買賣差價表 Spread Table

今次想談談買賣差價。

Let's discuss the spread table.

以下為適用於港股、窩輪及牛熊的買賣差價表 

Here's the spread table applicable to HK equities, warrants and CBBCs:

假設一隻恒生指數(恒指)認購窩輪現價為HK$0.249，根據定價公式及即時市場參數如引伸波幅，恒生指數期貨(期指)每升10點，該窩輪將會升HK$0.001。

Suppose the spot price of a Hang Seng Index (HSI) call warrant is HK$0.249, according to the option pricing formula and using market parameters such as implied volatility, when the Hang Seng Index Futures (HSIF) rises 10 points, the price of the warrant should rise HK$0.001.

假若該恒指認購窩輪現價為HK$0.250，根據同樣公式及參數，期指每升10點，該窩輪也理應升HK$0.001。但因為現價為HK$0.250，買賣差價由HK$0.001升至HK$0.005，因此10點的升幅不會即時反影在該窩輪的現價。以此推論，期指需升大約50點，才可推動窩輪價格由HK$0.250升至HK$0.255，反之亦然。

Now suppose the spot price of the call warrant is HK$0.250, applying the same pricing formula and market parameters, a rise of 10 points in HSIF should also give a rise of HK$0.001 in the warrant. However, since the spot price is now HK$0.250, the spread becomes HK$0.005 instead of HK$0.001 and a rise of 10 points in HSIF will not be reflected in the spot of the warrant immediately. Following this principle, the spot price of the warrant will rise from HK$0.250 to HK$0.255 only when the HSIF rises around 50 points.