has an association to the EP and also must  meet at least one of the requirements:
    i) be a regulated entity by the Securities and Futures Commission (SFC) to deal in securities or futures contracts, except as an introducing agent ; or licensed for similar activity by an overseas authority having a Memorandum of Understanding with SFC;
    Ii)   be a licensed bank;
    Iii)  have a credit rating of A- or above (S&P) or A3 or above (Moody’s); or
    iv)  have a minimum paid-up capital of HK$50 mil. and minimum shareholder funds of HK$100 mil.
HKFE Exchange Participant or the client of the Exchange Participant
SEHK Stock Options Option Trading Exchange Participant
(Affiliates of Option Trading Exchange Participant can be stock options Market Maker via the Option Trading Exchange Participant as its agent)
N/A

For the List of Market Makers/ Liquidity Provider

Please refer the hyperlink below:

https://www.hkex.com.hk/Products/Listed-Derivatives/Market-Maker-Program/List-of-Market-Makers_Liquidity-Providers?sc_lang=en


LP and market making obligations and incentives

The following tables summarise the market making obligations and incentives in futures and options contracts:

Stock Index Futures (Except Sector Index Futures, Dividend Point Index Futures, Volatility Index Futures and HSI and HSCEI Total Return Index Futures, please refer the tables below for the requirements)

Market Making
Obligation
Provision of
Continuous Quotes (CQ)
Response to
Quote Requests (QR)
Assigned Contract
Not less than 2 contract months
[i.e. Spot month and the next calendar month] 
All 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 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


Sector Index Futures 

Market Maker Obligations

Market Making
Obligation
Provision of
Continuous Quotes (CQ)
Response to
Quote Requests (QR)
Assigned Contract Not less than 2 contract months
[i.e. Spot month and the next calendar month] 
All 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 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   
Hang Seng Mainland Oil & Gas Index Futures 4 Index points or 0.2% of bid price, whichever is higher
Hang Seng Mainland Banks Index Futures 6 Index points or 0.2% of bid price, whichever is higher
Hang Seng Mainland Properties Index Futures 7 Index points or 0.2% of bid price, whichever is higher
Minimum Quote Size
 
  Not fewer than 5 contracts
  

Dividend Index Point Futures  

Market Making
Obligation
Provision of
Continuous Quotes (CQ)
Response to
Quote Requests (QR)
Assigned Contract All five yearly contracts  
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 30.00 points or 10% of bid price, whichever is higher
Minimum Quote Size 50 contracts

 
HSI Volatility Index Futures

Market Making
Obligation
Provision of
Continuous Quotes (CQ)
Response to
Quote Requests (QR)
Assigned Contract All contract months
(Spot month and the next two calendar 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 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
 
0.50 points or 5% of bid price,  whichever is higher 
Minimum Quote Size
 
Not fewer than 5 contracts


Hang Seng Index and Hang Seng China Enterprises Index Total Return Index Futures


Obligation
Provision of
Continuous Quotes (CQ)
Response to
Quote Requests (QR)
Assigned Contract Not less than 2 contract months
[i.e. Spot month and the next calendar month]
All 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 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
Hang Seng Index (Gross Total Return Index) Futures Contracts 600.00 Index points or 1% of bid price, whichever is higher
Hang Seng Index (Net Total Return Index) Futures Contracts 600.00 Index points or 1% of bid price, whichever is higher
Hang Seng China Enterprises Index (Gross Total Return Index) Futures Contracts 200.00 Index points or 1% of bid price, whichever is higher
Hang Seng China Enterprises Index (Net Total Return Index) Futures Contracts 200.00 Index points or 1% of bid price, whichever is higher 
Minimum Quote Size
1 contract


Stock Index Options (Excluding Weekly Index Options)

There are three types of market makers in HKEX’s stock index options market:
- Primary Market Maker (PMM);
- Market maker providing continuous quotes (CQMM); and
- Market maker responding to quote request (QRMM). 

