TF Company Based On Timing Short Volatility Option Strategy Development And Application

The exploration and development of options market is of great significance to perfect our country capital market,options can be used as direct investments in the market,not only rich investors investment options,more important is that investors can be obtained from the options market is similar to the implied volatility(the VIX index of this kind of information,this kind of information feature is strong forward-looking,positioning.The VIX data is very important for investors in the actual investment,help investors know the relevant asset prices,the respect such as investment decision is of great significance,such first volatility index itself as the subject matter that investors can be directly on the market,financial market slightly more mature countries will put such indexes as direct investment products,such as the United States there are many similar to the VIX futures,the VIX options like products;Secondly,there is a lot of expectation information about the future market hidden in such indicators as volatility,and the data is updated dynamically and timely,so the prediction function is very significant.When testing the pricing efficiency of China’s option market,this paper mainly stands on the point of view of the indicators likevolatility pointed out above.In this paper,common indicators such as implied volatility,realized volatility and variance risk premium are selected.According to the test results,the options market in China has gradually begun to show the characteristics of a mature market,but the results of some indicators still highlight the problem of strong time variability in the market.Therefore,this paper emphasizes the word "timing",and the option strategy is also constructed on the basis of market timing.Variance analysis in the study found that China’s options market risk premia have significantly negative performance,based on the obvious characteristic,this paper construct short volatility options trading strategy,systematically discuss the options market index(PCR,the VIX,implied volatility premium,etc.),market sentiment class timing indicators,build timing factor library,and try out the integrated use of these indicators to build timing system,through the multi-dimensional,choose more cycle time improvement short volatility strategy performance,and then based on these indicators,inside the empty volatility strategy to do samples back to test,and back to the test sample.We combine the company’s business characteristics and customer needs,through the form of products,to provide customers with more familiar and comfortable portfolio solutions.Finally,based on the business characteristics and customer needs of TF company,we provide customers with more comfortable portfolio solutions in the form of products.Through the research,it is found that when the short volatilitystrategy based on market timing is effectively combined with the equity market,compared with the market index with the same proportion allocation,the annual average return rate increased by 12%,the sharpe ratio also increased by 1.02,and the maximum retracement decreased by nearly 3%.