Non-collateralized Nature of Structured Products
A high density area of a CBBC call level means a Bull contract or a Bear contract of an underlying has a relatively high outstanding quantity converging at a level. This is because CBBC mainly concentrates on HSI, the market will generally regard the high density area of HSI CBBC as an indicator.
Take HSI as an example and compare the sum of the outstanding quantity of HSI CBBC of the same call level with those in other areas, the high density area is the area with the most outstanding quantity. The call level with high density area of HSI CBBC may provide a direction of the current market.
On the other hand, as the issuer will generally use the same month expiry futures index to hedge against the outstanding quantity of HSI CBBC, therefore, the number of futures hedge needed by the issuer can be calculated through the outstanding quantity in the high density area.
As issuers use futures index to hedge against the HSI CBBC, if a certain call level of intensive area has CBBC with relatively high outstanding quantity, then the hedging of futures index will increase in theory. If the current price of HSI is close to the call level, the pressure of liquidation and fluctuation may increase, or may lead to the risk of those CBBC which is close to the call level intensive area has a higher chance of being called. Therefore, when choosing a CBBC, it would appropriate to avoid those CBBC with outstanding quantity at a high density area.
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Non-collateralized Nature of Structured Products
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