| Financial derivatives are a special kind of financial instruments,which play a role of providing leverage and avoiding risks in the transaction process.They are widely used and popularized in the process of investment and management in the financial market.The relevant systems and varieties of financial derivatives market are gradually enriched and perfected in the practice process.Today,financial derivatives have occupied an important position in the whole financial market in terms of trading volume and frequency,so they have become the main investment tools for market transactions and investors to pursue.The development of derivatives market has long been regarded as a criterion to judge whether the financial market is complete or not by scholars at home and abroad.Options,as an important kind of financial derivatives,have the characteristics of risk management,leverage effect and profit and loss structure.The investors can realize the effects of arbitrage,hedging and speculation through options trading.The trading scale and market acceptance of options market have been developed rapidly in recent years.Among them,the volatility of financial assets has always been an important data index to measure the risk level of the corresponding financial assets and to evaluate whether the prices of the corresponding financial assets are determined.The study of option volatility is the starting point of studying the uncertainty of option business.The deeper understanding of option volatility can not only enhance the risk awareness and risk management ability of investors,but also provide strong scientific research support for supervisory departments to effectively manage risks and promote the healthy development of the market.The development of option business in China is relatively late,up to now it has only been more than three years,and the volatility of Chinese stock market is much higher than that of foreign markets.It is obviously not applicable to deal with the problems of our market directly by applying foreign theories.Therefore,this paper makes an empirical study on the volatility of option market with the actual data of our country.Through the formation of quantifiable investment strategy empirical research,to promote the healthy development of China's options market and even the entire stock market is very necessary and of great significance.This paper takes the shanghai stock exchange 50ETF as the research object,and divides the 246 trading days into 11760 high-frequency trading data from August 30,2017 to August 30,2018.Through statistical summary and Research on these high-frequency data,it is concluded that the options which can more fully represent the volatility of options have been Realized Bipower Variation。The data is used as the historical volatility data to construct the option volatility strategy.Then,taking the 50ETF option of the Shanghai Stock Exchange as the research object,62 contracts due in June as the sample data,the Black-Schole option pricing formula is used to calculate implied volatility data of the 62 samples in 164 trading days.By comparing historical volatility with synthetic implied volatility,this paper constructs volatility arbitrage trading strategy when they deviate from each other,and verifies strategic returns by empirical method,thus realizing the ingenious combination of volatility pricing and arbitrage theory and practice.Finally,this paper analyzes the reasons why volatility strategy can make frequent profits in China's market,and puts forward some suggestions for the development of China's option market.By combining the theory and practice of volatility forecasting and option investment,this paper applies the feasible volatility model in theory to option investment,constructs an operable option investment strategy,and puts forward some optimization suggestions for the stable and healthy development of the equity market.The practical significance will certainly play a certain role in the research and development of option market in China. |
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