Alternative to Hang Seng Futures

C

chucksil

For those who trade Hang Seng Futures, and find the volatility to be too much to handle, there is a great alternative - H-Shares futures on the same exchange. Symbol in IB is HHI.HK

Same $50 HKD per point, same convenient hours, enough volatility to be useful - and one last advantage over Hang-Seng Futures - lower commissions!
 
Quote from chucksil:

For those who trade Hang Seng Futures, and find the volatility to be too much to handle, there is a great alternative - H-Shares futures on the same exchange. Symbol in IB is HHI.HK

Same $50 HKD per point, same convenient hours, enough volatility to be useful - and one last advantage over Hang-Seng Futures - lower commissions!
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Here's what I see:

Today: 30-day historical vol of HSI: 13.2%, HHI 20.3%

31st Jul '13: HSI 30-day HV 19.3%, HHI 26.3%

I.V. ATM Jan options exp, HSI: 13.6%, HHI: 22.8%

HSI full contract value: ~ US$147,935
HHI full contract value: ~ US$66,251
Ratio of contract values HSI/HHI: 2.23

HSI initial margin: ~ US$9213
HHI initial margin: ~ US$4335
Ratio of margin reqs HSI/HHI: 2.12

Do I need to point out that this appears to contradict the OP's claims? I hope his strategy is sounder than his analysis.

He is, though, correct about the commission being lower: by US$1.30.
 
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