Empirical Analysis On The Effectiveness Of Risk Aversion Of Options And Futures

Risk problem is an indispensable component of the markets.The risk of financial market is closely related to the interests of investors.How to reduce the market risk is the problem that investors are most concerned about.Then the risk of tools have emerged in order to reduce the market risk various financial derivatives as a hedge against.How to use financial derivatives to avoid risks? How about the risk aversion ability of the financial derivatives?How to design risk aversion strategy? These problems have naturally become the focus of investors.Option contracts and future contracts are two typical representatives of financial derivatives,and the study of the effectiveness of the two risk aversion can clarify the choice of investment strategy and help investors reduce investment risk.This paper focuses on four questions,that is,(1)How to avoid the risk of options? How effective is risk aversion?(2)How to avoid risks in futures? How effective is risk aversion?(3)What are the similarities and differences between the risk aversion of options and futures?(4)How to adopt strategies to make the risk avoidance effect of options and futures best? Using the sample data of Shanghai 50 index,Shanghai 50 ETF options,Shanghai 50 index futures,copper futures and copper spot in China's financial market and the corresponding models,this paper makes an empirical analysis on the effectiveness of risk aversion of options and futures.For options,the effectiveness of the risk aversion is analyzed from four aspects: the correlation between the options market and spot market,the rationality of the option pricing,the hedging strategy of the options,and the effectiveness of the risk measurement of options.Firstly,using options and spot prices to study the correlation of the options market and spot market.Secondly,the binary tree model and Black-Scholes model are used to price the options,and the pricing results of the two models are compared with the actual results.Then,the hedging effect of the option is studied by using two hedging parameters,Delta and Gamma,in the neutral Delta state.Finally,under the normal distribution,t distribution and GED distribution,VaR method under GARCH(1,1)model is used to measure the daily VaR value of options and spot,and the risk situation of options market and spot market is obtained by analyzing the descriptive statistical results of VaR value.The empirical analysis results show that there is a good correlation between options and spot,for the option hedging and risk aversion provides a good foundation for the environment;The binary tree model and Black-Scholes model have little error between the result of option pricing and the actual option price,and the error of the two models is also small,which indicates that the option pricing model is reasonable and the option pricing result is within a reasonable range,which reduces the possibility of market speculation.The VaR method under GARCH(1,1)model measures the daily VaR value of options and spot,and the results show that the risk measurement effect of options is better.For futures,the effectiveness of the risk aversion is studied from four aspects: the correlation between the futures market and spot market,the hedging method,the optimal holding period,and the risk measurement.Firstly,using futures and spot prices to study the correlation of the futures market and spot market.Secondly,the least squares(OLS)model is used to calculate the optimal hedging ratio of futures and analyze the hedging effect of futures;Then studied the holding period of futures effect and optimal holding period,and analysis the futures hedging effect is the best period.Finally,in normal distribution,t distribution and GED distribution,using GARCH(1,1)model to analyze the optimal model of futures and spot,and then combines the optimal model and the VaR method measure VaR value,according to the result of VaR value description of the statistical analysis of the risk of futures market and spot market.The empirical analysis results show that the futures and spot also has good correlation,for futures hedging and risk aversion provides a good foundation for the environment;The futures contract not only has good hedging effect,but also can hedge the risk to the greatest extent by studying its best holding term.The VaR method under GARCH(1,1)model to measure the risk of futures market shows that the risk measurement effect of futures is better.Compared with the situation of risk aversion in the options,futures and spot markets,the risk measurement of the options and futures markets are more accurate and the effect is better than that of the spot market.