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ETF期权波动率统计研究及应用

Statistical Research and Application of ETF Option Volatility

【作者】 张卓

【导师】 孙维鹏;

【作者基本信息】 吉林大学 , 应用统计(专业学位), 2024, 硕士

【摘要】 ETF期权作为金融衍生品的重要组成部分,在市场中发挥着不可或缺的作用,包括价格发现、风险管理和完善市场多空平衡机制等,为投资者提供了多元化的投资策略和风险管理工具。本文聚焦于ETF期权的波动率研究,并据此提出波动率交易策略。波动率包括真实波动率、历史波动率、已实现波动率和隐含波动率,其中历史波动率和已实现波动率都试图捕捉和衡量资产价格的波动程度。本文研究隐含波动率交易策略,策略基于隐含波动率与真实波动率的相对关系进行构造。由于真实波动率无法获得,文中分别使用日数据计算历史波动率和分钟数据计算已实现波动率对其进行估计。隐含波动率是通过实际交易价格反算,它相对真实波动率的大偏差可以看作当前的隐性定价与真实定价有较大偏差,即被高估了或者被低估了,策略因此被构造。然而,基于历史波动率分位数的做多与做空波动率策略表现不同,为增加整体策略的收益性,分别基于波动率聚集改进了做多波动率策略,基于加权已实现极差双幂次变差波动率改进了做空波动率策略。考虑到流动性,本文以沪深300ETF期权为例进行回测分析,交易手续费取2.0元每张(卖开除外)。结果表明,文中提出的策略改进方法使收益率从6.8%提高到11.6%。此外,我们还根据希腊值对交易策略收益进行了分析,验证了这类策略的收益主要来源于波动率变化和波动率的风险溢价。

【Abstract】 As an important part of financial derivatives,ETF options play an indispensable role in the market,including price discovery,risk management and improvement of the market long-short balance mechanism,etc.,providing investors with diversified investment strategies and risk management tools.This article focuses on the volatility research of ETF options,and proposes volatility trading strategies accordingly.Volatility includes true volatility,historical volatility,realized volatility,and implied volatility,where both historical volatility and realized volatility attempt to capture and measure the degree of volatility in an asset’s price.This article examines the implied volatility trading strategy,which is constructed based on the relative relationship between implied volatility and true volatility.Since true volatility is not available,the historical volatility is calculated using daily data and the realized volatility is calculated using minute data.Implied volatility is a large deviation from the actual trading price,which can be seen as a large deviation between the current implicit pricing and the true pricing,that is,it is overvalued or undervalued,and the strategy is therefore constructed.However,in order to increase the profitability of the overall strategy,the long volatility strategy is improved based on volatility aggregation,and the short volatility strategy is improved based on the weighted realized double-power variable volatility.Considering liquidity,this article takes CSI 300 ETF options as an example for backtesting analysis,and the transaction fee is 2.0 yuan per contract(except for selling and opening).The results show that the proposed strategy improvement method increases the return rate from 6.8% to 11.6%.In addition,we have analyzed the returns of trading strategies based on Greek values,and verified that the returns of such strategies are mainly derived from volatility changes and volatility risk premiums.

  • 【网络出版投稿人】 吉林大学
  • 【网络出版年期】2025年 04期
  • 【分类号】F830.9
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