The connection between financial derivatives markets will promote the diversification of the financial industry in Zhuhai and Macao. The current market structure of Macao’s financial industry is relatively homogeneous. The rapid accumulation of local wealth, the urgent need for diversified investment, and the potential demand of Portuguese-speaking countries, as well as the economic spillover effect brought by the creation of gold market and commodity exchange, are conducive to the development of Macao’s financial derivatives market. Macao has the ability to form a complementary development with the Hong Kong Futures Exchange with its own geographical and policy advantages. In the future, Hengqin should invest heavily in the construction of transportation infrastructure and financial services system in order to fully align with the development of Macao’s financial derivatives market.