For details of PMM Program, please refer to the hyperlink below:

http://www.hkex.com.hk/eng/market/dv_tradfinfo/pmm.htm

Below is a summary of the CQMM and QRMM program (T Session):
Market Making
Obligation
Provision of
Continuous Quotes (CQ)
Response to
Quote Requests (QR)
Assigned Series Not less than 50 option series* (except that, not less than 25 option series for Mini-Hang Seng Index Options and Mini-HSCEI 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 price level of the Spot Month Futures Contracts 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)
For HSI Options, HSCEI Options and HS TECH Index Options: 
Month Price Max. bid/offer spread
1st, 2nd, 3rd, 4th calendar  1-750 points Max (30 points, 10% of bid)
> 750 points 75 points
1st , 2nd quarter  1-750 points Max (40 points, 20% of bid)
> 750 points 150 points
3rd quarter  1-750 points Max (50 points, 25% of bid)
> 750 points 200 points
 
For Mini-HSI Options and Mini-HSCEI Options: 
Month Price Max. bid/offer spread
1st, 2nd calendar  1-750 points Max (30 points, 10% of bid)
> 750 points 75 points
1st quarter  1-750 points Max (40 points, 20% of bid)
> 750 points 150 points
2nd quarter  1-750 points Max (40 points, 20% of bid)
> 750 points 150 points
Minimum Quote Size
 
For HSI Options, HSCEI Options and HSTECH index Options              
Month Min. Quote Size
1st, 2nd, 3rd, 4th calendar 5 contracts
1st , 2nd, 3rd quarter 3 contracts
For Mini-HSI Options and Mini-HSCEI Options 
Month Min. Quote Size
1st , 2nd calendar 5 contracts
1st , 2nd quarter 3 contracts

* For HSI Options, HSCEI Options and HS TECH Index Options, CQMM should provide bid/offer quotes in at least 50 option series chosen from the following selection pool:  

Contract Month Option Series Series For Selection
Call Put
Spot month  Out-of-the-Money 15 15
 In-the-Money 2 2
2nd Calendar Month  Out-of-the-Money 15 15
 In-the-Money 2 2
3rd Calendar Month  Out-of-the-Money 15 15
 In-the-Money 2 2
4th Calendar Month  Out-of-the-Money 10 10
 In-the-Money 2 2
1st Quarter Month  Out-of-the-Money 10 10
 In-the-Money 2 2
2nd Quarter Month  Out-of-the-Money 10 10
 In-the-Money 2 2
3rd Quarter Month  Out-of-the-Money 10 10
 In-the-Money 2 2
Total 198

  
** For Mini-HSI Options and Mini-HSCEI Options, CQMM should provide bid / offer quotes in at least 25 option series chosen from the following selection pool:

Contract Month Option Series Series For Selection
Call Put
Spot month  Out-of-the-Money 15 15
 In-the-Money 2 2
2nd Calendar Month  Out-of-the-Money 15 15
 In-the-Money 2 2
1st Quarter Month  Out-of-the-Money 10 10
 In-the-Money 2 2
2nd Quarter Month  Out-of-the-Money 10 10
 In-the-Money 2 2
Total 116


Below is a summary of the CQMM and QRMM program (T +1 Session):

Market Making
Obligation

Provision of
Continuous Quotes (CQ)

Response to
Quote Requests (QR)

Assigned Series

Not less than 50 option series* (except that, not less than 25 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 35%
of the trading hours in each calendar month

Response to not less than 35%
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 price level of the Spot Month Futures Contracts 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)

For HSI Options, HSCEI Options and HSTECH Options:

Month

Price

Max. bid/offer spread

1st, 2nd, 3rd, 4th calendar

1-750 points

Max (40 points, 20% of bid)

> 750 points

150 points

1st ,2nd quarter

1-750 points

Max (60 points, 30% of bid)

> 750 points

225 points

3rd quarter

1-750 points

Max (80 points, 40% of bid)

> 750 points

300 points


For Mini-HSI Options:

Month

Price

Max. bid/offer spread

1st, 2nd calendar

1-750 points

Max (40 points, 20% of bid)

> 750 points

150 points

1st quarter

1-750 points

Max (60 points, 30% of bid)

> 750 points

225 points

2nd quarter

1-750 points

Max (60 points, 30% of bid)

> 750 points

225 points

Minimum Quote Size

For HSI Options, HSCEI Options and HSTECH Options

Month

Min. Quote Size

1st, 2nd, 3rd, 4th calendar

3 contracts

1st ,2nd, 3rd quarter

2 contracts

For Mini-HSI Options

Month

Min. Quote Size

1st, 2nd calendar

3 contracts

1st ,2ndquarter

2 contracts

* For HSI Options, HSCEI Options and HSTECH Options , CQMM in the T+1 Session should provide bid/offer quotes in at least 50 option series chosen from the following selection pool:  

