For those who trade Hang Seng Futures, and find the volatility to be too much to handle, there is a great alternative - H-Shares futures on the same exchange. Symbol in IB is HHI.HK Same $50 HKD per point, same convenient hours, enough volatility to be useful - and one last advantage over Hang-Seng Futures - lower commissions!
Here's what I see: Today: 30-day historical vol of HSI: 13.2%, HHI 20.3% 31st Jul '13: HSI 30-day HV 19.3%, HHI 26.3% I.V. ATM Jan options exp, HSI: 13.6%, HHI: 22.8% HSI full contract value: ~ US$147,935 HHI full contract value: ~ US$66,251 Ratio of contract values HSI/HHI: 2.23 HSI initial margin: ~ US$9213 HHI initial margin: ~ US$4335 Ratio of margin reqs HSI/HHI: 2.12 Do I need to point out that this appears to contradict the OP's claims? I hope his strategy is sounder than his analysis. He is, though, correct about the commission being lower: by US$1.30.