Research On The Impact Of Sugar Option On The Volatility Of The Underlying Futures Market

With the rapid development of China’s financial derivatives market,various futures exchanges have listed a number of futures varieties.In recent years,the corresponding options transactions have been launched successively again.Because option trading has a non-linear profit and loss structure,the launch of options provides investors with effective tools to avoid and disperse risks.In 2017,China launched the first batch of commodity options,—— soybean meal options and white sugar options,which opened the first year of domestic commodity options.As the first batch of commodity options,it naturally attracted attention from all parties.Whether the launch of commodity options plays a certain stable role in stabilizing the underlying futures market needs further research to provide reference for the future development of China’s commodity option market.This paper with sugar options as an example,study the impact of the volatility of the underlying futures market,due to the sugar options listed for four years,this paper selected the main continuous contract from April 19,2013 to April 19,2021 daily closing price,range of the launch of the short-term,medium-term and research on the target futures market volatility.In this paper,an empirical analysis of the yield sequences was performed using the Eviews10.0 software.Using GARCH family model,introduce virtual variable DV in GARCH(1,1)model to judge the influence of sugar option listing on the volatility by observing the significance and negative coefficient before DV;analyze the asymmetry of the underlying futures market after the option was introduced.It reduces the volatility of the underlying futures market but has limited suppression effect,improves the asymmetry of the futures market and improves the efficiency of market information.Finally,the paper makes corresponding suggestions for the development of commodity option market.First,strengthen the risk management of the option market,improve the market supervision system;second,strengthen the option market foundation,expand the option market scale;third,to further enrich the commodity option varieties,improve the derivative tool system;fourth,improve the professional skills of investors.