How would US CBBC move by 1 tick?

The US index CBBCs issued by SG are listed on Hong Kong Exchange, allowing investors to invest indirectly in US indices during Hong Kong hours. They are tracking the following indices: S&P 500 Index (SPX), Dow Jones Industrial Average Index (DJI), Nasdaq 100 Index (NDX). US market is closed during Hong Kong trading hours. However, the futures markets are open. The movement of US CBBCs track the futures performance of the underlying index. For example, the price change of a DJI CBBC follows the change of Dow Jones E-mini futures price during Hong Kong trading hours.

Investors can refer to the US index page of the SG warrants website to obtain the real-time performance information of the index futures.

Formula calculating the sensitivity of US CBBCs

Price movement of the index futures required for 1 tick change in CBBC (sensitivity of the CBBC)

= (one tick spread of the CBBC x entitlement ratio) / (delta x currency exchange rate)

Example 1: NDX Bull A (For simplicity, Delta is set to be 1)

From the above example, sensitivity of the CBBC per tick = (0.001 x 78,000) / (1 x 7.8) = 10 points movement of the index futures.

This sensitivity of the CBBC depends on the terms. For day-traders, this could be important to them.

Example 2: NDX Bulls with different terms

From the above example, the sensitivity of NDX Bull A is twice that of Bull B. When the NDX futures moves by 20 points, Bull A moves by 2 ticks while Bull B moves by only 1 tick. For intraday trading, Bull A may be preferred. For swing traders trading for directions, sensitivity plays a less important role, but more on whether the CBBC can closely track the performance of NDX spot.