Research On The Relations Of The Microstructure Characteristic Variables In The SSE 50 ETF Options

On February 9, 2015, China officially launched its first stock option : the Shanghai Stock Exchange(SSE) 50 ETF Options. It is urgent to study the operation of SSE 50 ETF Options systematically because the experience of stock option is instructive for the introduction of other stock index options and other stock options. Market microstructure reflects all features of the financial market as well as the operating condition of the market. The study of microstructure of the SSE 50 ETF Options helps to analyze the market operation of the stock options, then improve the trading mechanism.This thesis describes the data of the SSE 50 ETF call options and put options’ microstructure characteristic variables and focuses on the relations of the price, volume and open interest by using 15 minutes of high-frequency data. The empirical results are as followings:Using statistical description and graphing of the intraday characteristic variables, we can get that the intraday pattern s of the call and put options are not always the same. The average price of the put options likes the pattern of “U” while the average price of the call option has no obvious pattern. The average return of the call options and the put options all like the pattern of “L”. The average volatility of the call options likes the pattern of “L”, while the average volatility of the put options likes the pattern of “LM”. The average volume of the call options and the put options are pretty alike. They all like “W”, but there is a down trend at the tail of “W”. The average open interest of the call options and the put options all present the pattern of “U”, whose opening side is bottom right.Using multiple linear regressions, Granger test and VAR model, we can get the following conclusions. There is no significant relationship between the call options’ volume and price, while the put options’ price has positive impact on volume. There is negative relationship between call options’ open interest and price, while put options’ open interest has weak impact on price. There is positive relationship between volume and open interest in call and put options.This study enriches the financial market microstructure theory. It also has important implications for investors in deci sion-making as well as regulators in market surveillance and introducing new derivatives.