💥 HSI surges 6.0% in the morning session; futures gain 5.7%

• In the morning session, the Hang Seng Index (HSI) surged 6.0% to close above the 22,000 level, rising for the sixth day and trading at levels not seen since January 2023. The HSI October 2024 futures moved in tandem, gaining 5.7% as of the lunch break.

• HSI-CXY took the spotlight, with investors net buying over 20M units with more than 163M units traded as the warrant soared 75% in bid price. Investors also took positions in the put warrants HSI-HWO and HSI-HZX with 10.2M and 9.7M units net bought, respectively.

• On the other hand, investors net sold 1.9M units of HSI-CYC as its bid price gained 57% as of the lunch break.

📝 With the recent market volatility, what should I take note of?

• With the sharp rally today, you may find the offer spreads on many HSI warrants for example, being widened due to warrant deltas changing dramatically. Some call warrants may have become very deep in-of-the-money (typically with delta above 85%), while put warrants would have become very far out-of-the-money (typically with delta less than 15%) given today's highly volatile move. When this happens, you would notice that the offer spreads of warrants have been widened to discourage investors from buying these warrants. Investors interested in buying should consider warrants on tight spreads instead.

• At the same time, implied volatility levels have spiked in the exchange traded options market, resulting in a similar spike in warrant implied volatility levels and prices across call and put warrants.