Contract Month

Option Series

Series For Selection

Call

Put

Spot month

Out-of-the-Money

15

15

In-the-Money

2

2

2ndCalendar Month

Out-of-the-Money

15

15

In-the-Money

2

2

3rdCalendar Month

Out-of-the-Money

15

15

In-the-Money

2

2

4th Calendar Month

Out-of-the-Money

10

10

In-the-Money

2

2

1st Quarter Month

Out-of-the-Money

10

10

In-the-Money

2

2

2nd Quarter Month

Out-of-the-Money

10

10

In-the-Money

2

2

3rd Quarter Month

Out-of-the-Money

10

10

In-the-Money

2

2

Total

198

** For Mini-HSI Options, CQMM in the T+1 Session should provide bid / offer quotes in at least 25 option series chosen from the following selection pool:

Contract Month

Option Series

Series For Selection

Call

Put

Spot month

Out-of-the-Money

15

15

In-the-Money

2

2

2nd Calendar Month

Out-of-the-Money

15

15

In-the-Money

2

2

1st Quarter Month

Out-of-the-Money

10

10

In-the-Money

2

2

2nd Quarter Month

Out-of-the-Money

10

10

In-the-Money

2

2

Total

116


Weekly Stock Index Options

MM for T Session

MM for T+1 Session

For MM that provides continuous quote (CQ):

Min. % of trading hours coverage

70% of T Session

70% of T+1 Session

Min. Quote series

(selected from the pool*)

30 series in total for spot week and next week contracts (or 15 series if only one contract is available.**)

30 series in total for spot week and next week contracts (or 15 series if only one contract is available.**)

Min. Quote Size

5 contracts

5 contracts

Max. bid/offer spread

Price

1-750 points

>750 points

Max. bid/offer spread

Max (30 points, 10% of bid)

75 points

Max. bid/offer spread

Max (40 points, 20% of bid)

150 points

For MM that responds to quote request (QR):

Min. % of QR responses

70% of QR issued in T Session

70% of QR issued in T+1 Session

Max. Time to respond to QR and Min. Display time

20 sec

20 sec

Min. Quote Size

5 contracts

5 contracts

Max. bid/offer spread

Price

1-750 points

>750 points

Max. bid/offer spread

Max (30 points, 10% of bid)

75 points

Max. bid/offer spread

Max (40 points, 20% of bid)

150 points

*CQMM can select options series from the following CQ series selection pool:

Contract Month

Moneyness

Call

Put

Spot Week

Nearest OTM

14

14

Nearest ITM

2

2

Next Week

Nearest OTM

14

14

Nearest ITM

2

2

Total

64


Market Maker (MM) Incentives for Stock Index Futures and Options

Product Market Maker
Fee (HK$)
Market Maker in Other Stock Index
Products with same underlying Index
Fee (HK$)*
Standard
Exchange
Fee (HK$)
Hang Seng Index Futures (HSIF) n.a. 3.50 (MM in HSIO, MHIF or MHIO) 10.00
Hang Seng Index Options (HSIO) 2.00** 3.50* (MM in MHIF or MHIO) 10.00
Weekly Hang Seng Index Options (WHSI) 2.00** 3.50* (MM in HSIO, MHIF or MHIO)  10.00
Mini Hang Seng Index Futures (MHIF) n.a. 1.00 (MM in HSIO, WHSIO or MHIO) 3.50
Mini Hang Seng Index Options (MHIO) 0.40** 0.70* (MM in HSIO, WHSIO or MHIF) 2.00
Hang Seng China Enterprises Index Futures (HHIF) n.a. 1.00 (MM in HHIO or MCHO) 3.50
Hang Seng China Enterprises Index Options (HHIO) 0.50** 1.00* (MM in HHIF or MCHO) 3.50
Hang Seng TECH Index Futures (HTIF)  n.a.  1.75* (MM in HTIO and HTI OOF)  5.0
Hang Seng TECH Index Options (HTIO) 1.0  1.75*(MM in HTI OOF)  5.0 
Weekly Hang Seng China Enterprises Index Options (WHHIO)  0.50**  1.00* (MM in HHIO or MCHO)  3.50
Mini-Hang Seng China Enterprises Index Futures (MCHF) n.a. 0.70 (MM in HHIO, WHHIO or MCHO) 2.00
Mini-Hang Seng China Enterprises Index Options (MCHO) 0.20 0.35 (MM in HHIO) 1.00
HSI Dividend Futures 0.60 n.a. 3.00
HSCEI Dividend Futures 0.30 n.a. 1.50
Hang Seng (Gross Total Return) Index Futures  6.00 n.a. 30.0
Hang Seng (Net Total Return) Index Futures 6.00 n.a. 30.0
Hang Seng China Enterprises (Gross Total Return) Index Futures  2.00 n.a.  10.0
Hang Seng China Enterprises (Net Total Return) Index Futures 2.00  n.a. 10.0
HSI Volatility Index Futures 2.00 n.a. 10.00
Sector Index Futures 0.40 n.a. 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
**
If the MM performance in T+1 Session is better than the MM Obligation in
T+1 Session, trading fees for the products which the MM make market in the T+1 Session may be waived.  Please refer to the circular (ref: MO/DT/026/18) http://www.hkex.com.hk/-/media/HKEX-Market/Services/Circulars-and-Notices/Participant-and-Members-Circulars/HKFE/2018/MO_DT_026_18_e.pdf for details.

