The Traded Options Market will be closed for business from 25 to 26 December 2017. In order to assure that safeguards are in place against potential market risk that may arise during the aforesaid periods when some of the major markets are open, the Clearing House has decided to adopt the following risk management measures:
1. The margin intervals for all options classes will be increased temporarily after the close of business on 21 December 2017 (i.e. the adjusted margin requirement must be settled on or before 9:15 a.m., 22 December 2017). Details of the temporary margin intervals will be announced on 18 December 2017 via a separate circular. The margin intervals will be restored to normal after the close of business on 22 December 2017 (i.e. after settling the day-end requirements as of 22 December 2017, Participants may withdraw surplus margin collateral, if any, in the morning of 27 December 2017 by submitting withdrawal requests via CCMS by 11:00 a.m.).
2. A special intra-day margin call in respect of all open positions will be made at around 3:00 p.m. on 22 December 2017. You are required to ensure completion of payments within one hour after receiving notification of details of your special intra-day margin call.
Please note that the temporary increase in the margin intervals will generally increase the margin requirements as at the close of business of 21 December 2017. While the degree of increase may vary from portfolio to portfolio, the impact on the margin requirements could be greater for certain options series, especially those out-the-money series which are most sensitive to an increase in the margin intervals. To assist Participants in assessing the potential margin impacts, the Clearing House will make available a simulated Risk Parameter File (“RPF”) on 18 December 2017 for 編號 Ref. No.: CD/CDCRM/126/2017 日期 Date: 11/12/2017 2 Participants’ margin estimation purpose. Detailed arrangement will also be included in the margin circular to be released on 18 December 2017.
Please ensure that your staffs are fully aware of both the special intra-day margin calls and the temporary increase in the margin intervals and make necessary arrangement with your designated bank. You are also strongly advised to give advanced notice to your clients regarding these arrangements where appropriate and ensure that adequate margin deposits from your clients are maintained during the holiday period.
Despite the special intra-day margin call mentioned above, the Clearing House may make additional intra-day margin calls on 22 December 2017 should market conditions warrant.
