Research On Information Content Of Implied Higher Order Moments In Soybean Meal Options

The actual returns of financial assets do not follow the normal distribution,and the high-order moments can describe the asymmetric and thick tail characteristics of asset returns,which is an important indicator of risk management.In recent years,COVID-19 and other major emergencies have caused sharp price fluctuations in the international financial market,and options have attracted close attention due to their risk hedging function,which has aroused high interest in the information content of high-order moments of options among regulators,investment circles and academia.China is the largest soybean consumer in the world,and its high dependence on foreign countries leads to the drastic impact of soybean price changes on soybean crushing enterprises.Soybean meal option,as the first commodity option in China,is of great significance for maintaining national food security and competing for the right of discourse on commodity pricing.Most of the existing literature on the implied information of options is based on European options.There are few studies on American options such as soybean meal options,and the research on the information content of the implied high-order moments is even more scarce,so it is particularly important.And most of the literature research of stock index option is European option,American options based on soybean meal options as the research object,feature extraction based on parity formula and American call option premium of exercise in advance,and through without model under the formula to calculate the risk neutral measures model implied volatility,skewness,kurtosis and variance risk premium,The problem of parameter dependence and setting error is avoided.This paper selects soybean meal option trading data from May 17 th,2017 to December 31 th,2021 to calculate the implied high-order moment and its derivative indicators,and discusses the information content of the return,volatility and tail risk of underlying futures implied by these indicators from the perspective of pred ictive power.In this paper,the time-varying characteristics of the information content of options’ implied high-order moments and their derived indicators are explored from three forecasting periods: short term,medium term and long term.Considering tha t COVID-19 may have a structural impact on market risk appetite,the information content of implied high-order moments of options and their derivative indicators are verified by distinguishing between before and after COVID-19.The empirical results show that,from the perspective of predictive power,the high-order moment implied by soybean meal option and its derivative indexes contain the information content of return,volatility and tail risk of the underlying futures.In the sample interval after the epidemic,most of the implied high-order moments and their derived indicators were improved.The implied high-order moment and its derivatives have the best prediction effect on the return rate of short-term underlying futures and volatility of long-term underlying futures.It is worth mentioning that model-free implied volatility has a positive prediction effect on the volatility of underlying futures in the short term,and a negative prediction relationship in the long term.In addition,the prediction res ults of tail risk show that the implied high-order moment and its derivative indexes are more accurate in predicting the inflation of underlying futures before the epidemic,and better in predicting the crash event after the epidemic,while the early exercise premium index has a significant positive prediction effect on the inflation and crash of underlying futures.