Additional Waiver of Monthly Sub-licence fee for OAPI (CQMM of Weekly Stock Index Options)

No. of OAPI

MM for T Session

MM for T+1 Session

Weekly HSI Options

1 OAPI (HK$2,600 per month)

4 OAPIs (HK$10,400 per month)

Weekly HSCEI Options

1 OAPI (HK$2,600 per month)

4 OAPIs (HK$10,400 per month)


Liquidity Providers Obligations and Incentives of Hang Seng TECH Index Futures

Tier

Assigned Contract Months

Minimum % Trading Hours

(T session)

Maximum Bid/Offer Spread

Minimum Quote Quantity
(contracts)

Monthly HSTECH futures volume

A

 Spot Month

70%

0.07% of bid price

2

 N/A
 B  Spot Month 70%  0.10% of bid price   2 N/A 
 C  Spot Month  50% - 70% 0.10% of bid price    2  1,000
 D  Spot Month less than 50%  0.10% of bid price    2 N/A 

Incentives

- Trading fee discount and OAPI sub- license fee wavier

Liquidity Providers Obligations and Incentives of Hang Seng TECH Index Options

Contracts Trading Requirement Assigned Series Maximum bid / offer spread (ticks)  Minimum Quote Size (contracts) Minimum % of Trading hours 
Hang Seng TECH Index Options CQ Not less than 50 option series  (choose from Table 1) Refer to Table 2 65% 

 
Table 1 (Options series selection pool)

Contract Month

Option Series

Series for selection

Call

Put

Spot Calendar Month

Out-of-the-Money

15

15

 

In-the-Money

2

2

Next Calendar Month

Out-of-the-Money

15

15

 

In-the-Money

2

2

First Quarter Month

Out-of-the-Money

10

10

 

In-the-Money

2

2

Second Quarter Month

Out-of-the-Money

10

10

 

In-the-Money

2

2

Total

116

Table 2 (maximum options bid/offer spread)

Contract Month

Option Premium

Maximum Bid/Offer Spread

Spot Calendar Month and Next Calendar Month

1-750 points

30 points or 10% of bid price, whichever is higher

More than 750 points

75 points

First Quarter Month and Second Quarter Month

1-750 points

40 points or 20% of bid price, whichever is higher

More than 750 points

150 points

Incentives
- Trading fee discount and OAPI sub- license fee wavier


Liquidity Providers Obligations and Incentives of MSCI Asia and Emerging Markets Index Futures

Tier 1 (T session)

Contracts

Assigned Contract Months

Minimum % Trading Hours

(T session)

Maximum Bid/Offer Spread

Minimum Quote Quantity
(contracts)

 Calendar Spread
Contract Month
 Max. Bid /Offer 
(index point)
 Min. Quote Quantity
(Contracts)
MSCI Asia ex Japan Net Total Return (USD) Index Futures  Nearest First Calendar Quarter Month  70%  0.15% of bid price 15   Nearest First Quarter Month/ 
2nd Quarter Month
 1.5 20 

MSCI Taiwan Net Total Return (USD) Index Futures

Nearest First Calendar Quarter Month

70%

0.38% of bid price

20

 Nearest First Quarter Month/ 
2nd Quarter Month
 1.5 50 

MSCI Japan Net Total Return (USD) Index Futures

Nearest First Calendar Quarter Month

70%

0.20% of bid price

20

 Nearest First Quarter Month/ 
2nd Quarter Month
 10  50

MSCI India Net Total Return (USD) Index Futures

Nearest First Calendar Quarter Month

70%

0.50% of bid price

5

 Nearest First Quarter Month/ 
2nd Quarter Month
 3 10 

MSCI China Free Net Total Return (USD) Index Futures

Nearest First Calendar Quarter Month

70%

0.20% of bid price

10

     

