Research On Risk Management Of SSE 50ETF Option

With SSE 50 ETF option officially listed, options era in our country is coming. The development of option derivatives has had a profound impact on the financial markets for our country. At the same time, to some extent it also increases the risk of financial capital markets. Options in foreign countries has a long history of development. And the risk management system of options trading are relatively perfect.Options market in our country has just started so that the system of risk control is not perfect. So our country should especially pay much attention to the risk management of options market.This paper takes the SSE 50 ETF option as the research object. Firstly, this paper introduces the option risk control regulations of SSE and CSDC including Trading rules, settlement rules and risk control guidelines, etc. It expounds on risk management of various stages from margin, large report, risk warning, forced to unwind and clearing margin. Secondly, The article also studied the relationship between SSE 50 ETF option and SSE 50 ETF. From the different level, it shows strong correlation between SSE 50 ETF option and SSE 50 ETF. Then the article analyzed how to utilize the Greek values (Delta neutral, Gamma, Vega) to avoid the risk of options trading. Finally, aiming at the risks in the options market, the article proposes option risk management strategy from the perspective of different market roles, in order to promote the healthy and stable development of options market in China.