An Empirical Research On The Trading Strategies Of Shanghai 50ETF Option

In 1973, the Chicago Board Options Exchange(CBOE) was born on the world's first option. Subsequently for over 50 years, option as capital market derivatives become global financial markets in a shining star, in the North American market scale continued to remain at a high level, in the Asia Pacific market showed vigorous development trend. To solve the problems of China,such as single market structure, the product is not enough rich,combined with the reality of market scale and management mechanism, February 2015,Shanghai Stock Exchange(SSE) launched China's first options——Shanghai 50 ETF option.The thesis mainly studied 50 ETF option, first of all, starting from the analysis of the status quo of Global option development process, explains the necessity and importance of development options in China; secondly, elaborated the Shanghai 50 ETF option contract rules, risk management measures and development situation, formed a smooth and orderly option market; next, focuses on the analysis of system of three typical option trading strategies,such as six single strategies, four combinational strategies and R-break intraday trading strategy. By Shanghai50 ETF option transaction as an empirical case, inspection and applicable conditions of the application of the strategy in China's securities market,the risks and benefits, application effectiveness of control. Finally, it is explained that option not only can leverage gains obtained through the judgment of the market price trend, more in all market expectations, by using different strategies and tactics combination obtained leverage income, effective control of the risk.