Empirical Analysis Of The Application Of Option Risk-free Arbitrage Strategy To China

After a long wait and long-term test,the SSE 50ETF,as the first product of Chinese option market,has finally officially listed operations.It indicates that China has taken another solid step forward on the road of exploration and development of financial derivatives market.The SSE 50ETF’s great historic significance to Chinese capital market has attracted majority of investors’ concern.This thesis does not refer to those authors of the most of journal,literature and academic papers who are on the study of Chinese options market.Most of them focus on the option pricing,the role and influence of the option market.This thesis chooses a non-popular research direction—option arbitrage strategy.For the vast number of investors,especially individual investors,option products are still relatively unfamiliar and the investment threshold is relatively high.Therefore,this thesis aims at finding out some relative easy way for investors to understand option risk-free arbitrage strategies in order to promote and popularize options to investors.Relying on the computer and Internet technology,tools and software can be developed for option investment in the future,just like stylized trading strategies and position reminders in the early stock market.This thesis firstly introduces the option market and option risk-free arbitrage strategy.Then,it conducts empirical analysis by selecting option trading data from November 2015 to October 2016.Then this thesis uses Matlab software and SQL server database to calculate a large number of minutes trading data of options market,and obtain risk-free arbitrage opportunity trigger points.It explains the distribution and trend trigger opportunity in a detailed way.What’s more,this thesis investigates whether the risk-free arbitrage opportunities can cover the transaction cost of option by calculating and verifying.Then the factors that influence the effect of option risk-free arbitrage are analyzed.The finding is that there does have opportunity to obtain risk-free arbitrage in the option market.In the end,the Pearson coefficient correlation test is conducted to analyze whether option risk-free arbitrage opportunity is related to other factors that influence the market transaction.Finally,this thesis provides some conclusions and policy suggestions.