Research On The Straddle Arbitrage Strategy Of 50ETF Options

The introduction of 50ETF options marked the beginning of stock options trading in China.Investors can use options to trade volatility.As the volatility of the 50ETF fund is often aggregated,investors can use this aggregate to profit in the options market.And the effectiveness of the stock market and the options market should be quested.So we analyzed 50ETF volatility and built trading strategy based on 50ETF options to get excess return.We conducted an empirical analysis of whether the strategy is better than the market.Firstly,we used different GARCH models to analyze the volatility of the 50ETF fund,and compare the different GARCH models.We selected the optimal model as the measurement model of the volatility of the 50ETF fund.We conducted an empirical analysis to find the relationship between the volatility of the 50ETF fund and the price of 50ETF straddle arbitrage portfolio.Secondly,we analyzed the relationship between the price of the straddle arbitrage portfolio and the volatility of the underlying asset and the maturity date.We explored the existence of autocorrelation on the price of the 50ETF option straddle arbitrage portfolio.We forecasted the price of the 50ETF option straddle arbitrage portfolio and built forecasting model of the price of the 50ETF option straddle arbitrage portfolio.Finally,we build strategy of 50ETF option straddle arbitrage portfolio,according to the model of the price of 50ETF straddle arbitrage portfolio already built.We analysis the benefits and risks of the trading strategy and compare that with 50ETF fund which was selected as market benchmark and other market index to verify whether investors can obtain excess return in the 50ETF options market.According to the discussion and test of this paper,we can get a conclusion that 50ETF options straddle arbitrage strategy based on 50ETF fund volatility,that has a reference value for investors in options market of China and play a positive role in the active function of the options market,is stable and has a good characteristics of risk return.