MSCI Indonesia Net Total Return (USD) Index Futures

Nearest First Calendar Quarter Month

70%

0.60% of bid price

10

 Nearest First Quarter Month/ 
2nd Quarter Month
 4 50 

MSCI Thailand Net Total Return (USD) Index Futures

Nearest First Calendar Quarter Month

70%

0.45% of bid price

15

 Nearest First Quarter Month/ 
2nd Quarter Month
 4 40 

MSCI Malaysia Net Total Return (USD) Index Futures

Nearest First Calendar Quarter Month

70%

0.45% of bid price

5

     

MSCI EM Asia Net Total Return (USD) Index Futures

Nearest First Calendar Quarter Month

70%

0.18% of bid price

15

Nearest First Quarter Month/ 
2nd Quarter Month
 1.2 40 

MSCI Hong Kong Net Total Return (USD) Index Futures

Nearest First Calendar Quarter Month

70%

0.38% of bid price

5

     

MSCI Philippines Net Total Return (USD) Index Futures

Nearest First Calendar Quarter Month

70%

0.75% of bid price

5

     

MSCI Emerging Markets Net Total Return (USD) Index Futures

Nearest First Calendar Quarter Month

70%

0.15% of bid price

20

Nearest First Quarter Month/ 
2nd Quarter Month
 1 50 

MSCI Emerging Markets (USD) Index Futures

Nearest First Calendar Quarter Month

70%

0.15% of bid price

20

Nearest First Quarter Month/ 
2nd Quarter Month
 1.5 20 
MSCI Taiwan 25/50 (USD) Index Futures  Spot Month  70%  0.35% of bid price 5 Spot Month/ 
2nd Calendar Month 
20 
Nearest First Calendar Quarter Month  70%  0.35% of bid price     5

MSCI Singapore Free (SGD) Index Futures

Spot Month

70%

0.35% of bid price

5

     

Nearest First Calendar Quarter Month

0.35% of bid price

5

     

MSCI China (USD) Index Futures

Nearest First Calendar Quarter Month

70%

0.20% of bid price

5

     

MSCI China Net Total Return (USD) Index Futures

Nearest First Calendar Quarter Month

70%

0.20% of bid price

10

 Spot Month/ 
2nd Calendar Month
1 20 
MSCI China (USD) Index Futures  Spot Month  70%  0.118% of bid      
 Next Calendar Month  70%  0.139% of bid 2      


Tier 1 (T+1 Session)

Contracts

Assigned Contract Months

Minimum % Trading Hours (T+1 session)

Maximum Bid/Offer Spread

Minimum Quote Quantity
(contracts)

MSCI Asia ex Japan Net Total Return (USD) Index Futures Nearest First Calendar Quarter Month 50%   0.15% of bid price 15 
MSCI China Free Net Total Return (USD) Index Futures Nearest First Calendar Quarter Month  50% 0.25% f bid price  10

MSCI Taiwan Net Total Return (USD) Index Futures

Nearest First Calendar Quarter Month

50%

0.38% of bid price

20

MSCI Japan Net Total Return (USD) Index Futures

Nearest First Calendar Quarter Month

50%

0.15% of bid price

20

MSCI India Net Total Return (USD) Index Futures

Nearest First Calendar Quarter Month

50%

0.25% of bid price

5

MSCI Indonesia Net Total Return (USD) Index Futures

Nearest First Calendar Quarter Month

50%

0.60% of bid price

10

MSCI EM Asia Net Total Return (USD) Index Futures

Nearest First Calendar Quarter Month

50%

0.18% of bid price

15

MSCI Emerging Markets Net Total Return (USD) Index Futures

Nearest First Calendar Quarter Month

50%

0.15% of bid price

20

MSCI Taiwan 25/50 (USD) Index Futures   Spot Month  50%  0.35% of bid price  5
 Nearest First Calendar Quarter Mont  50%  0.35% of bid price

MSCI Singapore Free (SGD) Index Futures

Spot Month

50%

0.35% of bid price

5

Nearest First Calendar Quarter Month

0.35% of bid price

 MSCI China Net Total Return (USD) Index Futures  Nearest First Quarter Month 50%  0.128% of bid price   2


