Market Turnover
-






-
-
|
|
|
|
|
|
-
-
-
Loading

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 HSTECH 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 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
MSCI India (USD) Index Futures
MSCI India (USD) Index Futures Calendar Spread

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
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: 15 MSCI Index Futures
T+1 Session: 7 MSCI Index Futures
Calendar Spread: 10 MSCI Index Futures

1

T , T+1 & Calendar Spread

 

 

 

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

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