| As the further promote of financial market reform, volatility of financial assets will be the norm. How to optimize the utilization efficiency of social capita market, revitalize financial assets, help market participants to manage risk effectively, ease the financing problems, which makes accelerate the development of financial derivatives. China has introduced financial derivatives products significantly especially in recent years. In terms of stock options, CICC introduced CSI 300 index simulation option in 2013. Then in 2014, CICC introduced SSE 50 index simulation options, Shenzhen Stock Exchange and the Shanghai Stock Exchange introduced some individual stock options and ETF simulation options. CSRC issued the "stock options trading pilot management approach" in January 9, 2015, approved Shanghai Stock Exchange to carry stock options trading pilot program for SSE 50 ETF option, official listing time is February 9. It is another major breakthrough in the reform of the capital market innovation, and means that the system framework of the stock option is basically completed.With the listing of SSE 50 ETF option, financial derivatives businesses become more diverse. It looks like options trading provide insurance for stocks and provide effective hedge. The risk hedge strategy of SSE 50 ETF option in hedging Non-50 underlying Stocks, used by Founder Cifco Futures Company, is based on Delta neutral dynamic adjustment. Option position can be calculated by the strategy formula. Through the collection of historical data to analyse the strategy, it can be found that SSE 50 ETF option has a certain effect in hedging non-50 underlying stocks. After the regression analysis of the stock's daily return and SSE 50 index's daily return in past year, if the goodness of fit is higher, the effect of hedging is relatively better. In addition, by optimizing the formula parameters and combining with the iVIX, the strategy can get better effect and improve the yields after hedge. |
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