Tier 2

Products

Assigned Contract Months

Minimum % Trading Hours

(T Session)

Maximum Bid/Offer Spread

Minimum Quote Quantity
(contracts)

MSCI Taiwan (USD) Index Futures (T session)

Spot

70%

0.045 - 0.09% of bid price

2

MSCI Taiwan (USD) Index Futures (T +1 session) Spot/Next Calendar Month 50%  0.050% of bid price 2
MSCI Taiwan (USD) Index Futures Calendar Spread Spot/Next Calendar Month 70%  2 ticks 20
 

Incentives for MSCI Asia and Emerging Market Index Futures (Tier 1 )

- Discounted trading fee of USD 0.3 for USD contracts 
- Cash Incentive: Outright: HK$25,000 per contract per trading session per month
- Cash Incentive: Calendar Spread: HK$12,500 per contract per trading session

For the details of the incentive payment, please refer our circular

Incentives for MSCI Asia and Emerging Market Index Futures (Tier 2)

- Discounted trading fee of USD 0.3 for USD contracts 
- Cash Incentive T Session: HK$150,000  to HK$ 50,000 per contract per trading session per month 
- Cash Incentive: T+1 Session: HK$75,000 per contract per trading session per month
- Cash Incentive: T Session Calendar Spread; HK$50,000 per contract per trading session per monthFor the details of the incentive payment, please refer our circular

Block Trade Participant (BTP) Program

 Requirement:
 - The minimum block trade execution volume requirement is 20,000 contracts per quarter in total for the MSCI Asia and Emerging Market Index Futures.
 Performance measurement:
- BTP will be ranked based on the total number of valid block trade contracts executed in the MSCI Asia and Emerging Market Index Futures.
   Only the top three BTPs in any given quarter will receive incentives.

Incentive:

1) The first BTP is entitled HK$1,200,000; the second BTP is entitled HK$450,000 and the third BTP is HK$150,000
 
 

Stock Futures

Market Maker Scheme

Market Making Obligation

Market Making
Obligation
Provision of
Continuous Quotes (CQ)
Response to
Quote Requests (QR)
Assigned Contract At least the first 2 contract months
[i.e. Spot Month and the next calendar month]
All 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 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

Product Market Maker Fee
(HK$)
Standard Exchange Fee
(HK$)
Stock Futures Subject to fulfilment the obligations,  Market Maker in HK Stock Futures will be entitled to trading fee waiver (except for stock futures on Tracker Fund of Hong Kong and Hang Seng China Enterprises Index ETF)
 Tier 1: HK$3.0;  Tier 2: HK$1.0; Tier 3: HK$0.5

 

Stock Options

There are three types of market makers in HKEX’s stock options market: 

- Primary Market Maker (PMM);

- Market maker providing continuous quotes (CQMM); and

- Market maker responding to quote request (QRMM). 

For details of PMM Program, please refer to the hyperlink below:

http://www.hkex.com.hk/eng/market/dv_tradfinfo/pmm.htm

 Below is a summary of the CQMM and QRMM program: (Effective Date: 31 October 2022)

Market Making
Obligation

Provision of
Continuous Quotes (CQ)

Response to
Quote Requests (QR)

 

Assigned Series #

Not less than50 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 the trading 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 ofa 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

Option Series

Liquidity Level 1*

Liquidity Level 2*

Liquidity Level 3*

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.

30% of the bid price of the quote or 7 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 next 3calendar 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.

20% of the bid price of the quote or 7 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.

30% of the bid price of the quote or 10 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.

30% of the bid price of the quote or 20 times the best bid/offer spread of the underlying securities, whichever is the lower.

 Maximum Bid/Offer Spread
(For ETF Options)
 Spot month with 3 days or less to expiry 20% of the bid price of the quote or 7.5 times the best bid/offer spread of the underlying securities, whichever is the lower.  20% of the bid price of the quote or 10 times the best bid/offer spread of the underlying securities, whichever is the lower.  30% of the bid price of the quote or 17.5 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 next 3calendar expiry months 10% of the bid price of the quote or 7.5 times the best bid/offer spread of the underlying securities, whichever is the lower. 10% of the bid price of the quote or 10 times the best bid/offer spread of the underlying securities, whichever is the lower.  20% of the bid price of the quote or 17.5 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 10 times the best bid/offer spread of the underlying securities, whichever is the lower.  20% of the bid price of the quote or 15 times the best bid/offer spread of the underlying securities, whichever is the lower. 30% of the bid price of the quote or 25 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 20 times the best bid/offer spread of the underlying securities, whichever is the lower. 20% of the bid price of the quote or 30 times the best bid/offer spread of the underlying securities, whichever is the lower. 30% of the bid price of the quote or 50 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 and 3 - 15 contracts



