Test For The Efficiency Of The SSE 50ETF Options Market

Over the past decade,the rapid development of global derivatives market,especially in the US subprime mortgage crisis in 2008 triggered a global financial crisis,the financial derivatives once became the bone of contention in the domestic and foreign markets.Shanghai and Shenzhen 300 stock index futures started trading on April 16,2010,and as of the end of 2016 the volume of business has accumulated to more than 800 trillion,which are marked China's financial derivatives market stepped into a good stage of development.After the sufficient preparation of the option operational work,China's first trading options on an organized exchange(SSE 50ETF)officially listed on the Shanghai Stock Exchange on February 9,2015,which is following the stock index futures,margin trading became the third Financial derivatives in the A-share market,it means that China's derivatives market system has been further developed and improved.But there are still some shortcomings: First,the target of option is simplistic,and the coverage of SSE 50 ETF on the securities market is small,the financial industry accounted for a larger weight,which has certain limitations.Second,the high transaction costs,for institutional investors to complete block trade is quite difficult.2 Third,the current transaction ratio is only 0.01 times less than the mature options market level(such as the US stock option is about 1.6 times).Fourth,investors are not familiar with the stock option,it still needs to be marketing.This paper is based on the above background,to test the SSE 50 ETF option market whether it can effectively pricing,that is whether there is arbitrage opportunities and whether they can obtain benefits.There are many models to test effectiveness of the option market,and it will use the traditional option pricing theory and arbitrage strategy to analyze the effectiveness of options market in this paper.First of all,use the B-S option pricing model to analyze whether the real price and the theoretical price exists deviation,and then determine whether the market is effective.Secondly,choose the models of the option parity and the option box arbitrage,the models examine the arbitrage opportunities across the market and the arbitrage opportunities in the single option market.If the option market is ineffective,then the two models will be able to identify the arbitrage opportunities.This paper chooses the daily trading data and the 1-minute transaction data of the options market from October 10 to November 30 of 2016,and takes the expiration date in October and November as the research object,using the strategy of holding securities to maturity,using the above models to check the market efficiency,and in order to solve the problem of data non-synchronization,this paper aims to quote the same time in the data for the combination of matching.The results of this paper show that SSE 50 ETF option market is inefficient,this inefficiency is mainly reflected there is an information lag between the option market and spot market,main conclusions are as the following:(1)It is found that the actual price of the option deviates from the theoretical price by the B-S option pricing model.It also finds that the actual price of the put option is higher than the theoretical price.(2)Through the regression analysis,it is found that the option parity model in the option market is not established,but the Box arbitrage model is almost established.(3)By constructing the arbitrage portfolio of option parity model,it finds that the reverse parity arbitrage combination recognizes more arbitrage opportunities than the forward parity arbitrage strategy during the sample period.After the transaction costs were added,the arbitrage and arbitrage gains were significantly reduced,the put option was overestimated during the sample period.(4)The arbitrage strategy of the box is constructed,and it finds that the reverse box arbitrage strategy is superior to the positive box arbitrage strategy.Added the transaction costs,arbitrage opportunities and arbitrage gains were also reduced.It can be found that performance of the box arbitrage strategy is poor than the option parity model.This shows that the information flow between the option market and the spot market is lagging behind.On the other hand,it shows that the information in the same market Circulation faster and investors' arbitrage strategies are faster than strategies for cross-market building,so there are usually fewer arbitrage opportunities in the same market.(5)Arbitrage opportunities in the distribution of the day,arbitrage opportunities of the positive option parity arbitrage strategy are mostly grouped in morning after opening 15 minutes as well as 16 minutes before the closing in the afternoon,while the reverse parity arbitrage strategy mainly in the 16 minutes before noon closing and the afternoon closing.Both two box arbitrage strategies to identify arbitrage opportunities roughly U-shaped,that is in the morning opening and afternoon closing arbitrage opportunities are more concentrated.(6)The arbitrage opportunity of the equal value contract is different from the other value state,the arbitrage portfolio of the benchmark contract is used to identify the arbitrage opportunities which are less than the other value states,and the box arbitrage strategy finds that the greater the difference in the price difference,the more the arbitrage opportunities and the more profit.