Empirical Research On 50ETF Option

Shanghai 50 ETF options traded on the Shanghai Stock Exchange officially opened a prelude to the development of the options market, which is China’s capital market, the first listed options products to fill product gaps in our stock exchanges, 2015 also so called "option yuan year". Stock ETF Options are derivatives that mature in the international capital markets in the country but it is a new product, although there have been many scholars on option theory in-depth research, but empirical checking option class research aspects little, mainly because Missing data sample domestic options. Therefore, this article SSE pioneered the use of real transactions 50 ETF option to explore the first option of running product, and analyzes the validity of the certificate 50 ETF options trading and hedging strategies.Firstly, with Eviews software examines Shanghai 50 ETF time series features several yields to standard deviation of the index to estimate historical volatility; secondly classic Black-Scholes model, relaxed continuous trading and unlimited hedge assumptions BS corrected differential equations deduced in discrete mode uses the mean variance method, and solved by the risk-neutral pricing; and third, respectively, for the use of these two models priced Shanghai 50 ETF options do empirical checking the validity of the model study, utility and expected rate of return, classical BS model underestimated the implied volatility, the expected rate of return investors different substituted into correction model checking found that in the first half of 2015 the fourth article in exploring our options volatility 50 ETF whether "Smile" feature; a bull market, investors with a high expected rate of return into the stock market, indicating that the overall volatility of the market at this time, the already high risk found: Investors are irrational trading and speculation is severe, call options volatility imaginary values much higher than the real value of the option value of peace, so that the entire volatility curve showing the characteristics of unilateral rise; The fifth paper presents Shanghai 50 ETF options Delta, detailed process Gamma, Vega hedging strategy, elaborated option hedging results; Put forward a number of policy recommendations to promote healthy and stable development of the options market.