  *   Liquidity Level Classification
“Notwithstanding the above,
a) For an option class the underlying security is not an ETF, a Market Maker that provides quotes in option classes with a minimum price fluctuation of HK$0.01 or RMB0.01 will not be obliged to quote a spread narrower than the best bid/offer of the underlying security (at the time of issuing the quote) plus 5 minimum price fluctuations (if the numerical value of the nominal price of such underlying security is below 100) or plus 10 minimum price fluctuations (if the numerical value of the nominal price of the underlying security is equal to or above 100);
b) For an option class the underlying security is an ETF, a Market Maker that provides quotes in option classes with a minimum price fluctuation of HK$0.01 or RMB0.01 will not be obliged to quote a spread narrower than the best bid/offer of the underlying security (at the time of issuing the quote) plus 7 minimum price fluctuations (if the numerical value of the nominal price of such underlying security is below 100) or plus 15 minimum price fluctuations (if the numerical value of the nominal price of the underlying security is equal to or above 100);
c) a Market Maker that provides quotes in option classes with a minimum price fluctuation of HK$0.001 or RMB0.001 will not be obliged to quote a spread narrower than HK$0.03 or RMB0.03

Liquidity levels of option classes are determined by the Exchange from time to time based on the trading liquidity in the underlying stocks  

Stock Option Class HKATS Code From 31 October 2022       
to 29 November 202
       
From 30 November 2022       
to 29 December 2022
     
  Liquidity Level Minimum Quote Size Liquidity Level Minimum Quote Size
iShares FTSE A50 China Index ETF A50 2 15 lots 2 15 lots
AAC Technologies Holdings Inc AAC 3 15 lots 3 15 lots
Anhui Conch Cement Company Limited ACC 1 30 lots 1 30 lots
AIA Group Limited AIA 2 15 lots 2 15 lots
Air China Ltd.   AIR 3 15 lots 3 15 lots
Alibaba Group Holding Limited  ALB 3 15 lots 3 15 lots
Aluminum Corporation of China Limited ALC 3 15 lots 3 15 lots
Alibaba Health Information Technology Ltd. ALH 3 15 lots 3 15 lots
ChinaAMC CSI 300 Index ETF AMC 2 15 lots 2 15 lots
ANTA Sports Products Ltd ANA  3 15 lots 3 15 lots 
Bank of Communications Company Limited BCM 1 30 lots 1 30 lots
The Bank of East Asia, Limited BEA 2 15 lots 2 15 lots
Baidu, Inc. BIU 3 15 lots 3 15 lots
Bilibili Inc.
BLI 3 15 lots 3 15 lots
BOC Hong Kong (Holdings) Limited BOC 1 30 lots 1 30 lots
Budweiser Brewing Company APAC Limited BUD 2 15 lots 2 15 lots
BYD Company Limited  BYD 3 15 lots 3 15 lots
BYD Electronic International Company Limited BYE 3 15 lots 3 15 lots
China Communications Construction Company Limited CCC 1 30 lots 1 30 lots
China Coal Energy Company Limited CCE 2 15 lots 2 15 lots
China Cinda Asset Management Company Limited CDA 3 15 lots 1 30 lots
CGN Power Co., Ltd CGN 1 30 lots 1 30 lots
China Mobile Limited CHT 1 30 lots 1 30 lots
China Unicom (Hong Kong) Limited CHU 1 30 lots 1 30 lots
CITIC Limited CIT 2 15 lots 2 15 lots
CK Hutchison Holdings Limited CKH 2 15 lots 2 15 lots
CK Asset Holdings Limited CKP 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 Company Limited CMB 1 30 lots 3 15 lots
CNOOC Limited CNC 1 30 lots 1 30 lots
Country Garden Holdings Co. Ltd COG 3 15 lots 3 15 lots
China Overseas Land & Investment Limited  COL 2 15 lots 3 15 lots
 COSCO Shipping Holdings Co., Ltd COS 3 15 lots 3