An Empirical Study Of Options Volatility Trading

In recent years,the degree of financial informatization has been accelerating,and quantification has been rapidly emerging in China.The expansion of options has undoubtedly accelerated this process.Options play an important role in hedging and risk management.At the end of 2019,the China Securities Regulatory Commission approved the listing of CSI 300 ETF and CSI 300 stock index options,which greatly expanded the types of options based on financial instruments and provided investors with more investment transactions and risk management tools.The maturity of the market plays an important role in promoting,and it is also an important step in attracting foreign investment and reforming the financial market.Therefore,research on the volatility of CSI 300 stock index options and its delta hedging will help provide investors with more investment strategies and increase channels for obtaining excess returns.This article attempts to use Python language and third-party libraries to write the corresponding option trading strategy,and back-test to determine the feasibility and reliability of the strategy,and finally output a visual strategy back-test chart.This article selects 1 minute CSI 300 stock index options,CSI 300 stock index,and CSI 300 stock index transaction price data as the research objects.First,take volatility as an entry point to explore its volatility characteristics.Explore whether the implied volatility of options with agreed expiry dates and different exercise prices has a volatility smile structure.After considering the expiration month,the 3D surface drawn with python not only includes the volatility curve,but also includes the volatility Term structure.Then carry out the empirical and robustness test of the trading rights parity arbitrage strategy.Finally,a straddle combination was constructed to verify the Gamma Scalping strategy of dynamic pure delta hedging.The pure Delta dynamc hedging does not consider Theta loss and hedging cost.Therefore,on the basis of pure Delta dynamic hedging,the conditions for closing and opening positions are added,that is,Gamma gain is greater than Theta loss to open a position,and Gamma gain is about to be less than Theta loss.,You can avoid most of the Theta loss and increase the strategy revenue.According to the results of the trading rights parity strategy and the Delta hedging strategy,the reliability and profitability of the strategy can be judged.According to the results of the backtest,the buy-and-sell right parity arbitrage strategy can achieve significant excess returns,with minimal drawdown,and high cost performance.While the pure Delta dynamic hedging strategy did not achieve excess returns,while the Gamma Scalping strategy that sets position opening and closing conditions fluctuated greatly,but the return results showed that it still achieved excess returns,but the Sharpe ratio and total return were less than the trading Right to evaluate arbitrage strategies.But the strategy does not have the effect of the Vega factor on earnings,which is insufficient.The tools used in this article are closer to the forefront of the industry,the design strategies are diverse and hierarchical,and the visualization tool for backtesting effects is more intuitive and scientific.This is the novelty of this article.